On the asymptotic behaviour of unit-root tests in the presence of a Markov trend

DOI10.1016/S0167-7152(02)00063-9zbMath0996.62083MaRDI QIDQ1613045

Zacharias Psaradakis

Publication date: 5 September 2002

Published in: Statistics \& Probability Letters (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/s0167-7152(02)00063-9

zbMATH Keywords

Markov chains; nonstationarity; structural change; unit-root tests

Mathematics Subject Classification ID

62M10: Time series, auto-correlation, regression, etc. in statistics (GARCH)

62M02: Markov processes: hypothesis testing

Cites Work

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• A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle
• Behaviour of the standard and symmetric Dickey-Fuller-type tests when there is a break under the null hypothesis
• Useful Modifications to some Unit Root Tests with Dependent Errors and their Local Asymptotic Properties
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