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

DOI10.1017/S0266466608080572MaRDI QIDQ3632413zbMATH OpenOpenAlexFDO

Authors Giuseppe Cavaliere, Iliyan Georgiev

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

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

Recommendations

• Asymptotics for unit root tests under Markov regime‐switching
• Unit Roots and Asymmetric Smooth Transitions
• On the asymptotic behaviour of unit-root tests in the presence of a Markov trend
• Markov regime-switching tests: asymptotic critical values
• STOCHASTIC UNIT ROOT MODELS

Cites work

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

Cited in

(6)

• Asymptotics for unit root tests under Markov regime‐switching
• Random coefficient autoregression, regime switching and long memory
• Asymptotic properties of autoregressive regime-switching models
• Testing the term structure of interest rates using a stationary vector autoregression with regime switching
• Estimation and asymptotics for vector autoregressive models with unit roots and Markov switching trends
• A unified theory for ARMA models with varying coefficients: one solution fits all

This page was built for publication: REGIME-SWITCHING AUTOREGRESSIVE COEFFICIENTS AND THE ASYMPTOTICS FOR UNIT ROOT TESTS

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q3632413)