Specification Sensitivities in Right-Tailed Unit Root Testing

Specification Sensitivities in Right-Tailed Unit Root Testing

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 so...

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Bibliographic Details
Main Authors: SHI, Shu-Ping, PHILLIPS, Peter C. B., YU, Jun
Format: text
Language:English
Published: Institutional Knowledge at Singapore Management University 2011
Subjects:
Unit root test
Mildly explosive process
Recursive regression
Size and power.
Econometrics
Finance
Online Access:https://ink.library.smu.edu.sg/soe_research/1301
https://ink.library.smu.edu.sg/context/soe_research/article/2300/viewcontent/ShiPhillipsYu_Hypothesis08_2011.pdf
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Institution: Singapore Management University
Language: English

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https://ink.library.smu.edu.sg/soe_research/1301
https://ink.library.smu.edu.sg/context/soe_research/article/2300/viewcontent/ShiPhillipsYu_Hypothesis08_2011.pdf

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