Unit Root Tests in the Presence of Markov Regime-Switching

Distribution of the Estimators for Autoregressive Time Series with a Unit Root

1979 • 20,919 citations

Testing for a unit root in time series regression

1988 • 17,004 citations

Likelihood Ratio Statistics for Autoregressive Time Series with a Unit Root

1981 • 14,059 citations

A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle

1989 • 9,360 citations

The Great Crash, the Oil Price Shock, and the Unit Root Hypothesis

1989 • 7,573 citations

Further Evidence on the Great Crash, the Oil-Price Shock, and the Unit-Root Hypothesis

2002 • 5,336 citations

Trends and random walks in macroeconmic time series

1982 • 4,673 citations

Why Does Stock Market Volatility Change Over Time?

1989 • 3,555 citations

Testing for unit roots in autoregressive-moving average models of unknown order

1984 • 2,980 citations

Monitoring the world economy, 1820-1992

1996 • 2,618 citations

Modeling the conditional distribution of interest rates as a regime-switching process

1996 • 1,526 citations

Unit Root Tests in ARMA Models with Data-Dependent Methods for the Selection of the Truncation Lag

1995 • 1,517 citations

Multiple Trend Breaks and the Unit-Root Hypothesis

1997 • 1,497 citations

Pitfalls and Opportunities: What Macroeconomists Should Know about Unit Roots

1991 • 1,327 citations

Testing for a Unit Root in a Time Series With a Changing Mean

1990 • 1,090 citations

Testing for a Unit Root

1993 • 912 citations

An Analysis of the Real Interest Rate Under Regime Shifts

1996 • 798 citations

Towards a unified asymptotic theory for autoregression

1987 • 734 citations

Testing for a Unit Root in Time Series With Pretest Data-Based Model Selection

1994 • 672 citations

A Markov model of heteroskedasticity, risk, and learning in the stock market

1989 • 609 citations

Useful Modifications to some Unit Root Tests with Dependent Errors and their Local Asymptotic Properties

1996 • 608 citations

Can the Markov switching model forecast exchange rates?

1994 • 435 citations

Business cycles, financial crises, and stock volatility

1989 • 281 citations

A Primer on Unit Root Testing

1998 • 268 citations

Spurious rejections by Dickey–Fuller tests in the presence of a break under the null

1998 • 259 citations

Trend, Unit Root and Structural Change in Macroeconomic Time Series

1994 • 254 citations

The Effects of Additive Outliers on Tests for Unit Roots and Cointegration

1994 • 248 citations

The great wars, the great crash, and steady state growth: Some new evidence about an old stylized fact

1995 • 210 citations

Oil and the Macroeconomy: A Markov State-Switching Approach

1997 • 178 citations

Intrinsic bubbles and regime-switching

1998 • 172 citations

Unit root tests with conditional heteroskedasticity

1993 • 171 citations

Shifting trends, segmented trends, and infrequent permanent shocks

1991 • 164 citations

10. The Uncertain Unit Root in Real GNP: Comment

1999 • 109 citations

Testing for a unit root in the presence of a variance shift

1997 • 108 citations

Merger waves and the structure of merger and acquisition time-series

1992 • 93 citations

A Markov Model of Heteroskedasticity, Risk, and Learning in the Stock Market

1989 • 89 citations

Equilibrium Selection in Imperfectly Competitive Economies with Multiple Equilibria

1994 • 82 citations

Switching error-correction models of house prices in the United Kingdom

1997 • 77 citations

Pitfalls and Opportunities

1999 • 70 citations

Credibility and Changes in Policy Regime

1995 • 60 citations

Sources of Monetary Growth Uncertainty and Economic Activity: The Time- Varying-Parameter Model with Heteroskedastic Disturbances

1993 • 59 citations

Inflation targeting in a small open economy: Empirical results for Switzerland

1996 • 50 citations

Evaluating Empirical Tests of Asset Pricing Models: Alternative Interpretations

2016 • 43 citations

Transient fads and the crash of ′87

1996 • 36 citations

Were Price Changes during the Great Depression Anticipated? Evidence from Nominal Interest Rates

1992 • 34 citations

Trends in excess returns in currency and bond markets

1993 • 33 citations

Challenges facing natural rate theory

1997 • 24 citations

Unit root tests with level shift in the presence of GARCH

1995 • 12 citations

Separating the effects of aggregate and sectoral shocks with estimates from a Markov-switching search model

1996 • 11 citations

The Uncertain Trend in U.S. GDP

1998 • 6 citations

The Great War, The Great Crash and Steady State Growth: Some New Evidence an Old Stylized Fact

1995 • 5 citations

Friedman's Plucking Model of Business Fluctuations : Tests and Estimates of Permanent and Transitory Components

1997 • 4 citations

Consumption and Equilibrium Asset Pricing: an Empirical Assessment

1991 • 2 citations