Bubble testing under polynomial trends

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...

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Bibliographic Details
Main Authors: WANG, Xiaohu, Jun YU
Format: text
Language:English
Published: Institutional Knowledge at Singapore Management University 2023
Subjects:
Online Access:https://ink.library.smu.edu.sg/soe_research/2639
https://ink.library.smu.edu.sg/context/soe_research/article/3638/viewcontent/NegativeBubble24.pdf
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Institution: Singapore Management University
Language: English