EconPapers    
Economics at your fingertips  
 

Markov regime switching and unit root tests

Charles Nelson, Jeremy Piger () and Eric Zivot ()

No 2001-013, Working Papers from Federal Reserve Bank of St. Louis

Abstract: 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 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 in the level of trend.

Keywords: time series analysis; Business cycles (search for similar items in EconPapers)
Date: 2001
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (39) Track citations by RSS feed

Published in Journal of Business and Economic Statistics, October 2001, 19(4), pp. 404-15

Downloads: (external link)
http://research.stlouisfed.org/wp/more/2001-013 (application/pdf)
http://research.stlouisfed.org/wp/2001/2001-013.pdf

Related works:
Journal Article: Markov Regime Switching and Unit-Root Tests (2001)
Working Paper: Markov regime-switching and unit root tests (2000) Downloads
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:fip:fedlwp:2001-013

Ordering information: This working paper can be ordered from

Access Statistics for this paper

More papers in Working Papers from Federal Reserve Bank of St. Louis Contact information at EDIRC.
Bibliographic data for series maintained by Anna Oates ().

 
Page updated 2022-06-25
Handle: RePEc:fip:fedlwp:2001-013