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

Date

Authors

Shi, ShuPing

Publisher

Springer

Abstract

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.

Keywords

Keywords: commodity market; economic conditions; exchange rate; Markov chain; numerical model; sensitivity analysis; Argentina Error variance; Independent Markov-switching bubble process; Markov-switching unit root test; Rational bubble

URI

http://hdl.handle.net/1885/74184

Collections

ANU Research Publications

Source

Empirical Economics Letters, The

Type

Journal article

DOI

10.1007/s00181-012-0635-8

Restricted until

2037-12-31

Downloads

File

Description

01_Shi_Specification_sensitivities_in_2013.pdf (546.36 KB)