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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| Main Authors: | , , |
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| Format: | text |
| Language: | English |
| Published: |
Institutional Knowledge at Singapore Management University
2011
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| Subjects: | |
| 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 |