REGIME-SWITCHING AUTOREGRESSIVE COEFFICIENTS AND THE ASYMPTOTICS FOR UNIT ROOT TESTS

DOI10.1017/S0266466608080572zbMath1284.62515OpenAlexW2020305852MaRDI QIDQ3632413

Iliyan Georgiev, Giuseppe Cavaliere

Publication date: 11 June 2009

Published in: Econometric Theory (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1017/s0266466608080572

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Markov processes: estimation; hidden Markov models (62M05) Non-Markovian processes: hypothesis testing (62M07)

Related Items (1)

Estimation and asymptotics for vector autoregressive models with unit roots and Markov switching trends

Cites Work

• Weak limit theorems for stochastic integrals and stochastic differential equations
• Infrequent permanent shocks and the finite-sample performance of unit root tests
• Asymptotics for linear processes
• STOCHASTIC UNIT ROOT MODELS
• The Two-State Markov Process and Additional Events
• A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle
• Asymptotics for unit root tests under Markov regime‐switching
• The Invariance Principle for Some Class of Markov Chains
• Markov level shifts and the unit-root hypothesis
• The Great Crash, the Oil Price Shock, and the Unit Root Hypothesis
• Long memory and regime switching

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