Markov Regime Switching and Unit-Root Tests
نویسندگان
چکیده
منابع مشابه
Markov Regime Switching and Unit-Root Tests
We investigate the power and size performance of unit root tests when the true data generating process undergoes Markov regime-switching. All tests, including those robust to a single break in trend growth rate, have very low power against a process with a Markov-switching trend growth rate as in Lam (1990). However, for the case of business cycle non-linearities, unit root tests are very power...
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ژورنال
عنوان ژورنال: Journal of Business & Economic Statistics
سال: 2001
ISSN: 0735-0015,1537-2707
DOI: 10.1198/07350010152596655