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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]

dc.contributor.authorPhillips, Peter
dc.contributor.authorShi, ShuPing
dc.contributor.authorYu, Jun
dc.date.accessioned2015-12-08T22:38:04Z
dc.identifier.issn0305-9049
dc.identifier.urihttp://hdl.handle.net/1885/35789
dc.description.abstractThis 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 localizing drift exponents are obtained, which are useful in assessing model specification. Empirical applications to stock markets illustrate these specification issues and reveal their practical importance in testing.
dc.publisherBlackwell Publishing Ltd
dc.sourceOxford Bulletin of Economics and Statistics
dc.titleSpecification Sensitivity in Right-Tailed Unit Root Testing for Explosive Behaviour
dc.typeJournal article
local.description.notesImported from ARIES
local.identifier.citationvolume76
dc.date.issued2014
local.identifier.absfor140305 - Time-Series Analysis
local.identifier.ariespublicationu4602557xPUB128
local.type.statusPublished Version
local.contributor.affiliationPhillips, Peter, Yale University
local.contributor.affiliationShi, ShuPing, College of Business and Economics, ANU
local.contributor.affiliationYu, Jun, Singapore Management University
local.description.embargo2037-12-31
local.bibliographicCitation.issue3
local.bibliographicCitation.startpage315
local.bibliographicCitation.lastpage333
local.identifier.doi10.1111/obes.12026
local.identifier.absseo919999 - Economic Framework not elsewhere classified
dc.date.updated2015-12-08T10:05:39Z
local.identifier.scopusID2-s2.0-84899473084
local.identifier.thomsonID000334725400001
CollectionsANU Research Publications

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