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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| Main Authors: | , |
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| Format: | text |
| Language: | English |
| Published: |
Institutional Knowledge at Singapore Management University
2023
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| 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 |