{"status":"ok","message-type":"work","message-version":"1.0.0","message":{"indexed":{"date-parts":[[2023,11,13]],"date-time":"2023-11-13T11:18:57Z","timestamp":1699874337243},"reference-count":17,"publisher":"Cambridge University Press (CUP)","issue":"4","license":[{"start":{"date-parts":[[2008,4,22]],"date-time":"2008-04-22T00:00:00Z","timestamp":1208822400000},"content-version":"unspecified","delay-in-days":0,"URL":"https:\/\/www.cambridge.org\/core\/terms"}],"content-domain":{"domain":[],"crossmark-restriction":false},"short-container-title":["Econom. Theory"],"published-print":{"date-parts":[[2008,8]]},"abstract":"<jats:p>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.<\/jats:p>","DOI":"10.1017\/s0266466608080572","type":"journal-article","created":{"date-parts":[[2008,4,22]],"date-time":"2008-04-22T15:36:56Z","timestamp":1208878616000},"page":"1137-1148","source":"Crossref","is-referenced-by-count":1,"title":["REGIME-SWITCHING AUTOREGRESSIVE COEFFICIENTS AND THE ASYMPTOTICS FOR UNIT ROOT TESTS"],"prefix":"10.1017","volume":"24","author":[{"given":"Giuseppe","family":"Cavaliere","sequence":"first","affiliation":[]},{"given":"Iliyan","family":"Georgiev","sequence":"additional","affiliation":[]}],"member":"56","published-online":{"date-parts":[[2008,4,22]]},"reference":[{"key":"S0266466608080572_ref015","doi-asserted-by":"publisher","DOI":"10.1111\/1368-423X.00064"},{"key":"S0266466608080572_ref014","doi-asserted-by":"publisher","DOI":"10.1214\/aos\/1176348666"},{"key":"S0266466608080572_ref008","doi-asserted-by":"publisher","DOI":"10.1017\/S0266466606060518"},{"key":"S0266466608080572_ref006","doi-asserted-by":"publisher","DOI":"10.1111\/1368-423X.00107"},{"key":"S0266466608080572_ref005","volume-title":"Convergence of Probability Measures","author":"Billingsley","year":"1968"},{"key":"S0266466608080572_ref004","doi-asserted-by":"publisher","DOI":"10.1002\/jae.3950090205"},{"key":"S0266466608080572_ref002","doi-asserted-by":"publisher","DOI":"10.1016\/0304-3932(91)90025-J"},{"key":"S0266466608080572_ref001","doi-asserted-by":"publisher","DOI":"10.1198\/073500102317351930"},{"key":"S0266466608080572_ref003","doi-asserted-by":"publisher","DOI":"10.1016\/0165-1765(91)90031-F"},{"key":"S0266466608080572_ref007","doi-asserted-by":"publisher","DOI":"10.1016\/S0304-4076(01)00073-2"},{"key":"S0266466608080572_ref011","doi-asserted-by":"publisher","DOI":"10.1137\/S0040585X9797746X"},{"key":"S0266466608080572_ref017","unstructured":"Rahbek A. \u2019 Shephard N. (2002) Inference and Ergodicity in the Autoregressive Conditional Root Model. Economics Working paper 2002-W7, Nuffield College."},{"key":"S0266466608080572_ref012","doi-asserted-by":"publisher","DOI":"10.1198\/07350010152596655"},{"key":"S0266466608080572_ref009","doi-asserted-by":"publisher","DOI":"10.2307\/1912559"},{"key":"S0266466608080572_ref010","doi-asserted-by":"publisher","DOI":"10.1214\/aop\/1176990334"},{"key":"S0266466608080572_ref013","doi-asserted-by":"publisher","DOI":"10.2307\/1913712"},{"key":"S0266466608080572_ref016","doi-asserted-by":"publisher","DOI":"10.1080\/00029890.1976.11994121"}],"container-title":["Econometric Theory"],"original-title":[],"language":"en","link":[{"URL":"https:\/\/www.cambridge.org\/core\/services\/aop-cambridge-core\/content\/view\/S0266466608080572","content-type":"unspecified","content-version":"vor","intended-application":"similarity-checking"}],"deposited":{"date-parts":[[2019,4,30]],"date-time":"2019-04-30T18:51:49Z","timestamp":1556650309000},"score":1,"resource":{"primary":{"URL":"https:\/\/www.cambridge.org\/core\/product\/identifier\/S0266466608080572\/type\/journal_article"}},"subtitle":[],"short-title":[],"issued":{"date-parts":[[2008,4,22]]},"references-count":17,"journal-issue":{"issue":"4","published-print":{"date-parts":[[2008,8]]}},"alternative-id":["S0266466608080572"],"URL":"https:\/\/doi.org\/10.1017\/s0266466608080572","relation":{},"ISSN":["0266-4666","1469-4360"],"issn-type":[{"value":"0266-4666","type":"print"},{"value":"1469-4360","type":"electronic"}],"subject":[],"published":{"date-parts":[[2008,4,22]]}}}