Bubble testing under deterministic trends

• المؤلفون الرئيسيون: WANG, Xiaohu, YU, Jun
• التنسيق: text
• اللغة: English
• منشور في: Institutional Knowledge at Singapore Management University 2017
• الموضوعات: Autoregressive regressions; right-tailed unit root test; explosive and mildly explosive processes; deterministic trends; coefficient-based statistic; t-statistic; Econometrics; Finance
• الوصول للمادة أونلاين: https://ink.library.smu.edu.sg/soe_research/2096; https://ink.library.smu.edu.sg/context/soe_research/article/3096/viewcontent/NegativeBubble15_.pdf
• المؤسسة: Singapore Management University

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...