Asymptotics for unit root tests under Markov regime‐switching
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Publication:4439305
DOI10.1111/1368-423X.00107zbMath1032.62072MaRDI QIDQ4439305
Publication date: 17 March 2004
Published in: The Econometrics Journal (Search for Journal in Brave)
Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Non-Markovian processes: hypothesis testing (62M07) Asymptotic properties of parametric tests (62F05) Markov processes: hypothesis testing (62M02)
Related Items
Unit Root Tests under Time-Varying Variances, Testing stationarity under a permanent variance shift, Forward detrending for heteroskedasticity-robust panel unit root testing, Estimation and asymptotics for vector autoregressive models with unit roots and Markov switching trends, Testing for unit roots in time series models with non-stationary volatility, BOOTSTRAP UNIT ROOT TESTS FOR TIME SERIES WITH NONSTATIONARY VOLATILITY, REGIME-SWITCHING AUTOREGRESSIVE COEFFICIENTS AND THE ASYMPTOTICS FOR UNIT ROOT TESTS, Inference in Autoregression under Heteroskedasticity
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