Unit root testing for bubbles: A resurrection?

C-Tier
Journal: Economics Letters
Year: 2008
Volume: 101
Issue: 3
Pages: 279-281

Score contribution per author:

1.005 = (α=2.01 / 1 authors) × 0.5x C-tier

α: calibrated so average coauthorship-adjusted count equals average raw count

Abstract

Evans [Evans, G., Pitfalls in testing for explosive bubbles in asset prices. The American Economic Review 1991;81;922-930] and Charemza and Deadman [Charemza, W., Deadman, D., Speculative bubbles with stochastic explosive roots: The failure of unit root testing. Journal of Empirical Finance 1991;2;153-163] present models of bubbles that are not detectable by unit root tests. This paper shows that for a more natural log specification of the tests, bubbles generated by the latter model are detectable.

Technical Details

RePEc Handle
repec:eee:ecolet:v:101:y:2008:i:3:p:279-281
Journal Field
General
Author Count
1
Added to Database
2026-01-29