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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| Main Authors: | , , |
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| Format: | text |
| Language: | English |
| Published: |
Institutional Knowledge at Singapore Management University
2022
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| Subjects: | |
| 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 |
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