A note on testing for switching regressions

This note shows that a well-known version of the switching regression model is not suitable for testing for parameter stability in a regression model because standard regularity conditions are not satisfied under the null hypothesis of parameter stability.

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Published in:Economics letters 1991, Vol.35 (1), p.31-33
Main Author: Phillips, Robert F.
Format: Article
Language:English
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container_title Economics letters
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creator Phillips, Robert F.
description This note shows that a well-known version of the switching regression model is not suitable for testing for parameter stability in a regression model because standard regularity conditions are not satisfied under the null hypothesis of parameter stability.
doi_str_mv 10.1016/0165-1765(91)90100-Y
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title A note on testing for switching regressions
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