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Specification sensitivities in the Markov-switching unit root test for bubbles

Shi, ShuPing

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.

CollectionsANU 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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