Add to ORKGEvans (1991) and Charemza and Deadman (1995) present models of bubbles that are not empirically detectable by unit root tests. However, the stochastic elements of those models enter multiplicatively, while the Monte Carlo results in those papers use a linear unit root test. This paper presents results based on the more natural log specification of the simulated data and shows that bubbles generated by the stochastic explosive unit root model of Charemza and Deadman (1995) are detectable by properly specified unit root tests while those of Evans ’ (1991) model of periodically collapsing bubbles are not. JEL Classification: C15, G1
Detecting the presence of bubbles in asset prices has become a major interest for policy makers and ...
In this paper a simple test for detecting bilinearity in a stochastic unit root process is used to t...
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tests for rational bubbles. They argued that if stock prices are not more explosive than dividends, ...
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Our paper reports on Monte Carlo experiments using Evans's data-generating process to gauge the perf...
tests for rational bubbles. They argued that if stock prices are not more explosive than dividends, ...
This paper addresses the problem of testing for the presence of a stochastic bubble in a time series...
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In this article, we compare the local asymptotic and finite sample power of two recently proposed re...
This paper considers the problem of testing for an explosive bubble in financial data in the presenc...
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In this paper we investigate the power properties of various test procedures in the detection of rat...
We investigate nine data series previously identified as containing bubbles using Bayesian Markov sw...
Detecting the presence of bubbles in asset prices has become a major interest for policy makers and ...
In this paper a simple test for detecting bilinearity in a stochastic unit root process is used to t...
In this paper, we examine the issue of detecting explosive behavior in economic and financial time s...
The aim of this article is to provide some empirical guidelines for the practical implementation of ...
tests for rational bubbles. They argued that if stock prices are not more explosive than dividends, ...
This paper studies the impact of permanent volatility shifts in the innovation process on the perfor...
Our paper reports on Monte Carlo experiments using Evans's data-generating process to gauge the perf...
tests for rational bubbles. They argued that if stock prices are not more explosive than dividends, ...
This paper addresses the problem of testing for the presence of a stochastic bubble in a time series...
This paper considers the problem of testing for an explosive bubble in …nancial data in the presence...
In this article, we compare the local asymptotic and finite sample power of two recently proposed re...
This paper considers the problem of testing for an explosive bubble in financial data in the presenc...
This paper provides an overview of methods of testing for explosive bubbles in time series. Various ...
In this paper we investigate the power properties of various test procedures in the detection of rat...
We investigate nine data series previously identified as containing bubbles using Bayesian Markov sw...
Detecting the presence of bubbles in asset prices has become a major interest for policy makers and ...
In this paper a simple test for detecting bilinearity in a stochastic unit root process is used to t...
In this paper, we examine the issue of detecting explosive behavior in economic and financial time s...