Asymptotic behaviour of tests for a unit root against an explosive alternative

DOI10.1016/J.ECONLET.2013.11.006zbMath1290.62060OpenAlexW1981840422MaRDI QIDQ2016008

David I. Harvey, Stephen J. Leybourne

Publication date: 18 June 2014

Published in: Economics Letters (Search for Journal in Brave)

Full work available at URL: http://eprints.nottingham.ac.uk/32668/

zbMATH Keywords

initial conditionasymptotic powerunit root testingexplosive autoregression

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Non-Markovian processes: hypothesis testing (62M07)

Related Items (2)

Properties of the Power Envelope for Tests Against Both Stationary and Explosive Alternatives: The Effect of Trends ⋮ Testing for explosive bubbles: a review

Cites Work

• Distribution of the Estimators for Autoregressive Time Series With a Unit Root
• UNIT ROOT TESTING IN PRACTICE: DEALING WITH UNCERTAINTY OVER THE TREND AND INITIAL CONDITION
• Efficient Tests for an Autoregressive Unit Root
• Tests for Unit Roots and the Initial Condition

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