Recursive Right-Tailed Unit Root Tests for an Explosive Asset Price Bubble
نویسندگان
چکیده
منابع مشابه
SPECIFICATION SENSITIVITY IN RIGHT-TAILED UNIT ROOT TESTING FOR EXPLOSIVE BEHAVIOUR By
This article aims to provide some empirical guidelines for the practical implementation of right-tailed unit root tests, focusing on the recursive right-tailed ADF test of Phillips et al. (2011b).We analyze and compare the limit theory of the recursive test under different hypotheses andmodel specifications.The size and power properties of the test under various scenarios are examined and some ...
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متن کاملSPECIFICATION SENSITIVITY IN RIGHT-TAILED UNIT ROOT TESTING FOR EXPLOSIVE BEHAVIOR By
Right-tailed unit root tests have proved promising for detecting exuberance in economic and financial activities. Like left-tailed tests, the limit theory and test performance are sensitive to the null hypothesis and the model specification used in parameter estimation. This paper aims to provide some empirical guidelines for the practical implementation of right-tailed unit root tests, focussi...
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ژورنال
عنوان ژورنال: Journal of Financial Econometrics
سال: 2013
ISSN: 1479-8409,1479-8417
DOI: 10.1093/jjfinec/nbt025