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Asymptotics for unit root tests under Markov regime-switching

โœ Scribed by Giuseppe Cavaliere


Book ID
108513058
Publisher
John Wiley and Sons
Year
2003
Tongue
English
Weight
214 KB
Volume
6
Category
Article
ISSN
1368-4221

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This paper addresses the problem of testing for the presence of a stochastic bubble in a time series in the case that the bubble is periodically collapsing so that the asset price keeps returning to the level implied by the market fundamentals. As this is essentially a problem of identifying the col