Some Econometric Results for the Blanchard-Watson Bubble Model
AbstractThe purpose of the present paper is to analyse a simple bubble model suggested by Blanchard and Watson. The model is defined by y(t) =s(t)¿y(t-1)+e(t), t=1,…,n, where s(t) is an i.i.d. binary variable with p=P(s(t)=1), independent of e(t) i.i.d. with mean zero and finite variance. We take ¿>1 so the process is explosive for a period and collapses when s(t)=0. We apply the drift criterion for non-linear time series to show that the process is geometrically ergodic when p
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Bibliographic InfoPaper provided by University of Copenhagen. Department of Economics in its series Discussion Papers with number 11-15.
Length: 9 pages
Date of creation: May 2011
Date of revision:
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More information through EDIRC
time series; explosive processes; bubble models;
Other versions of this item:
- Søren Johansen & Theis Lange, 2011. "Some econometric results for the Blanchard-Watson bubble model," CREATES Research Papers 2011-17, School of Economics and Management, University of Aarhus.
- C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
This paper has been announced in the following NEP Reports:
- NEP-ALL-2011-05-24 (All new papers)
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
- Frédérique Bec & Anders Rahbek & Neil Shephard, 2008.
"The ACR Model: A Multivariate Dynamic Mixture Autoregression,"
Oxford Bulletin of Economics and Statistics,
Department of Economics, University of Oxford, vol. 70(5), pages 583-618, October.
- Frédérique Bec & Anders Rahbek & Neil Shephard, 2008. "The ACR model: a multivariate dynamic mixture autoregression," THEMA Working Papers 2008-11, THEMA (THéorie Economique, Modélisation et Applications), Université de Cergy-Pontoise.
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