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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書目詳細資料
Main Authors:	PHILLIPS, Peter C. B., SHI, Shuping, YU, Jun
格式:	text
語言:	English
出版:	Institutional Knowledge at Singapore Management University 2014
主題:	Unit root test Mildly explosive process Recursive regression Size and power Econometrics
在線閱讀:	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
標簽:	添加標簽沒有標簽, 成為第一個標記此記錄!
機構:	Singapore Management University
語言:	English

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