✦ LIBER ✦

Speculative bubbles with stochastic explosive roots: The failure of unit root testing

✍ Scribed by Wojciech W. Charemza; Derek F. Deadman

Book ID: 116161711
Publisher: Elsevier Science
Year: 1995
Tongue: English
Weight: 491 KB
Volume: 2
Category: Article
ISSN: 0927-5398
DOI: 10.1016/0927-5398(94)00015-9

No coin nor oath required. For personal study only.

📜 SIMILAR VOLUMES

Unit root tests in the presence of uncer

Unit root tests in the presence of uncertainty about the non-stochastic trend

✍ Leila Ayat; Peter Burridge 📂 Article 📅 2000 🏛 Elsevier Science 🌐 English ⚖ 162 KB

Nonlinear behaviour of the Chinese SSEC

Nonlinear behaviour of the Chinese SSEC index with a unit root: Evidence from threshold unit root tests

✍ Xi-Yuan Qian; Fu-Tie Song; Wei-Xing Zhou 📂 Article 📅 2008 🏛 Elsevier Science 🌐 English ⚖ 349 KB

We have investigated the behaviour of the Shanghai Stock Exchange Composite (SSEC) index for the period from 1990:12 to 2007:06 using an unconstrained two-regime threshold autoregressive (TAR) model with a unit root developed by Caner and Hansen. The method allows us to simultaneously consider nonst

Testing for a unit root in the presence

Testing for a unit root in the presence of stochastic volatility and leverage effect

✍ Yong Li; Terence Tai-Leung Chong; Jie Zhang 📂 Article 📅 2012 🏛 Elsevier Science 🌐 English ⚖ 173 KB

Unit root tests with level shift in the

Unit root tests with level shift in the presence of GARCH

✍ Alain Hecq 📂 Article 📅 1995 🏛 Elsevier Science 🌐 English ⚖ 357 KB

The effects of working with seasonally a

The effects of working with seasonally adjusted data when testing for unit root

✍ Tomás del Barrio Castro; Ernest Pons Fanals; Jordi Suriñach Caralt 📂 Article 📅 2002 🏛 Elsevier Science 🌐 English ⚖ 57 KB

LAG Length Selection and the Constructio

LAG Length Selection and the Construction of Unit Root Tests with Good Size and Power

✍ Serena Ng; Pierre Perron 📂 Article 📅 2001 🏛 John Wiley and Sons 🌐 English ⚖ 294 KB