We demonstrate that the constant variance assumption in the Markov-switching Augmented Dickey-Fuller (ADF) test proposed by Hall, Psaradakis and Sola (1999) may result in the misjudgement of bubbles. Upon relaxing this assumption to allow for regime-varying error variances in the...

In this paper, we investigate the long-run relationship between effective real exchange rate volatility and economic growth in 15 Sub-Saharan African (SSA) countries using panel unit root and cointegration tests over the period 1980 to 2004. In addition, we use fully modified OLS (FMOLS),...