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Markov Regime Switching and Unit-Root Tests

โœ Scribed by Nelson, Charles R; Piger, Jeremy; Zivot, Eric

Book ID
120550033
Publisher
American Statistical Association
Year
2001
Tongue
English
Weight
238 KB
Volume
19
Category
Article
ISSN
0735-0015

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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