Most of the asymptotic results for Markov regime-switching models with possible unit roots are based on specifications implying that the number of regime switches grows to infinity as the sample size increases. Conversely, in this note we derive some new asymptotic results for the case of Markov regime switches that are infrequent in the sense that their number is bounded in probability, even asymptotically. This is achieved by inversely relating the probability of regime switching to the sample size. The proposed asymptotic theory is applied to a well-known stochastic unit root model, where the dynamics of the observed variable switches between a unit root regime and a stationary regime.
Cavaliere G., Georgiev I. (2008). Regime-switching autoregressive coefficients and the asymptotics for unit root tests. ECONOMETRIC THEORY, 24, 1137-1148 [10.1017/S0266466608080572].
Regime-switching autoregressive coefficients and the asymptotics for unit root tests
CAVALIERE, GIUSEPPE;GEORGIEV, ILIYAN VLADIMIROV
2008
Abstract
Most of the asymptotic results for Markov regime-switching models with possible unit roots are based on specifications implying that the number of regime switches grows to infinity as the sample size increases. Conversely, in this note we derive some new asymptotic results for the case of Markov regime switches that are infrequent in the sense that their number is bounded in probability, even asymptotically. This is achieved by inversely relating the probability of regime switching to the sample size. The proposed asymptotic theory is applied to a well-known stochastic unit root model, where the dynamics of the observed variable switches between a unit root regime and a stationary regime.I documenti in IRIS sono protetti da copyright e tutti i diritti sono riservati, salvo diversa indicazione.