BIROn - Birkbeck Institutional Research Online

    Markov level shifts and the unit-root hypothesis

    Psaradakis, Zacharias (2001) Markov level shifts and the unit-root hypothesis. The Econometrics Journal 4 (2), pp. 226-242. ISSN 1368-4221.

    Full text not available from this repository.

    Abstract

    This paper examines the properties of tests for the presence of an autoregressive unit root in time series that are subject to multiple level shifts. The latter are assumed to be governed by a time‐homogeneous finite Markov chain, thus allowing for an arbitrary number of stochastic breaks. It is demonstrated that standard tests of the unit‐root hypothesis against stationary or single‐break alternatives experience serious difficulties in the presence of Markov level shifts.

    Metadata

    Item Type: Article
    School: School of Business, Economics & Informatics > Economics, Mathematics and Statistics
    Depositing User: Sarah Hall
    Date Deposited: 21 Jul 2020 09:55
    Last Modified: 21 Jul 2020 09:55
    URI: https://eprints.bbk.ac.uk/id/eprint/32627

    Statistics

    Activity Overview
    6 month trend
    0Downloads
    6 month trend
    86Hits

    Additional statistics are available via IRStats2.

    Archive Staff Only (login required)

    Edit/View Item Edit/View Item