Janczura, Joanna and Weron, Rafal (2011): Goodnessoffit testing for the marginal distribution of regimeswitching models.
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Abstract
In this paper we propose a new goodnessoffit testing scheme for the marginal distribution of regimeswitching models. We consider models with an observable (like threshold autoregressions), as well as, a latent state process (like Markov regimeswitching). The test is based on the KolmogorovSmirnov supremumdistance statistic and the concept of the weighted empirical distribution function. The motivation for this research comes from a recent stream of literature in energy economics concerning electricity spot price models. While the existence of distinct regimes in such data is generally unquestionable (due to the supply stack structure), the actual goodnessoffit of the models requires statistical validation. We illustrate the proposed scheme by testing whether a commonly used Markov regimeswitching model fits deseasonalized electricity prices from the NEPOOL (U.S.) dayahead market.
Item Type:  MPRA Paper 

Original Title:  Goodnessoffit testing for the marginal distribution of regimeswitching models 
Language:  English 
Keywords:  Regimeswitching; marginal distribution; goodnessoffit; weighted empirical distribution function; KolmogorovSmirnov test 
Subjects:  C  Mathematical and Quantitative Methods > C5  Econometric Modeling > C52  Model Evaluation, Validation, and Selection C  Mathematical and Quantitative Methods > C1  Econometric and Statistical Methods and Methodology: General > C12  Hypothesis Testing: General Q  Agricultural and Natural Resource Economics ; Environmental and Ecological Economics > Q4  Energy > Q40  General 
Item ID:  32532 
Depositing User:  Rafal Weron 
Date Deposited:  01 Aug 2011 19:31 
Last Modified:  21 Oct 2019 03:02 
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URI:  https://mpra.ub.unimuenchen.de/id/eprint/32532 
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