Supplement to "Optimal Test for Markov Switching Parameters"

This appendix contains all the proofs of the results presented in the paper.  Moreover, it presents various potential applications of our tests, derives their asymptotic distributions and critical values in special cases, defines tensor notations, and provides some extra results on the power of the tests.

Supplemental Authors: 
Marine Carrasco, Liang Hu, and Werner Plogerger