Some econometric results for the Blanchard-Watson bubble model
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- Søren Johansen & Theis Lange, 2011. "Some Econometric Results for the Blanchard-Watson Bubble Model," Discussion Papers 11-15, University of Copenhagen. Department of Economics.
References listed on IDEAS
- Olivier J. Blanchard & Mark W. Watson, 1982. "Bubbles, Rational Expectations and Financial Markets," NBER Working Papers 0945, National Bureau of Economic Research, Inc.
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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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More about this item
Keywords
Time series; explosive processes; bubble models.;All these keywords.
JEL classification:
- C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models
NEP fields
This paper has been announced in the following NEP Reports:- NEP-ECM-2011-05-24 (Econometrics)
- NEP-ETS-2011-05-24 (Econometric Time Series)
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