A Unit Root Test with Markov Switching Deterministic Components: A Special Emphasis on Nonlinear Optimization Algorithms
Author:
Publisher
Springer Science and Business Media LLC
Subject
Computer Science Applications,Economics, Econometrics and Finance (miscellaneous)
Link
https://link.springer.com/content/pdf/10.1007/s10614-023-10501-4.pdf
Reference18 articles.
1. Camacho, M. (2011). Markov-switching models and the unit root hypothesis in real US GDP. Economics Letters., 112, 161–164.
2. Cavaliere, G. (2003). Asymptotics for unit root tests under Markov regime-switching. Econometrics Journal, 6, 193–216.
3. Chang, Y., & Park, J. (2002). On the asymptotics of ADF tests for unit roots. Econometric Reviews., 21, 431–447.
4. Dawid, A. P., & Skene, A. M. (1979). Maximum likelihood estimation of observer error-rates using the EM algorithm. Applied Statistics, 28, 20–28.
5. Hall, S. G., Psaradakis, Z., & Sola, M. (1999). Detecting periodically collapsing bubbles: a markov-switching unit root test. Journal of Applied Econometrics., 14, 143–154.
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