Robust testing for explosive behavior with strongly dependent errors

Robust testing for explosive behavior with strongly dependent errors

A heteroskedasticity-autocorrelation robust (HAR) test statistic is proposed to test for the presence of explosive roots in financial or real asset prices when the equation errors are strongly dependent. Limit theory for the test statistic is developed and extended to heteroskedastic models. The new...

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Bibliographic Details
Main Authors: LUI, Yiu Lim, PHILLIPS, Peter C. B., YU, Jun
Format: text
Language:English
Published: Institutional Knowledge at Singapore Management University 2022
Subjects:
HAR test
Long memory
Explosiveness
Unit root test
S&P 500
Econometrics
Online Access:https://ink.library.smu.edu.sg/soe_research/2631
https://ink.library.smu.edu.sg/context/soe_research/article/3630/viewcontent/TestStrongDependence23_A5_jun_allen.pdf
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Institution: Singapore Management University
Language: English

Internet

https://ink.library.smu.edu.sg/soe_research/2631
https://ink.library.smu.edu.sg/context/soe_research/article/3630/viewcontent/TestStrongDependence23_A5_jun_allen.pdf

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