Robust testing for explosive behavior with strongly dependent errors

DOI10.1016/J.JECONOM.2023.105626MaRDI QIDQ6193068zbMATH OpenOpenAlexFDO

Authors Yiu Lim Lui, Peter C. B. Phillips, Jun Yu

Publication date 13 February 2024

Published in Journal of Econometrics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.jeconom.2023.105626

zbMATH Keywords

explosivenessHAR testlong memoryS\&P 500unit root test

Mathematics Subject Classification ID

Statistics (62-XX) Game theory, economics, finance, and other social and behavioral sciences (91-XX)

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Cited in

(3)

• Asymptotic theory for explosive fractional Ornstein-Uhlenbeck processes
• Local powers of least-squares-based test for panel fractional Ornstein-Uhlenbeck process
• Detecting bubbles via FDR and FNR based on calibrated p -values

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