Specification Sensitivity in Right-Tailed Unit Root Testing for Explosive Behaviour

Peter Phillips, Shuping Shi and Jun Yu

Oxford Bulletin of Economics and Statistics, 2014, vol. 76, issue 3, 315-333

Abstract: type="main" xml:id="obes12026-abs-0001">

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 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.

Date: 2014
References: Add references at CitEc
Citations: View citations in EconPapers (89)

Downloads: (external link)
http://hdl.handle.net/10.1111/obes.2014.76.issue-3 (text/html)
Access to full text is restricted to subscribers.

Related works:
Working Paper: Specification Sensitivity in Right-Tailed Unit Root Testing for Explosive Behavior (2012)
Working Paper: Specification Sensitivity in Right-Tailed Unit Root Testing for Explosive Behavior (2012)
Working Paper: Specification Sensitivity in Right-Tailed Unit Root Testing for Explosive Behavior (2011)
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:bla:obuest:v:76:y:2014:i:3:p:315-333

Ordering information: This journal article can be ordered from
http://www.blackwell ... bs.asp?ref=0305-9049

Access Statistics for this article

Oxford Bulletin of Economics and Statistics is currently edited by Christopher Adam, Anindya Banerjee, Christopher Bowdler, David Hendry, Adriaan Kalwij, John Knight and Jonathan Temple

More articles in Oxford Bulletin of Economics and Statistics from Department of Economics, University of Oxford Contact information at EDIRC.
Bibliographic data for series maintained by Wiley Content Delivery ().