Abstract
Right-tailed unit root tests have proved promising for detecting exuberance in economic and …nancial activities. Like left-tailed tests, the limit theory and test performance are sensitive to the null hypothesis and the model speci…cation used in parameter estimation. This paper aims to provide some empirical guidelines for the practical implementation of right-tailed unit root tests, focussing 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
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