Specification sensitivity in right‐tailed unit root testing for explosive behaviour

Specification sensitivity in right‐tailed unit root testing for explosive behaviour

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 and model spec...

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Bibliographic Details
Main Authors: PHILLIPS, Peter C. B., SHI, Shuping, YU, Jun
Format: text
Language:English
Published: Institutional Knowledge at Singapore Management University 2014
Subjects:
Unit root test
Mildly explosive process
Recursive regression
Size and power
Econometrics
Online Access:https://ink.library.smu.edu.sg/soe_research/1796
https://ink.library.smu.edu.sg/context/soe_research/article/2795/viewcontent/P_ID_52649_SpecificationSensitivityRightTailedUnitRootTesting_2011_pp.pdf
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Institution: Singapore Management University
Language: English

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https://ink.library.smu.edu.sg/soe_research/1796
https://ink.library.smu.edu.sg/context/soe_research/article/2795/viewcontent/P_ID_52649_SpecificationSensitivityRightTailedUnitRootTesting_2011_pp.pdf

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