Markov Switching Augmented Dickey Fuller (MSADF)

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Markov Switching Augmented Dickey Fuller (MSADF)

Postby Zwangu » Sun Sep 18, 2022 10:02 am


I am interested in the MSADF test, and i am unable to find anywhere i can implement it. Does anyone have a routine to run the test, or managed to tweak the existing SWITCHREG estimation method for the purpose of running the test?

The test i am referring to has been introduced by Hall, Psaradakis and Sola (1999) - full reference below. i also note an additional study utilising the method for a different project.

Please advice, thanks


Hall, S.G., Psaradakis, Z. and Sola, M., 1999. Detecting periodically collapsing bubbles: a Markov‐switching unit root test. Journal of Applied Econometrics, 14(2), pp.143-154.

Raybaudi, M., Sola, M. and Spagnolo, F., 2004. Red signals: current account deficits and sustainability. Economics Letters, 84(2), pp.217-223.

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