Testing for moderate explosiveness

DOI10.1111/ECTJ.12120MaRDI QIDQ5084331zbMATH OpenOpenAlexWikidataFDO

Authors Gangzheng Guo, Yixiao Sun, Shaoping Wang

Publication date 24 June 2022

Published in Econometrics Journal (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1111/ectj.12120

zbMATH Keywords

heteroskedasticity and autocorrelation robust standard errorirrational exuberancelocal to unitymoderate explosivenessstudent's \(t\) distributionunit root

Mathematics Subject Classification ID

Statistics (62-XX)

Cited in

(5)

• On the limit theory of mixed to unity VARs: panel setting with weakly dependent errors
• Testing for explosive bubbles: a review
• Sequential detector statistics for speculative bubbles
• A new test for unit roots with a partial quadratic trend
• Weighted composite quantile inference for nearly nonstationary autoregressive models

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