On the asymptotic behaviour of unit-root tests in the presence of a Markov trend
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- Paap, Richard & van Dijk, Herman K, 2003.
"Bayes Estimates of Markov Trends in Possibly Cointegrated Series: An Application to U.S. Consumption and Income,"
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- Paap, R. & van Dijk, H.K., 2002. "Bayes estimates of Markov trends in possibly cointegrated series: an application to US consumption and income," Econometric Institute Research Papers EI 2002-42, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute.
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"Cointegration tests under multiple regime shifts: An application to the stock price–dividend relationship,"
Springer, vol. 41(3), pages 639-662, December.
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- Vasco Gabriel & Luis Martins, 2010. "Cointegration Tests under Multiple Regime Shifts: An Application to the Stock Price-Dividend Relationship," School of Economics Discussion Papers 0910, School of Economics, University of Surrey.
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"Non-Linearities and Unit Roots in G7 Macroeconomic Variables,"
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More about this item
KeywordsMarkov chain Non-stationarity Structural change Unit-root test;
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