Bubble testing under polynomial trends

• المؤلفون الرئيسيون: WANG, Xiaohu, Jun YU
• التنسيق: text
• اللغة: English
• منشور في: Institutional Knowledge at Singapore Management University 2023
• الموضوعات: Autoregressive regressions; right-tailed unit root test; mildly explosive processes; polynomial trends; coefficient-based statistic; t statistic; Econometrics; Finance
• الوصول للمادة أونلاين: https://ink.library.smu.edu.sg/soe_research/2639; https://ink.library.smu.edu.sg/context/soe_research/article/3638/viewcontent/NegativeBubble24.pdf
• المؤسسة: Singapore Management University

This paper develops the asymptotic theory of the least squares estimator of the autoregressive (AR) coefficient in an AR(1) regression with intercept when data is generated from a polynomial trend model in different forms. It is shown that the commonly used right-tailed unit root tests tend to favor...