Markov Regime Switching and Unit-Root Tests
研究了数据经历马尔可夫体制转换时单位根检验的检验功效和实际显著性水平，发现所有检验对马尔可夫转换趋势过程功效较低，而方差转换可能导致过度拒绝。
We investigate the power and size performance of unit-root tests when the data undergo Markov regime switching. All tests, including those robust to a single break in trend growth rate, have low power against a process with a Markov-switching trend. Under the null hypothesis, we find that previously documented size distortions in Dickey–Fuller-type tests caused by a single break in trend growth rate or variance do not generalize to most parameterizations of Markov switching in trend or variance. However, Markov switching in variance can lead to overrejection in tests allowing for a single break the level of trend.