Universität zu Köln

Kruse, Robinson and Wegener, Christoph ORCID: 0000-0002-9508-7131 (2019). Explosive behaviour and long memory with an application to European bond yield spreads. Scott. J. Polit. Econ., 66 (1). S. 139 - 154. HOBOKEN: WILEY. ISSN 1467-9485

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Abstract

This article deals with the interplay of explosive behaviour and long memory. We conduct Monte Carlo simulations and study the finite-sample properties of the popular unit root test by Phillips et al. (2011) against explosive alternatives. This test exhibits severe upward size distortions under the presence of strongly autocorrelated residuals. We propose the usage of a set of adjusted critical values which leads to a size-controlled test with increased power. As a complement, we consider the Lagrange Multiplier test against long memory by Tanaka (1999). We study European government bond yield spreads during the financial crisis.

Item Type:	Journal Article
Creators:	Creators Email ORCID ORCID Put Code Kruse, Robinson UNSPECIFIED UNSPECIFIED UNSPECIFIED Wegener, Christoph UNSPECIFIED orcid.org/0000-0002-9508-7131 UNSPECIFIED
URN:	urn:nbn:de:hbz:38-158603
DOI:	10.1111/sjpe.12179
Journal or Publication Title:	Scott. J. Polit. Econ.
Volume:	66
Number:	1
Page Range:	S. 139 - 154
Date:	2019
Publisher:	WILEY
Place of Publication:	HOBOKEN
ISSN:	1467-9485
Language:	English
Faculty:	Unspecified
Divisions:	Unspecified
Subjects:	no entry
Uncontrolled Keywords:	Keywords Language RATIONAL BUBBLES; LIMIT THEORY; EXUBERANCE; MODELS Multiple languages Economics; Political Science Multiple languages
Refereed:	Yes
URI:	http://kups.ub.uni-koeln.de/id/eprint/15860