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Markov Regime Switching and Unit-Root Tests

16 references·16 citing·23 second hopsampled

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References

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2002Further Evidence on the Great Crash, the Oil-Price Shock, and the Unit-Root Hypothesis5,745 cited
1982Trends and random walks in macroeconmic time series4,670 cited
1984Testing for Unit Roots in Autoregressive-Moving Average Models of Unknown Order3,426 cited
1997Further evidence on breaking trend functions in macroeconomic variables2,035 cited
1992Further Evidence on the Great Crash, the Oil-Price Shock, and the Unit-Root Hypothesis1,956 cited
1997Multiple Trend Breaks and the Unit-Root Hypothesis1,504 cited
1991Pitfalls and Opportunities: What Macroeconomists Should Know about Unit Roots1,314 cited
1988Tests For Unit Roots: A Monte Carlo Investigation1,244 cited
1989Why Does Stock Market Volatility Change Over Time?1,209 cited
1971The Optimum Quantity of Money: and Other Essays1,208 cited
1990Testing for a Unit Root in a Time Series With a Changing Mean1,180 cited
1990

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Recursive and Sequential Tests of the Unit Root and Trend Break Hypothesis: Theory and International Evidence

870 cited

2002Regime Switches in Interest Rates854 cited

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2007How useful are tests for unit‐root in distinguishing unit‐root processes from stationary but non‐linear processes?64 cited
2003Bayes Estimates of Markov Trends in Possibly Cointegrated Series58 cited
2008Endogenous Events and Long-Run Returns54 cited
2006Unit roots and structural breaks: a survey of the literature49 cited
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