Nelson, Charles R; Piger, Jeremy; Zivot, Eric - In: Journal of Business & Economic Statistics 19 (2001) 4, pp. 404-15
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...