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

• 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
• Institution: Singapore Management University

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...