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

DOI10.1016/S0167-7152(02)00063-9zbMath0996.62083OpenAlexW2036770120MaRDI QIDQ1613045

Zacharias Psaradakis

Publication date: 5 September 2002

Published in: Statistics \& Probability Letters (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/s0167-7152(02)00063-9

zbMATH Keywords

Markov chainsnonstationaritystructural changeunit-root tests

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Markov processes: hypothesis testing (62M02)

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