Markov Regime Switching and Unit-Root Tests
By Charles R. Nelson, Jeremy Piger, Eric Zivot. 2000
138 citations recorded by the source corpus.
Subfields: Economics and Econometrics, Finance
View Paper: https://www.semanticscholar.org/paper/0535dabc8ba940253e9da15ee5447b2b4b25df99
How researchers see this paper
The researchers whose trusted networks rank it highest, strongest advocate first. Every researcher gets a different order.
In Economics and Econometrics
- Giuseppe Cavaliere
- Alan M. Taylor
- Robert J. Taylor
- Matei Demetrescu
- S. Leybourne
- Christoph Hanck
- M. Schularick
- David I. Harvey
In Finance
- Giuseppe Cavaliere
- Alan M. Taylor
- M. Schularick
- Hélène Rey
- Thomas Steger
- S. Leybourne
- Ò. Jordà
- Fang Xu
Citations in the corpus
- BOOTSTRAP UNIT ROOT TESTS FOR TIME SERIES WITH NONSTATIONARY VOLATILITY (2007, background): “…autoregressive conditional heteroskedasticity @ARCH# ! impact on the large-sample properties of unit root and cointegration tests ~for the former, see Nelson, Piger, and Zivot, 2001; Cavaliere, 2003; for the latter, see Hansen and Rahbek, 1998; Kim and Schmidt, 1993; Ling, Li, and McAleer, 2003!,…”
- HETEROSKEDASTIC TIME SERIES WITH A UNIT ROOT (2009, background): “1228 c© 2009 Cambridge University Press 0266-4666/09 $15.00 HETEROSKEDASTIC TIME SERIES WITH A UNIT ROOT 1229 that forms a stationary and ergodic Markov chain; see Ling, Li, and McAleer (2003), Burridge and Taylor (2001), and Nelson, Piger, and Zivot (2001), respectively, for details.”
- Unit Root Tests under Time-Varying Variances (2005, background): “Nelson et al. (2001) and Cavaliere (2003a) examine the effect of variance breaks following a Markovswitching process and find little evidence of size distortions.”