We thank two anonymous referees and the editor for helpful suggestions. We are grateful to Heather Anderson, Farshid Vahid, Hashem Pesaran, and Tom Smith for helpful discussions. Phillips acknowledges support from the NSF under Grant No. SES 09-56687. Shi acknowledges the Financial Integrity Research Network (FIRN) for funding support. Yu thanks the Singapore Ministry of Education for Academic Research Fund under grant number MOE2011-T2-2-096.
Specification Sensitivity in Right-Tailed Unit Root Testing for Explosive Behaviour†
Version of Record online: 6 FEB 2013
© 2013 The Department of Economics, University of Oxford and John Wiley & Sons Ltd.
Oxford Bulletin of Economics and Statistics
Volume 76, Issue 3, pages 315–333, June 2014
How to Cite
Phillips, P. C. B., Shi, S. and Yu, J. (2014), Specification Sensitivity in Right-Tailed Unit Root Testing for Explosive Behaviour. Oxford Bulletin of Economics and Statistics, 76: 315–333. doi: 10.1111/obes.12026
- Issue online: 23 APR 2014
- Version of Record online: 6 FEB 2013
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