Abstract :
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 wellknown
stochastic unit root model, where the dynamics of the observed variable
switches between a unit root regime and a stationary regime+
