Open AccessMarkov Regime-Switching and Unit Root Tests
Author(s) -
Jeremy M. Piger,
Eric Zivot,
Charles A. Nelson
Publication year - 2000
Publication title -
international finance discussion papers
Language(s) - English
Resource type - Journals
eISSN - 2767-4509
pISSN - 1073-2500
DOI - 10.17016/ifdp.2000.683
Subject(s) - unit root , markov chain , variance (accounting) , econometrics , unit root test , mathematics , markov process , structural break , statistics , markov model , computer science , economics , cointegration , accounting