Unit root testing for bubbles: A resurrection?

Evans [Evans, G., Pitfalls in testing for explosive bubbles in asset prices. The American Economic Review 1991;81;922–930] and Charemza and Deadman [Charemza, W., Deadman, D., Speculative bubbles with stochastic explosive roots: The failure of unit root testing. Journal of Empirical Finance 1991;2;1...

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Veröffentlicht in:	Economics letters 2008-12, Vol.101 (3), p.279-281
1. Verfasser:	Waters, George A.
Format:	Artikel
Sprache:	eng
Schlagworte:	Periodically collapsing bubbles Periodically collapsing bubbles Stochastic explosive root processes Stochastic explosive root processes Stochastic processes Unit root
Online-Zugang:	Volltext
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Beschreibung
Zusammenfassung:	Evans [Evans, G., Pitfalls in testing for explosive bubbles in asset prices. The American Economic Review 1991;81;922–930] and Charemza and Deadman [Charemza, W., Deadman, D., Speculative bubbles with stochastic explosive roots: The failure of unit root testing. Journal of Empirical Finance 1991;2;153–163] present models of bubbles that are not detectable by unit root tests. This paper shows that for a more natural log specification of the tests, bubbles generated by the latter model are detectable.
ISSN:	0165-1765 1873-7374
DOI:	10.1016/j.econlet.2008.09.002