Testing for Regime Switching in Singaporean Business Cycles

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.