To Compare the Goodness of Fit of Markov Switching and Threshold

Multiple Choice

To compare the goodness of fit of Markov switching and threshold autoregressive models with linear models, one can compare the residual sums of squares of the two types of models using an F-test. Is the statement true?

A) Yes
B) No
C) If the autoregressive model is restricted
D) Cannot say without knowing the number of regimes in the regime switching models