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Persistent link: https://www.econbiz.de/10001965291
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 previously...
Persistent link: https://www.econbiz.de/10005352831