All Outputs (4)

Tests for explosive financial bubbles in the presence of non-stationary volatility (2015)
Journal Article

This paper studies the impact of permanent volatility shifts in the innovation process on the performance of the test for explosive financial bubbles based on recursive right-tailed Dickey–Fuller-type unit root tests proposed by Phillips, Wu and Yu (... Read More about Tests for explosive financial bubbles in the presence of non-stationary volatility.

Testing for unit roots under multiple possible trend breaks and non-stationary volatility using bootstrap minimum Dickey-Fuller statistics (2015)
Journal Article

In a recent paper, Harvey et al. (2013) [HLT] propose a new unit root test that allows for the possibility of multiple breaks in trend. Their proposed test is based on the infimum of the sequence (across all candidate break points) of local GLS detre... Read More about Testing for unit roots under multiple possible trend breaks and non-stationary volatility using bootstrap minimum Dickey-Fuller statistics.

Confidence sets for the date of a break in level and trend when the order of integration is unknown (2015)
Journal Article

We propose methods for constructing confidence sets for the timing of a break in level and/or trend that have asymptotically correct coverage for both I(0) and I(1) processes. These are based on inverting a sequence of tests for the break location, e... Read More about Confidence sets for the date of a break in level and trend when the order of integration is unknown.

Recursive right-tailed unit root tests for an explosive asset price bubble (2015)
Journal Article

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... Read More about Recursive right-tailed unit root tests for an explosive asset price bubble.