Unit Root Tests Null versus Explosive Alternative
Asymptotic behaviour of tests for a unit root against an explosive alternative
... While tests of the unit root null have predominantly been directed towards the stationary alternative, there has been growing interest in testing against an explosive ...
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Asymptotic behaviour of tests for a unit root against an explosive alternative
... Ιντερεστινγλψ, ωηεν τηε ινιτιαλ χονδιτιον ισ ασψmπτοτιχαλλψ νον−νεγλιγιβλε, τηε ποωερ οφ τηε υππερ−ταιλ ΘD−βασεδ τεστσ εξχεεδσ τηατ οφ τηε χορρεσπονδινγ ΟΛΣ−βασεδ τεστσ, ανδ ισ ινχρεασιν[r] ...
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Recursive right tailed unit root tests for an explosive asset price bubble
... the tests can di er quite dramatically depending on the location and timing of the explosive regime, and also whether or not the explosive period terminates in ...detecting explosive regimes ...
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On infimum Dickey–Fuller unit root tests allowing for a trend break under the null
... Of these endogenised approaches, the testing methodology proposed by ZA has been widely used by practitioners (for a recent example, see Alexeev and Maynard, 2012). The approach suggested by ZA is to calculate the ADF ...
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Performing Unit Root Tests in EViews. Unit Root Testing
... The unit root tests that EViews provides generally test the null hypothesis against the one-sided alternative ...the null is tested against a point ...
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Sign-based Unit Root Tests for Explosive Financial Bubbles in the Presence of Deterministically Time-Varying Volatility
... for explosive autoregressive behaviour in …nancial time ...locally explosive bubble alternative, we also …nd that the sign- based test has appealing asymptotic power properties, with the potential to ...
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Seasonal Unit Root Tests: A Comparison
... the null and alternative hypotheses, and modified the Kunst test by using the t statistic on the last lag variable instead of the F statistic on all lag variables in the Kunst ...modified tests and ...
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On Unit Root Tests and the Initial Observation
... the null hypothesis much more frequently than either of the standard tests: rejections in favour of the I(0) alternative are obtained for all but six of the thirty starting ...ERS tests ...
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A nonlinear alternative to the unit root hypothesis
... Dickey-Fuller tests do not function as well as one might ...Dickey-Fuller tests are unable to reject the unit root ...the unit root tests is questionable in the presence ...
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Markov regime switching and unit root tests
... Next we consider the Perron and ZA test that allow for a single break in trend growth rate under the alternative. Table 9 contains the rejection frequencies for the 5% Perron test. The Perron test performs ...
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Unit Root Tests of Canadian Poverty Measures
... conventional unit root tests lack power in distinguishing the unit root null from stationary alternative in small ...of unit root ...panel tests to a ...
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Regression-based seasonal unit root tests
... seasonal unit root hypothesis is presented which provides a precise formulation of the alternative hypotheses against which regression-based seasonal unit root tests ...based ...
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Semi-Parametric Seasonal Unit Root Tests
... ADF-type unit root tests can suffer from a variety of drawbacks in small samples, most notably low power under the alternative, particularly where deterministic components are present in the ...
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Breaking trend panel unit root tests
... the null model of each time series in a ...An alternative method to obtain finite sample approximations is through the use of bootstrapped distribution of the individual statistic of interest, which is ...
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Specification Sensitivity in Right-Tailed Unit Root Testing for Explosive Behavior
... Right-tailed unit root tests have proved promising for detecting exuberance in economic and financial ...left-tailed tests, the limit theory and test performance are sensitive to the ...
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Specification Sensitivity in Right-Tailed Unit Root Testing for Explosive Behaviour*
... As is evident by Table 6, for the logarithmic real Nasdaq index, we reject the unit root null hypothesis in favour of the explosive alternative at the 10% significance level under model s[r] ...
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Specification sensitivity in right‐tailed unit root testing for explosive behaviour
... locally explosive process ...of explosive behavior in a full ...right-sided unit root tests. The sequential tests assess period by period evidence for unit root ...
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Unit Root Tests in Three-Regime SETAR Models.
... the null of a unit root be tested by the Wald statistic for the joint significance of autoregressive parameters in both lower and upper ...asymptotic null distribution free of nuisance ...the ...
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Alternative method for testing the unit root null hypothesis in the presence of a break
... ALTERNATIVE METHOD FOR TESTING THE UNIT ROOT NULL HYPOTHESIS IN THE PRESENCE OF A BREAK.. byo[r] ...
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Recursive right-tailed unit root tests for an explosive asset price bubble
... Σιmυλατιονσ οφ βοτη ασψmπτοτιχ ανδ νιτε σαmπλε βεηαϖιουρ σηοωεδ τηατ τηε ποωερ οφ τηεσε τωο τεστσ χαν δι ερ θυιτε δραmατιχαλλψ δεπενδινγ ον τηε λοχατιον οφ τηε εξπλοσιϖε ρεγιmε, ανδ ωηετ[r] ...
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