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...

The authors investigate confidence intervals and inference for the instrumental variables model with weak instruments. Confidence intervals based on inverting the Lagrange multiplier (LM), likelihood ration (LR), and Anderson-Robin statistics perform far better than the Wald. Performance of the...