Markov Regime Switching and Unit-Root Tests
Bibliographic Data
| ID | 19418690 |
|---|---|
| Authors | Charles R Nelson (0000-0001-7508-0859, University of Washington), Jeremy Piger (0000-0001-6592-9986, Federal Reserve Board of Governors), Eric Zivot (0009-0006-7455-9503, University of Washington) |
| Year | 2001 |
| Volume | 19 |
| Issue | 4 |
| Pages | 404-415 |
| Publication date | 2001-10-01 |
| Open Access | No |
| Type | ARTICLE |
| Venue | Journal of Business and Economic Statistics (JOURNAL) |
| Journal identifiers | ISSN: 0735-0015 • E-ISSN: 1537-2707 |
| Publisher | Informa UK Limited (PUBLISHER • GB) |
| DOI | 10.1198/07350010152596655 |
| OpenAlex | W2157753544 |
| Language | EN |
| Citations received | 4 |
| References cited | 32 |
We investigate the power and size performance of unit-root tests when the data undergo Markov regime switching. All tests, including those robust to a single break in trend growth rate, have low power against a process with a Markov-switching trend. Under the null hypothesis, we find that previously documented size distortions in Dickey–Fuller-type tests caused by a single break in trend growth rate or variance do not generalize to most parameterizations of Markov switching in trend or variance. However, Markov switching in variance can lead to overrejection in tests allowing for a single break the level of trend
Cointegration · Econometrics · Economics · Markov chain · Markov model · Markov process · Statistics · Structural break · Unit root · Unit root test · Financial Risk and Volatility Modeling · Mathematics · Monetary Policy and Economic Impact · Stochastic processes and financial applications
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Testing for unit roots in autoregressive-moving average models of unknown order
The Great Crash, the Oil Price Shock, and the Unit Root Hypothesis
Distribution of the Estimators for Autoregressive Time Series with a Unit Root
Further Evidence on the Great Crash, the Oil-Price Shock, and the Unit-Root Hypothesis
Regime Switches in Interest Rates
The Effects of Additive Outliers on Tests for Unit Roots and Cointegration
Testing for a Unit Root in Time Series With Pretest Data-Based Model Selection
Inventories and the Three Phases of the Business Cycle
Multiple Trend Breaks and the Unit-Root Hypothesis
An Analysis of the Real Interest Rate Under Regime Shifts
| Citations per year | 0.17 |
|---|---|
| Citation span | 2003 - 2024 (22) |
| Highly cited | No |