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      A review of Phillips-type right-tailed unit root bubble detection tests

      Hu, Yang
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      Journal of Economic Surveys - 2022 - Hu - A review of Phillips‐type right‐tailed unit root bubble detection tests.pdf
      Published version, 727.6Kb
      DOI
       10.1111/joes.12524
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      Permanent link to Research Commons version
      https://hdl.handle.net/10289/15191
      Abstract
      Recent developments on the right-tailed unit root tests of Phillips et al., which are used to date stamp the origination and collapse dates of asset price bubbles, have generated considerable interest. This paper provides a review for both empirical researchers that adopt these new econometric tools to detect the presence of asset price bubbles, and theoretical papers that extend these testing procedures. This paper also uses the psymonitor package in R to demonstrate the practical use of such tests using an example based on data for British Railway Mania of the 1840s.
      Date
      2022
      Type
      Journal Article
      Publisher
      Wiley
      Rights
      This is an open access article under the terms of the Creative Commons Attribution-NonCommercial-NoDerivs License, which permits use and distribution in any medium, provided the original work is properly cited, the use is non-commercial and no modifications or adaptations are made.

      © 2022 The Authors. Journal of Economic Surveys published by John Wiley & Sons Ltd.
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