IDEAS home Printed from https://ideas.repec.org/r/fip/fedlwp/2001-013.html
   My bibliography  Save this item

Markov regime switching and unit root tests

Citations

Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
as


Cited by:

  1. Camacho, Maximo, 2011. "Markov-switching models and the unit root hypothesis in real US GDP," Economics Letters, Elsevier, vol. 112(2), pages 161-164, August.
  2. Nikolaou, Kleopatra, 2008. "The behaviour of the real exchange rate: Evidence from regression quantiles," Journal of Banking & Finance, Elsevier, vol. 32(5), pages 664-679, May.
  3. Paap, Richard & van Dijk, Herman K, 2003. "Bayes Estimates of Markov Trends in Possibly Cointegrated Series: An Application to U.S. Consumption and Income," Journal of Business & Economic Statistics, American Statistical Association, vol. 21(4), pages 547-563, October.
  4. Joseph P. Byrne & Roger Perman, 2006. "Unit Roots and Structural Breaks: A Survey of the Literature," Working Papers 2006_10, Business School - Economics, University of Glasgow.
  5. Mirko Abbritti & Luis A. Gil-Alana & Yuliya Lovcha & Antonio Moreno, 2016. "Term Structure Persistence," Journal of Financial Econometrics, Oxford University Press, vol. 14(2), pages 331-352.
  6. Caporale, Guglielmo Maria & Girardi, Alessandro & Paesani, Paolo, 2012. "Quoted spreads and trade imbalance dynamics in the European Treasury bond market," The Quarterly Review of Economics and Finance, Elsevier, vol. 52(2), pages 173-182.
  7. Phoebe Koundouri & Theologos Pantelidis & Ben Groom & Ekaterini Panopoulou, 2007. "Discounting the distant future: How much does model selection affect the certainty equivalent rate?," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 22(3), pages 641-656.
  8. Cuestas, Juan C. & Gil-Alana, Luís A., 2009. "Further evidence on the PPP analysis of the Australian dollar: Non-linearities, fractional integration and structural changes," Economic Modelling, Elsevier, vol. 26(6), pages 1184-1192, November.
  9. Oreste Napolitano, 2009. "Is the impact of the ECB Monetary Policy on EMU stock market returns asymmetric?," STUDI ECONOMICI, FrancoAngeli Editore, vol. 0(97), pages 145-180.
  10. Gärtner, Dennis L. & Halbheer, Daniel, 2009. "Are there waves in merger activity after all?," International Journal of Industrial Organization, Elsevier, vol. 27(6), pages 708-718, November.
  11. Yarovaya, Larisa & Matkovskyy, Roman & Jalan, Akanksha, 2022. "The COVID-19 black swan crisis: Reaction and recovery of various financial markets," Research in International Business and Finance, Elsevier, vol. 59(C).
  12. Hector Carcel & Luis A. Gil-Alana, 2018. "Inflation analysis in the Central American Monetary Council," Empirical Economics, Springer, vol. 54(2), pages 547-565, March.
  13. Sylvia Kaufmann & Peter Kugler, 2008. "Does Money Matter For Inflation In The Euro Area?," Contemporary Economic Policy, Western Economic Association International, vol. 26(4), pages 590-606, October.
  14. Vasco Gabriel & Luis Martins, 2011. "Cointegration tests under multiple regime shifts: An application to the stock price–dividend relationship," Empirical Economics, Springer, vol. 41(3), pages 639-662, December.
  15. Chew Lian Chua & Sandy Suardi, 2007. "Markov‐Switching Mean Reversion in Short‐Term Interest Rates: Evidence from East Asian Economies," The Economic Record, The Economic Society of Australia, vol. 83(263), pages 383-397, December.
  16. Artur C. B. Da Silva Lopes, 2008. "Finite Sample Effects Of Pure Seasonal Mean Shifts On Dickey–Fuller Tests: A Simulation Study," Manchester School, University of Manchester, vol. 76(5), pages 528-538, September.
  17. Cavaliere, Giuseppe, 2004. "Testing stationarity under a permanent variance shift," Economics Letters, Elsevier, vol. 82(3), pages 403-408, March.
  18. Skrobotov, Anton, 2020. "Survey on structural breaks and unit root tests," Applied Econometrics, Russian Presidential Academy of National Economy and Public Administration (RANEPA), vol. 58, pages 96-141.
  19. Alberto Humala, 2005. "Interest rate pass-through and financial crises: do switching regimes matter? the case of Argentina," Applied Financial Economics, Taylor & Francis Journals, vol. 15(2), pages 77-94.
  20. Erica Clower & Hiro Ito, 2012. "The Persistence of Current Account Balances and its Determinants : The Implications for Global Rebalancing," Macroeconomics Working Papers 23381, East Asian Bureau of Economic Research.
  21. Miguel A. León‐Ledesma & Peter McAdam, 2004. "Unemployment, Hysteresis And Transition," Scottish Journal of Political Economy, Scottish Economic Society, vol. 51(3), pages 377-401, August.
  22. Aye, Goodness C. & Gil-Alana, Luis A. & Gupta, Rangan & Wohar, Mark E., 2017. "The efficiency of the art market: Evidence from variance ratio tests, linear and nonlinear fractional integration approaches," International Review of Economics & Finance, Elsevier, vol. 51(C), pages 283-294.
  23. Kleopatra Nikolaou, 2007. "The behaviour of the real exchange rate: Evidence from regression quantiles," Money Macro and Finance (MMF) Research Group Conference 2006 46, Money Macro and Finance Research Group.
  24. Mikael Juselius & Moshe Kim, 2017. "Sustainable Financial Obligations and Crisis Cycles," Econometrics, MDPI, vol. 5(2), pages 1-23, June.
  25. Guglielmo Maria Caporale & Luis Alberiko Gil-Alana, 2023. "Long-Run Trends and Cycles in US House Prices," CESifo Working Paper Series 10751, CESifo.
  26. Mikael Juselius & Moshe Kim & Staffan Ringbom, 2015. "Do markup dynamics reflect fundamentals or changes in conduct?," Empirical Economics, Springer, vol. 48(3), pages 1119-1147, May.
  27. Hyginus Leon & Serineh Najarian, 2005. "Asymmetric adjustment and nonlinear dynamics in real exchange rates," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 10(1), pages 15-39.
  28. Guglielmo Maria Caporale & Luis Alberiko Gil-Alana & Nicola Rubino & Inmaculada Vilchez, 2024. "Modelling Loans to Non-Financial Corporations in the Eurozone: A Long-Memory Approach," International Advances in Economic Research, Springer;International Atlantic Economic Society, vol. 30(3), pages 231-254, August.
  29. Gil-Alana, Luis A. & Yaya, OlaOluwa S., 2014. "The relationship between oil prices and the Nigerian stock market. An analysis based on fractional integration and cointegration," Energy Economics, Elsevier, vol. 46(C), pages 328-333.
  30. repec:dau:papers:123456789/11721 is not listed on IDEAS
  31. Gil-Alana, Luis A. & Gupta, Rangan & Shittu, Olanrewaju I. & Yaya, OlaOluwa S., 2018. "Market efficiency of Baltic stock markets: A fractional integration approach," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 511(C), pages 251-262.
  32. Luis A. Gil-Alana & OlaOluwa S. Yaya, 2021. "Testing fractional unit roots with non-linear smooth break approximations using Fourier functions," Journal of Applied Statistics, Taylor & Francis Journals, vol. 48(13-15), pages 2542-2559, November.
  33. Tolga Omay & Aysegul Corakci, 2024. "A Unit Root Test with Markov Switching Deterministic Components: A Special Emphasis on Nonlinear Optimization Algorithms," Computational Economics, Springer;Society for Computational Economics, vol. 64(3), pages 1837-1856, September.
  34. Takeuchi, Fumihide, 2010. "US external debt sustainability revisited: Bayesian analysis of extended Markov switching unit root test," Japan and the World Economy, Elsevier, vol. 22(2), pages 98-106, March.
  35. Chew Lian Chua & Sandy Suardi, 2005. "Is There a Unit Root in East-Asian Short-Term Interest Rates?," Melbourne Institute Working Paper Series wp2005n14, Melbourne Institute of Applied Economic and Social Research, The University of Melbourne.
  36. Francis Ahking, 2010. "Non-parametric tests of real exchange rates in the post-Bretton Woods era," Empirical Economics, Springer, vol. 39(2), pages 439-456, October.
  37. Wahyudi, Imam & Luxianto, Rizky & Iwani, Niken & Sulung, Liyu Adhika Sari, 2008. "Early Warning System in ASEAN Countries Using Capital Market Index Return: Modified Markov Regime Switching Model," MPRA Paper 59723, University Library of Munich, Germany, revised 16 Jul 2010.
  38. Attfield, Cliff & Temple, Jonathan R.W., 2010. "Balanced growth and the great ratios: New evidence for the US and UK," Journal of Macroeconomics, Elsevier, vol. 32(4), pages 937-956, December.
  39. RIANE, Nizare, 2014. "Etude de la dynamique non-linéaire des rentabilités de la bourse de Casablanca [Study of the returns nonlinear dynamics of the Casablanca stock exchange]," MPRA Paper 61957, University Library of Munich, Germany, revised 06 Feb 2015.
  40. Adekoya, Oluwasegun B. & Oliyide, Johnson A. & Asl, Mahdi Ghaemi & Jalalifar, Saba, 2021. "Financing the green projects: Market efficiency and volatility persistence of green versus conventional bonds, and the comparative effects of health and financial crises," International Review of Financial Analysis, Elsevier, vol. 78(C).
  41. Noriega Antonio E. & Ventosa-Santaulària Daniel, 2010. "Spurious Long-Horizon Regression in Econometrics," Working Papers 2010-06, Banco de México.
  42. Eric Girardin, 2004. "Regime-Dependent Synchronization of Growth Cycles between Japan and East Asia," Asian Economic Papers, MIT Press, vol. 3(3), pages 147-176.
  43. Nikolaou, Kleopatra, 2006. "The behaviour of the real exchange rate: evidence from regression quantiles," Working Paper Series 667, European Central Bank.
  44. Philip Kostov & John Lingard, 2004. "Regime-switching Vector Error Correction Model (VECM) analysis of UK meat consumption," Econometrics 0409007, University Library of Munich, Germany.
  45. Emrah Çevik & Erdal Atukeren & Turhan Korkmaz, 2013. "Nonlinearity and nonstationarity in international art market prices: evidence from Markov-switching ADF unit root tests," Empirical Economics, Springer, vol. 45(2), pages 675-695, October.
  46. Roberto Baragona & Francesco Battaglia & Domenico Cucina, 2016. "Empirical Likelihood for Outlier Detection and Estimation in Autoregressive Time Series," Journal of Time Series Analysis, Wiley Blackwell, vol. 37(3), pages 315-336, May.
  47. B. da Silva Lopes, Artur C., 2005. "Finite sample effects of pure seasonal mean shifts on Dickey-Fuller tests," MPRA Paper 125, University Library of Munich, Germany, revised May 2006.
  48. Parisa Pakrooh & Matteo Manera, 2024. "Causality, Connectedness, and Volatility Pass-through among Energy-Metal-Stock-Carbon Markets: New Evidence from the EU," Working Papers 2024.22, Fondazione Eni Enrico Mattei.
  49. repec:zbw:bofrdp:2009_012 is not listed on IDEAS
  50. Davidson, James & Terasvirta, Timo, 2002. "Long memory and nonlinear time series," Journal of Econometrics, Elsevier, vol. 110(2), pages 105-112, October.
  51. Kuhanathan Ano Sujithan & Sanvi Avouyi-Dovi, 2013. "The links between some European financial factors and the BRICS credit default swap spreads," Post-Print hal-01511898, HAL.
  52. Aksoy Yunus & Leon-Ledesma Miguel A., 2008. "Non-Linearities and Unit Roots in G7 Macroeconomic Variables," The B.E. Journal of Macroeconomics, De Gruyter, vol. 8(1), pages 1-44, February.
  53. Balcilar, Mehmet & Gupta, Rangan & Jooste, Charl & Ranjbar, Omid, 2016. "Characterising the South African business cycle: is GDP difference-stationary or trend-stationary in a Markov-switching setup? - Il ciclo economico del Sud Africa: il PIL è stazion ario alle differenz," Economia Internazionale / International Economics, Camera di Commercio Industria Artigianato Agricoltura di Genova, vol. 69(1), pages 33-44.
  54. Aaron D. Smallwood, 2016. "A Monte Carlo Investigation of Unit Root Tests and Long Memory in Detecting Mean Reversion in I(0) Regime Switching, Structural Break, and Nonlinear Data," Econometric Reviews, Taylor & Francis Journals, vol. 35(6), pages 986-1012, June.
  55. Cevik, Emrah Ismail & Dibooglu, Sel, 2013. "Persistence and non-linearity in US unemployment: A regime-switching approach," Economic Systems, Elsevier, vol. 37(1), pages 61-68.
  56. Carlo Di Giorgio, 2016. "Business Cycle Synchronization of CEECs with the Euro Area: A Regime Switching Approach," Journal of Common Market Studies, Wiley Blackwell, vol. 54(2), pages 284-300, March.
  57. Gil-Alana, Luis A. & Mudida, Robert & Carcel, Hector, 2017. "Shocks affecting electricity prices in Kenya, a fractional integration study," Energy, Elsevier, vol. 124(C), pages 521-530.
  58. Mr. Gene L. Leon & Serineh Najarian, 2003. "Asymmetric Adjustment and Nonlinear Dynamics in Real Exchange Rates," IMF Working Papers 2003/159, International Monetary Fund.
  59. Luis A. Gil-Alana & Trilochan Tripathy, 2016. "Long Range Dependence in the Indian Stock Market: Evidence of Fractional Integration, Non-Linearities and Breaks," Journal of Quantitative Economics, Springer;The Indian Econometric Society (TIES), vol. 14(2), pages 199-215, December.
  60. Khan, Asad Ul Islam & Shahbaz, Muhammad & Napari, Ayuba, 2023. "Subsample stability, change detection and dynamics of oil and metal markets: A recursive approach," Resources Policy, Elsevier, vol. 83(C).
  61. Brian M. Lucey & Fergal A. O’Connor, 2013. "Do bubbles occur in the gold price? An investigation of gold lease rates and Markov Switching models," Borsa Istanbul Review, Research and Business Development Department, Borsa Istanbul, vol. 13(3), pages 53-63, September.
  62. Cavaliere, Giuseppe & Taylor, A.M. Robert, 2007. "Testing for unit roots in time series models with non-stationary volatility," Journal of Econometrics, Elsevier, vol. 140(2), pages 919-947, October.
  63. Guglielmo Maria Caporale & Luis A. Gil-Alana, 2020. "Modelling Loans to Non-Financial Corporations within the Eurozone: A Long-Memory Approach," CESifo Working Paper Series 8674, CESifo.
  64. Gil-Alana, Luis A. & Carcel, Hector, 2020. "A fractional cointegration var analysis of exchange rate dynamics," The North American Journal of Economics and Finance, Elsevier, vol. 51(C).
  65. Nikolaos Papanikolaou, 2020. "Markov-Switching Model of Family Income Quintile Shares," Atlantic Economic Journal, Springer;International Atlantic Economic Society, vol. 48(2), pages 207-222, June.
  66. Aydanur GACENER-ATIŞ & Deniz ERER, 2019. "Effects of Capital Flows on Carry Trade Activities: The Case of TurkeyAbstract: Carry trade is described as the capital flow coming into a country based on interest rate differential. A negative chang," Sosyoekonomi Journal, Sosyoekonomi Society, issue 27(42).
  67. Mikael Juselius & Moshe Kim & Staffan Ringbom, 2015. "Do markup dynamics reflect fundamentals or changes in conduct?," Empirical Economics, Springer, vol. 48(3), pages 1119-1147, May.
  68. Marcel Förster & Peter Tillmann, 2014. "Reconsidering the International Comovement of Inflation," Open Economies Review, Springer, vol. 25(5), pages 841-863, November.
  69. Borja Balparda & Guglielmo Maria Caporale & Luis Alberiko Gil-Alana, 2017. "The fisher relationship in Nigeria," Journal of Economics and Finance, Springer;Academy of Economics and Finance, vol. 41(2), pages 343-353, April.
  70. Cheng-Feng Lee & Ching-Chuan Tsong, 2012. "A revisit on real interest rate parity hypothesis -- simulation evidence from efficient unit root tests," Applied Economics, Taylor & Francis Journals, vol. 44(24), pages 3089-3099, August.
  71. Wang, Fang, 2023. "Do emerging art market segments have their own price dynamics? Evidence from the Chinese art market," International Review of Economics & Finance, Elsevier, vol. 84(C), pages 318-331.
IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.