Detecting periodically collapsing bubbles: a Markov-switching unit root test (replication data)

DOI

This paper addresses the problem of testing for the presence of a stochastic bubble in a time series in the case that the bubble is periodically collapsing so that the asset price keeps returning to the level implied by the market fundamentals. As this is essentially a problem of identifying the collapsing periods from the expanding ones, we propose using a generalization of the Dickey-Fuller test procedure which makes use of the class of Markov regime-switching models. The potential of the new methodology is illustrated via simulation, and an empirical example is given.

Identifier
DOI https://doi.org/10.15456/jae.2022314.0706090148
Metadata Access https://www.da-ra.de/oaip/oai?verb=GetRecord&metadataPrefix=oai_dc&identifier=oai:oai.da-ra.de:776352
Provenance
Creator Hall, Stephen G.; Psaradakis, Zacharias; Sola, Martin
Publisher ZBW - Leibniz Informationszentrum Wirtschaft
Publication Year 1999
Rights Creative Commons Attribution 4.0 (CC-BY); Download
OpenAccess true
Contact ZBW - Leibniz Informationszentrum Wirtschaft
Representation
Language English
Resource Type Collection
Discipline Economics