Testing for Regime Switching in Singaporean Business Cycles

    Research output: Contribution to journalArticle


    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 nonlinear model. The methods described here allow model selection to be related to the intended use of the model.
    Original languageEnglish
    Pages (from-to)25-34
    JournalSingapore Economic Review
    Issue number1
    Publication statusPublished - 2005


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