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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| Main Authors: | , |
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| 格式: | text |
| 語言: | English |
| 出版: |
Institutional Knowledge at Singapore Management University
2017
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| 主題: | |
| 在線閱讀: | 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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