Asymptotic Null Distribution of the Likelihood Ratio Test in Markov Switching Models

A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle

1989 • 9,360 citations

Tests for Parameter Instability and Structural Change With Unknown Change Point

1993 • 4,272 citations

Optimal Tests when a Nuisance Parameter is Present Only Under the Alternative

1994 • 2,512 citations

Hypothesis testing when a nuisance parameter is present only under the alternative

1987 • 2,016 citations

Several Tests for Model Specification in the Presence of Alternative Hypotheses

1981 • 1,821 citations

Long Swings in the Dollar: Are They in the Data and Do Markets Know It?

1990 • 1,006 citations

An Analysis of the Real Interest Rate Under Regime Shifts

1996 • 798 citations

The likelihood ratio test under nonstandard conditions: Testing the markov switching model of gnp

1992 • 610 citations

A Markov model of heteroskedasticity, risk, and learning in the stock market

1989 • 609 citations

Specification testing in Markov-switching time-series models

1996 • 468 citations

Mean Reversion in Equilibrium Asset Prices

1990 • 455 citations

Testing for Threshold Autoregression

1990 • 136 citations

Inference when a Nuisance Parameter is Not Identified Under the Null Hypothesis

1991 • 32 citations

Testing a Nonlinear Regression Specification: A Nonregular Case

1977 • 11 citations

Admissibility of the Likelihood Ratio Test When a Nuisance Parameter Is Present OnlyUnder the Alternative

1993 • 6 citations