Specification Sensitivity in Right-Tailed Unit Root Testing for Explosive Behaviour
研究了右尾单位根检验（特别是递归ADF检验）在不同模型设定下的表现，给出了实证操作建议，并应用于股票市场说明设定问题的重要性。
type="main" xml:id="obes12026-abs-0001"> This article aims to provide some empirical guidelines for the practical implementation of right-tailed unit root tests, focusing on the recursive right-tailed ADF test of Phillips et al. (2011b). We analyze and compare the limit theory of the recursive test under different hypotheses and model specifications. The size and power properties of the test under various scenarios are examined and some recommendations for empirical practice are given. Some new results on the consistent estimation of localizing drift exponents are obtained, which are useful in assessing model specification. Empirical applications to stock markets illustrate these specification issues and reveal their practical importance in testing.