Bubble testing under deterministic trends

Bubble testing under deterministic trends

This paper develops the asymptotic theory of the ordinary least squares estimator of the autoregressive (AR) coefficient in various AR models, when data is generated from trend-stationary models in different forms. It is shown that, depending on how the autoregression is specified, the commonly used...

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Bibliographic Details
Main Authors: WANG, Xiaohu, YU, Jun
Format: text
Language:English
Published: Institutional Knowledge at Singapore Management University 2017
Subjects:
Autoregressive regressions
right-tailed unit root test
explosive and mildly explosive processes
deterministic trends
coefficient-based statistic
t-statistic
Econometrics
Finance
Online Access:https://ink.library.smu.edu.sg/soe_research/2096
https://ink.library.smu.edu.sg/context/soe_research/article/3096/viewcontent/NegativeBubble15_.pdf
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Institution: Singapore Management University
Language: English

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https://ink.library.smu.edu.sg/soe_research/2096
https://ink.library.smu.edu.sg/context/soe_research/article/3096/viewcontent/NegativeBubble15_.pdf

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