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Unit root tests for explosive behaviour

Author

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  • Jesús Otero

    (Universidad del Rosario, Bogotá, Colombia)

  • Christopher F Baum

    (Boston College
    DIW Berlin
    CESIS)

Abstract

We present the new Stata command radf to compute several tests for explosive behaviour in time series. The command implements the right-tail augmented Dickey and Fuller (1979) (ADF) unit root test, and its further developments based on supremum statistics derived from ADF-type regressions estimated using rolling windows, recursive windows (Phillips, Wu and Yu 2011), and recursive flexible windows (Phillips, Shi and Yu 2015). The command allows for the number of lags of the dependent variable in the test regression to be either specified by the user or endogenously determined using a data-dependent procedure. The use of the command is illustrated with an empirical example.

Suggested Citation

  • Jesús Otero & Christopher F Baum, 2020. "Unit root tests for explosive behaviour," London Stata Conference 2020 04, Stata Users Group.
    • Handle: RePEc:boc:usug20:04
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    Cited by:

    1. Zoë Venter, 2021. "Honing in on Housing," Working Papers REM 2021/0163, ISEG - Lisbon School of Economics and Management, REM, Universidade de Lisboa.
    2. Esposti, Roberto, 2024. "Dating common commodity price and inflation shocks with alternative approaches," Bio-based and Applied Economics Journal, Italian Association of Agricultural and Applied Economics (AIEAA), vol. 13(2), July.
    3. Festus Victor Bekun & Abdulkareem Alhassan & Ilhan Ozturk & Obadiah Jonathan Gimba, 2022. "Explosivity and Time-Varying Granger Causality: Evidence from the Bubble Contagion Effect of COVID-19-Induced Uncertainty on Manufacturing Job Postings in the United States," Mathematics, MDPI, vol. 10(24), pages 1-17, December.
    4. Jesús Otero & Theodore Panagiotidis & Georgios Papapanagiotou, 2021. "Testing for exuberance in house prices using data sampled at different frequencies," Working Paper series 21-13, Rimini Centre for Economic Analysis.
    5. Yuchao Fan, 2022. "Dissecting the dot-com bubble in the 1990s NASDAQ," Papers 2206.14130, arXiv.org, revised Jul 2022.
    6. Roberto Esposti, 2022. "Who Moves First? Commodity Price Interdependence Through Time-Varying Granger Causality," Working Papers 471, Universita' Politecnica delle Marche (I), Dipartimento di Scienze Economiche e Sociali.

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