IDEAS home Printed from https://ideas.repec.org/a/eee/ecolet/v233y2023ics0165176523004172.html
   My bibliography  Save this article

Testing for explosive bubbles in the presence of non-Gaussian conditions

Author

Listed:
  • Feng, Hao

Abstract

This paper considers the problem of testing explosive bubbles under non-Gaussian conditions, which are quite common in financial data. Based on the generalized sup augmented Dickey-Fuller (GSADF) initiated by Phillips et al. (2015a), we propose a quantile-based version named QGSADF. The asymptotic distribution of the proposed test is derived and the simulations show that the new test obtains significant power gains under the premise of controlling size distortion under non-Gaussian conditions. The application to commodity futures prices suggests that QGSADF provides stronger evidential support for bubble behavior than the GSADF test.

Suggested Citation

  • Feng, Hao, 2023. "Testing for explosive bubbles in the presence of non-Gaussian conditions," Economics Letters, Elsevier, vol. 233(C).
    • Handle: RePEc:eee:ecolet:v:233:y:2023:i:c:s0165176523004172
    DOI: 10.1016/j.econlet.2023.111391
    as

    Download full text from publisher

    File URL: http://www.sciencedirect.com/science/article/pii/S0165176523004172
    Download Restriction: Full text for ScienceDirect subscribers only
    File URL: https://libkey.io/10.1016/j.econlet.2023.111391?utm_source=ideas
    LibKey link: if access is restricted and if your library uses this service, LibKey will redirect you to where you can use your library subscription to access this item
    ---><---

    As the access to this document is restricted, you may want to search for a different version of it.

    Citations

    Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
    as


    Cited by:

    1. Nicolas Cofre & Magdalena Mosionek-Schweda, 2023. "A simulated electronic market with speculative behaviour and bubble formation," Papers 2311.12247, arXiv.org.

    More about this item

    Keywords

    Explosive bubble; Quantile regression; Non-Gaussian conditions; Commodity futures;
    All these keywords.

    JEL classification:

    • C1 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General
    • C2 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables
    • C5 - Mathematical and Quantitative Methods - - Econometric Modeling

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:eee:ecolet:v:233:y:2023:i:c:s0165176523004172. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no bibliographic references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Catherine Liu (email available below). General contact details of provider: http://www.elsevier.com/locate/ecolet .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.