Robust testing for explosive behavior with strongly dependent errors
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DOI: 10.1016/j.jeconom.2023.105626
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- Lui, Yiu Lim & Phillips, Peter C.B. & Yu, Jun, 2022. "Robust Testing for Explosive Behavior with Strongly Dependent Errors," Economics and Statistics Working Papers 11-2022, Singapore Management University, School of Economics.
- Yiu Lim Lui & Jun Yu & Peter C. B. Phillips, 2022. "Robust Testing for Explosive Behavior with Strongly Dependent Errors," Cowles Foundation Discussion Papers 2350, Cowles Foundation for Research in Economics, Yale University.
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Citations
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Cited by:
- Skrobotov Anton, 2023. "Testing for explosive bubbles: a review," Dependence Modeling, De Gruyter, vol. 11(1), pages 1-26, January.
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More about this item
Keywords
HAR test; Long memory; Explosiveness; Unit root test; S&P 500;All these keywords.
JEL classification:
- C12 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Hypothesis Testing: General
- C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
- G01 - Financial Economics - - General - - - Financial Crises
Statistics
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