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

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dc.contributor.authorShi, ShuPing
dc.date.accessioned2015-12-13T22:27:57Z
dc.date.issued2013
dc.date.updated2016-02-24T09:19:56Z
dc.description.abstractThe 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.
dc.identifier.issn1681-8997
dc.identifier.urihttp://hdl.handle.net/1885/74184
dc.publisherSpringer
dc.sourceEmpirical Economics Letters, The
dc.subjectKeywords: 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
dc.titleSpecification sensitivities in the Markov-switching unit root test for bubbles
dc.typeJournal article
local.bibliographicCitation.issue2
local.bibliographicCitation.lastpage713
local.bibliographicCitation.startpage697
local.contributor.affiliationShi, ShuPing, College of Business and Economics, ANU
local.contributor.authoruidShi, ShuPing, u4467027
local.description.embargo2037-12-31
local.description.notesImported from ARIES
local.identifier.absfor150200 - BANKING, FINANCE AND INVESTMENT
local.identifier.ariespublicationf5625xPUB4001
local.identifier.citationvolume45
local.identifier.doi10.1007/s00181-012-0635-8
local.identifier.scopusID2-s2.0-84883828038
local.type.statusPublished Version

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