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Social and Behavioral Sciences Commons™

Open Access. Powered by Scholars. Published by Universities.®

Economics

Singapore Management University

2011

Mildly explosive process

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Full-Text Articles in Social and Behavioral Sciences

Dating The Timeline Of Financial Bubbles During The Subprime Crisis, Peter C. B. Phillips, Jun Yu Nov 2011

Dating The Timeline Of Financial Bubbles During The Subprime Crisis, Peter C. B. Phillips, Jun Yu

Research Collection School Of Economics

A new recursive regression methodology is introduced to analyze the bubble characteristics of various financial time series during the subprime crisis. The methods modify a technique proposed in Phillips, Wu, and Yu (2011) and provide a technology for identifying bubble behavior with consistent dating of their origination and collapse. The tests serve as an early warning diagnostic of bubble activity and a new procedure is introduced for testing bubble migration across markets. Three relevant financial series are investigated, including a financial asset price (a house price index), a commodity price (the crude oil price), and one bond price (the spread …

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Specification Sensitivities In Right-Tailed Unit Root Testing, Shu-Ping Shi, Peter C. B. Phillips, Jun Yu Aug 2011

Specification Sensitivities In Right-Tailed Unit Root Testing, Shu-Ping Shi, Peter C. B. Phillips, Jun Yu

Research Collection School Of Economics

Right-tailed unit root tests have proved promising for detecting exuberance in economic and financial activities. Like left-tailed tests, the limit theory and test performance are sensitive to the null hypothesis and the model specification used in parameter estimation. This paper aims to provide some empirical guidelines for the practical implementation of right-tailed unit root tests, focusing on the sup ADF test of Phillips, Wu and Yu (2011), which implements a right-tailed ADF test repeatedly on a sequence of forward sample recursions. We analyze and compare the limit theory of the sup ADF test under different hypotheses and model specifications. The …

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