On the asymptotic behaviour of unit-root tests in the presence of a Markov trend
type: Item
instance of: scholarly article
title: On the asymptotic behaviour of unit-root tests in the presence of a Markov trend
zbMATH Open document ID: 0996.62083
DOI: 10.1016/S0167-7152(02)00063-9
author: Zacharias Psaradakis
published in: Statistics \& Probability Letters
publication date: 2002-09-05T00:00:00Z
Mathematics Subject Classification ID: 62M10
Mathematics Subject Classification ID: 62M02
zbMATH DE Number: 1796720
zbMATH Keywords: Markov chains
zbMATH Keywords: nonstationarity
zbMATH Keywords: structural change
zbMATH Keywords: unit-root tests
MaRDI profile type: Publication
cites work: Q5560061
cites work: Distribution of the Estimators for Autoregressive Time Series With a Unit Root
cites work: Q4884570
cites work: A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle
cites work: Geometric equivalence of groups.
cites work: Spurious rejections by Dickey-Fuller tests in the presence of a break under the null
cites work: Behaviour of the standard and symmetric Dickey-Fuller-type tests when there is a break under the null hypothesis
cites work: The asymptotic behaviour of the Dickey-Fuller tests under the crash hypothesis.
cites work: Useful Modifications to some Unit Root Tests with Dependent Errors and their Local Asymptotic Properties
cites work: Testing for a unit root in time series regression
cites work: Bootstrap tests for an autoregressive unit root in the presence of weakly dependent errors
cites work: Testing for unit roots in autoregressive-moving average models of unknown order
cites work: Q4272483
cites work: Autocovariance structure of Markov regime switching models and model selection
full work available at URL: s0167-7152(02)00063-9
OpenAlex ID: W2036770120
description: scientific article; zbMATH DE number 1796720