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...
Saved in:
| Main Authors: | , , |
|---|---|
| Format: | text |
| Language: | English |
| Published: |
Institutional Knowledge at Singapore Management University
2024
|
| Subjects: | |
| Online Access: | https://ink.library.smu.edu.sg/soe_research/2709 https://ink.library.smu.edu.sg/context/soe_research/article/3708/viewcontent/Robust_testing_for_explosive_behavior_with_strongly_dependent_sv.pdf |
| Tags: |
Add Tag
No Tags, Be the first to tag this record!
|
| Institution: | Singapore Management University |
| Language: | English |