Testing for regime switching in Singaporean business cycles

Vol: 
2003/20
Author name: 
Robert Breunig
Alison Stegman
Year: 
2003
Month: 
September
Abstract: 

We examine a Markov Switching model of Singaporean GDP using a combination of formal moment-based tests and informal graphical tests. The tests confirm that the Markov Switching model fits the data better than a linear, autoregressive alternative. The methods are extended to allow us to identify precisely which features of the data are better captured by the non-linear model. The methods described here allow model selection to be related to the intended use of the model.

Publication file: 

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