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Specification Sensitivity in Right-Tailed Unit Root Testing for Explosive Behavior
13 references·1 citing·31 second hop
Specification Sensitivity in Right-Tailed Unit Root Testing for Explosive Behavior (2012)Specification Sensitivity in Right-Tailed…Testing for Speculative Bubbles in Stock Markets: A Comparison of Alternative Methods (2011)Testing for Speculative Bubbl…Testing for Multiple Bubbles (2011)Testing for Multiple BubblesLimit Theory for Dating the Origination and Collapse of Mildly Explosive Periods in Time Series Data (2009)Limit Theory for Dating the O…EXPLOSIVE BEHAVIOR IN THE 1990s NASDAQ: WHEN DID EXUBERANCE ESCALATE ASSET VALUES?* (2009)EXPLOSIVE BEHAVIOR IN THE 199…Limit theory for moderate deviations from a unit root (2005)Limit theory for moderate dev…Unit Root Tests in ARMA Models with Data-Dependent Methods for the Selection of the Truncation Lag (1995)Unit Root Tests in ARMA Model…Pitfalls in Testing for Explosive Bubbles in Asset Prices (1991)Pitfalls in Testing for Explo…Pitfalls and Opportunities: What Macroeconomists Should Know About Unit Roots (1991)Pitfalls and Opportunities: W…Testing for a Unit Root in Time Series Regression (1988)Testing for a Unit Root in Ti…Time Series Regression with a Unit Root (1987)Time Series Regression with a…Unit Roots in Time Series Models: Tests and Implications (1986)Unit Roots in Time Series Mod…Rational Bubbles in Stock Prices? (1985)Rational Bubbles in Stock Pri…A Contribution to the Theory of the Trade Cycle (1951)A Contribution to the Theory …When bubbles burst: econometric tests based on structural breaks (2013)When bubbles burst: econometr…Do Stock Prices Move Too Much to be Justified by Subsequent Changes in Dividends? (1980)Likelihood Ratio Statistics for Autoregressive Time Series with a Unit Root (1981)Co-Integration and Error Correction: Representation, Estimation, and Testing (1987)Ants, Rationality, and Recruitment (1993)Efficient market hypothesis and forecasting (2003)Dating the timeline of financial bubbles during the subprime crisis (2011)Towards a Unified Asymptotic Theory for Autoregression (1987)RETRACTED: Datestamping the Bitcoin and Ethereum bubbles (2017)Tests for Parameter Instability and Structural Change With Unknown Change Point (1993)The Econometrics of Financial Markets (2012)Bubbles in food commodity markets: Four decades of evidence (2013)Testing for multiple bubbles: limit theory of real-time detectors: Testing for multiple bubbles (2015)Tests for explosive financial bubbles in the presence of non-stationary volatility (2015)Time Series Analysis: Forecasting and Control (1977)Distribution of the Estimators for Autoregressive Time Series with a Unit Root (1979)Approximate Asymptotic Distribution Functions for Unit-Root and Cointegration Tests (1994)The Impact of Public Information on the Stock Market (1994)VOLATILITY CLUSTERING IN FINANCIAL MARKETS: A MICROSIMULATION OF INTERACTING AGENTS (2000)Trends and random walks in macroeconmic time series (1982)Testing the null hypothesis of stationarity against the alternative of a unit root (1992)A simple panel unit root test in the presence of cross‐section dependence (2007)Stochastic Implications of the Life Cycle-Permanent Income Hypothesis: Theory and Evidence (1978)The Econometrics of Financial Markets (1997)Oil prices and the rise and fall of the US real exchange rate (1998)Testing for unit roots in heterogeneous panels (2003)Unit root tests in panel data: asymptotic and finite-sample properties (2002)Testing for Error Correction in Panel Data* (2007)TESTING FOR MULTIPLE BUBBLES: HISTORICAL EPISODES OF EXUBERANCE AND COLLAPSE IN THE S&P 500 (2015)THE CASE FOR REGIONAL POLICIES* (1970)BUSINESS CYCLE ASYMMETRY: A DEEPER LOOK (1993)The Case for Regional Policies (2013)
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References

  • 1988Testing for a Unit Root in Time Series Regression19,288 cited
  • 1987Time Series Regression with a Unit Root2,821 cited
  • 2009EXPLOSIVE BEHAVIOR IN THE 1990s NASDAQ: WHEN DID EXUBERANCE ESCALATE ASSET VALUES?*1,130 cited
  • 1991Pitfalls in Testing for Explosive Bubbles in Asset Prices685 cited
  • 1991Pitfalls and Opportunities: What Macroeconomists Should Know About Unit Roots681 cited
  • 1951A Contribution to the Theory of the Trade Cycle633 cited
  • 1995Unit Root Tests in ARMA Models with Data-Dependent Methods for the Selection of the Truncation Lag502 cited
  • 1986Unit Roots in Time Series Models: Tests and Implications460 cited
  • 2011Testing for Speculative Bubbles in Stock Markets: A Comparison of Alternative Methods455 cited
  • 2005Limit theory for moderate deviations from a unit root454 cited
  • 2011Testing for Multiple Bubbles121 cited
  • 1985Rational Bubbles in Stock Prices?102 cited
  • 2009Limit Theory for Dating the Origination and Collapse of Mildly Explosive Periods in Time Series Data40 cited

Cited by

  • 2013When bubbles burst: econometric tests based on structural breaks27 cited

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