St. Louis Fed  |   Economic Research  |   EconDISC®  |   FRED®  |   GeoFRED®  |   ALFRED®  |   CASSIDI®  |   FRASER®  |   Liber8™  |   Federal Reserve System Help 
Logo: Economic Research, Federal Reserve Bank of St. Louis
RSS | Email Notifications | Data Lists | My Account | Log In
  Publications     Economic Data - FRED®     Working Papers     Economists     Conferences     CRE8®    
 
Employment  |   Seminars  |   Monetary Aggregates  

Home > Working Papers > View by Author > Eric Zivot

Eric Zivot Working Papers

Search | View by Year | View by Category | View by Author

Results 1-1 of 1 Previous | Next Hide Abstracts | Return to Index

#2001-013A "Markov Regime Switching and Unit Root Tests"
by Charles R. Nelson, Eric Zivot, and Jeremy M. Piger
October 2001

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. More...

PUBLISHED: Journal of Business and Economic Statistics, October 2001, 19(4), pp. 404-15

Results 1-1 of 1 Previous | Next Hide Abstracts | Return to Index


  About | Contact Us | Privacy | Legal Top of Page  

© 2008 Federal Reserve Bank of St. Louis