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 |
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| container_title | Economics letters |
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| creator | Waters, George A. |
| description | 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. |
| doi_str_mv | 10.1016/j.econlet.2008.09.002 |
| format | Article |
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| fulltext | fulltext |
| identifier | ISSN: 0165-1765 |
| ispartof | Economics letters, 2008-12, Vol.101 (3), p.279-281 |
| issn | 0165-1765 1873-7374 |
| language | eng |
| recordid | cdi_proquest_miscellaneous_37096404 |
| source | RePEc; Access via ScienceDirect (Elsevier) |
| subjects | Periodically collapsing bubbles Periodically collapsing bubbles Stochastic explosive root processes Stochastic explosive root processes Stochastic processes Unit root |
| title | Unit root testing for bubbles: A resurrection? |
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