Specification Sensitivities in Right-Tailed Unit Root Testing

• 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
• Institution: Singapore Management University

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...