Unit root testing for bubbles: A resurrection?
AbstractEvans [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.
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Bibliographic InfoArticle provided by Elsevier in its journal Economics Letters.
Volume (Year): 101 (2008)
Issue (Month): 3 (December)
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Web page: http://www.elsevier.com/locate/ecolet
Periodically collapsing bubbles Stochastic explosive root processes;
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