Avoiding the Pitfalls: Can Regime-Switching Tests Detect Bubbles?
AbstractOur paper reports on Monte Carlo experiments using Evans's data-generating process to gauge the performance of these two kinds of regime-switching tests.
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Bibliographic InfoPaper provided by Bank of Canada in its series Working Papers with number 96-11.
Length: 25 pages
Date of creation: 1996
Date of revision:
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Other versions of this item:
- Simon van Norden & Robert Vigfusson, 1996. "Avoiding the Pitfalls: Can Regime-Switching Tests Detect Bubbles?," Meeting papers 9603001, EconWPA.
- C20 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - General
- C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models &bull Diffusion Processes
- C25 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Discrete Regression and Qualitative Choice Models; Discrete Regressors; Proportions
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