Some properties of a unit root test with multiple level shifts in the presence of Markov level shifts
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Publication:1005218
DOI10.1016/j.matcom.2008.09.005zbMath1163.62071MaRDI QIDQ1005218
Publication date: 9 March 2009
Published in: Mathematics and Computers in Simulation (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.matcom.2008.09.005
62M10: Time series, auto-correlation, regression, etc. in statistics (GARCH)
65C05: Monte Carlo methods
62M02: Markov processes: hypothesis testing
Cites Work
- Spurious rejections by Dickey-Fuller tests in the presence of a break under the null
- Testing for a unit root in variables with a double change in the mean
- Distribution of the Estimators for Autoregressive Time Series With a Unit Root
- Estimating and Testing Linear Models with Multiple Structural Changes
- Markov level shifts and the unit-root hypothesis
- Unit‐root testing against the alternative hypothesis of up to m structural breaks
- Unobserved heterogeneity in Markovian analysis of the size distortion of unit root tests