Residential College | false |
Status | 已發表Published |
Robust testing for explosive behavior with strongly dependent errors | |
Lui, Yiu Lim1; Phillips, Peter C.B.2,3,4; Yu, Jun4,5 | |
2024 | |
Source Publication | Journal of Econometrics |
ABS Journal Level | 4 |
ISSN | 0304-4076 |
Volume | 238Issue:2Pages:105626 |
Abstract | A heteroskedasticity-autocorrelation robust (HAR) test statistic is proposed to test for the presence of explosive roots in financial or real asset prices when the equation errors are strongly dependent. Limit theory for the test statistic is developed and extended to heteroskedastic models. The new test has stable size properties unlike conventional test statistics that typically lead to size distortion and inconsistency in the presence of strongly dependent equation errors. The new procedure can be used to consistently time-stamp the origination and termination of an explosive episode under similar conditions of long memory errors. Simulations are conducted to assess the finite sample performance of the proposed test and estimators. An empirical application to the S&P 500 index highlights the usefulness of the proposed procedures in practical work. |
Keyword | Explosiveness Har Test Long Memory s&p 500 Unit Root Test |
DOI | 10.1016/j.jeconom.2023.105626 |
URL | View the original |
Indexed By | SCIE ; SSCI |
Language | 英語English |
WOS Research Area | Business & Economics ; Mathematics ; Mathematical Methods In Social Sciences |
WOS Subject | Economics ; Mathematics, Interdisciplinary Applications ; Social Sciences, Mathematical Methods |
WOS ID | WOS:001131954600001 |
Scopus ID | 2-s2.0-85179028305 |
Fulltext Access | |
Citation statistics | |
Document Type | Journal article |
Collection | Faculty of Business Administration |
Corresponding Author | Yu, Jun |
Affiliation | 1.Dongbei University of Finance and Economics, China 2.Yale University, United States 3.University of Auckland, New Zealand 4.Singapore Management University, Singapore 5.University of Macau, China |
Corresponding Author Affilication | University of Macau |
Recommended Citation GB/T 7714 | Lui, Yiu Lim,Phillips, Peter C.B.,Yu, Jun. Robust testing for explosive behavior with strongly dependent errors[J]. Journal of Econometrics, 2024, 238(2), 105626. |
APA | Lui, Yiu Lim., Phillips, Peter C.B.., & Yu, Jun (2024). Robust testing for explosive behavior with strongly dependent errors. Journal of Econometrics, 238(2), 105626. |
MLA | Lui, Yiu Lim,et al."Robust testing for explosive behavior with strongly dependent errors".Journal of Econometrics 238.2(2024):105626. |
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