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

Psaradakis, Zacharias (2002) On the asymptotic behaviour of unit-root tests in the presence of a Markov trend. Statistics and Probability Letters 57 (1), pp. 101-109. ISSN 0167-7152.

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Official URL: https://doi.org/10.1016/S0167-7152(02)00063-9

Abstract

This paper examines the behaviour of unit-root tests for I(1) time series with drift which is subject to Markov regime changes. It is shown that the asymptotic null distributions of the popular Dickey–Fuller statistics are different from the standard asymptotic distributions obtained under a no-break assumption. Monte Carlo experiments are used to illustrate the finite-sample implications of the theoretical results.

Metadata

Item Type:	Article
School:	Birkbeck Faculties and Schools > Faculty of Business and Law > Birkbeck Business School
Depositing User:	Sarah Hall
Date Deposited:	21 Jul 2020 09:45
Last Modified:	02 Aug 2023 18:01
URI:	https://eprints.bbk.ac.uk/id/eprint/32626

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