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

Zacharias Psaradakis

Statistics & Probability Letters, 2002, vol. 57, issue 1, 101-109

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.

Keywords: Markov; chain; Non-stationarity; Structural; change; Unit-root; test (search for similar items in EconPapers)
Date: 2002
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Citations: View citations in EconPapers (3)

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