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," CREATES Research Papers 2011-17, Department of Economics and Business Economics, Aarhus University.
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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- 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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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
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