Monschang, Verena; Wilfling, Bernd - In: Empirical Economics 61 (2020) 1, pp. 145-172
In this paper, we analyze the capacity of supremum augmented Dickey–Fuller (SADF), generalized SADF (GSADF), and of … backward SADF (BSADF) test. While Procedure 1 (predominantly) provides better estimates of the bubbles’ origination and …