Specification sensitivities in the Markov-switching unit root test for bubbles
Description
The aim of this article is to provide some empirical guidelines for the practical implementation of the Markov-switching augmented Dickey-Fuller (MSADF) test proposed by Hall et al. (J Appl Econom 14:143-154, 1999) for detecting explosive bubble behavior.
| Collections | ANU Research Publications |
|---|---|
| Date published: | 2013 |
| Type: | Journal article |
| URI: | http://hdl.handle.net/1885/74184 |
| Source: | Empirical Economics Letters, The |
| DOI: | 10.1007/s00181-012-0635-8 |
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| File | Description | Size | Format | Image |
|---|---|---|---|---|
| 01_Shi_Specification_sensitivities_in_2013.pdf | 546.36 kB | Adobe PDF | Request a copy |
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