Department of Business AdministrationDepartment of Economics2024-11-0920020377-221710.1016/S0377-2217(01)00081-92-s2.0-0037117187https://hdl.handle.net/20.500.14288/2374This paper evaluates the small and large sample properties of Markov chain time-dependence and time-homogeneity tests. First, we present the Markov chain methodology to investigate various statistical properties of time series. Considering an auto-regressive time series and its associated Markov chain representation, we derive analytical measures of the statistical power of the Markov chain time-dependence and time-homogeneity tests. We later use Monte Carlo simulations to examine the small-sample properties of these tests. It is found that although Markov chain time-dependence test has desirable size and power properties, time-homogeneity test does not perform well in statistical size and power calculations.pdfBusiness and economicsEconomicsJournal Articlehttps://doi.org/10.1016/S0377-2217(01)00081-9173466200005Q1NOIR01090