On the asymptotic behaviour of unit-root tests in the presence of a Markov trend
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.
Volume (Year): 57 (2002)
Issue (Month): 1 (March)
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