Unobserved heterogeneity in Markovian analysis of the size distortion of unit root tests

DOI10.1080/00949650412331299111zbMath1074.62056OpenAlexW2108422082MaRDI QIDQ5704634

Steven Cook, Neil Manning

Publication date: 15 November 2005

Published in: Journal of Statistical Computation and Simulation (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/00949650412331299111

zbMATH Keywords

tablesoutliersMarkov chainsMonte Carlo simulationunit rootsstructural breaks

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Design of statistical experiments (62K99) Monte Carlo methods (65C05)

Related Items (1)

Some properties of a unit root test with multiple level shifts in the presence of Markov level shifts

Cites Work

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• Estimating and Testing Linear Models with Multiple Structural Changes
• Markov level shifts and the unit-root hypothesis
• The Great Crash, the Oil Price Shock, and the Unit Root Hypothesis
• Unit Root Tests in ARMA Models with Data-Dependent Methods for the Selection of the Truncation Lag
• ALTERNATIVE ESTIMATORS AND UNIT ROOT TESTS FOR THE AUTOREGRESSIVE PROCESS
• Efficient Tests for an Autoregressive Unit Root

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