A simple testing procedure for unit root and model specification
نویسندگان
چکیده
منابع مشابه
On Testing for Randomized Unit Root and Seasonal Unit Root
A lot of time series analysis in economics and nance is to determine whether a unit root and/or seasonal unit root is present in the data. These tests are usually based on unit root tests orginally developed by Dickey & Fuller(1981). Testing for the presence of a seasonal root has been considered by Dickey, Hasza & Fuller (1984). Li(1991) considered tests for the existence of a seasonal and a r...
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Right-tailed unit root tests have proved promising for detecting exuberance in economic and financial activities. Like left-tailed tests, the limit theory and test performance are sensitive to the null hypothesis and the model specification used in parameter estimation. This paper aims to provide some empirical guidelines for the practical implementation of right-tailed unit root tests, focusin...
متن کاملSPECIFICATION SENSITIVITY IN RIGHT-TAILED UNIT ROOT TESTING FOR EXPLOSIVE BEHAVIOR By
Right-tailed unit root tests have proved promising for detecting exuberance in economic and financial activities. Like left-tailed tests, the limit theory and test performance are sensitive to the null hypothesis and the model specification used in parameter estimation. This paper aims to provide some empirical guidelines for the practical implementation of right-tailed unit root tests, focussi...
متن کاملSPECIFICATION SENSITIVITY IN RIGHT-TAILED UNIT ROOT TESTING FOR EXPLOSIVE BEHAVIOUR By
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 andmodel specifications.The size and power properties of the test under various scenarios are examined and some ...
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ژورنال
عنوان ژورنال: Computational Statistics & Data Analysis
سال: 2016
ISSN: 0167-9473
DOI: 10.1016/j.csda.2016.04.001