REGIME-SWITCHING AUTOREGRESSIVE COEFFICIENTS AND THE ASYMPTOTICS FOR UNIT ROOT TESTS
研究了当区制转换次数有界时，马尔可夫区制转换自回归模型的渐近性质，并将理论应用于随机单位根模型，帮助理解单位根检验在罕见区制转换下的行为。
Most of the asymptotic results for Markov regime-switching models with possible unit roots are based on specifications implying that the number of regime switches grows to infinity as the sample size increases. Conversely, in this note we derive some new asymptotic results for the case of Markov regime switches that are infrequent in the sense that their number is bounded in probability, even asymptotically. This is achieved by (inversely) relating the probability of regime switching to the sample size. The proposed asymptotic theory is applied to a well-known stochastic unit root model, where the dynamics of the observed variable switches between a unit root regime and a stationary regime.