Powell, John G.; Shi, Jing; Smith, Tom; Whaley, Robert E. - In: Journal of Banking & Finance 33 (2009) 6, pp. 1112-1128
This paper provides a method for testing for regime differences when regimes are long-lasting. Standard testing procedures are generally inappropriate because regime persistence causes a spurious regression problem - a problem that has led to incorrect inference in a broad range of studies...