Recursive right-tailed unit root tests for an explosive asset price bubble
In this article, we compare the local asymptotic and finite sample power of two recently proposed recursive right-tailed Dickey–Fuller-type tests for an explosive rational bubble in asset prices. It is shown that the power of the two tests can differ substantially depending on the location of the ex...
| Main Authors: | , , |
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| Format: | Article |
| Published: |
Oxford University Press
2015
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| Subjects: | |
| Online Access: | https://eprints.nottingham.ac.uk/32667/ |