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Specification Sensitivity in Right-Tailed Unit Root Testing for Explosive Behaviour

Phillips, Peter; Shi, ShuPing; Yu, Jun

Description

This article aims to provide some empirical guidelines for the practical implementation of right-tailed unit root tests, focusing on the recursive right-tailed ADF test of Phillips et al. (2011b). We analyze and compare the limit theory of the recursive test under different hypotheses and model specifications. The size and power properties of the test under various scenarios are examined and some recommendations for empirical practice are given. Some new results on the consistent estimation of...[Show more]

CollectionsANU Research Publications
Date published: 2014
Type: Journal article
URI: http://hdl.handle.net/1885/35789
Source: Oxford Bulletin of Economics and Statistics
DOI: 10.1111/obes.12026

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