A Simple Procedure for Detecting Periodically Collapsing Rational Bubbles
Posted: 5 Dec 2004
Abstract
This paper proposes a new procedure for detecting the presence of periodically collapsing rational bubbles via an analysis of the properties of the relevant observable time series. The procedure is based on random coefficient autoregressive models. An empirical application of the procedure to German hyperinflation data is examined and discussed.
Keywords: Rational bubbles, stochastic unit root, time-varying coefficients
JEL Classification: C22, E31, G12
Suggested Citation: Suggested Citation
Psaradakis, Zacharias and Sola, Martín and Spagnolo, Fabio, A Simple Procedure for Detecting Periodically Collapsing Rational Bubbles. Available at SSRN: https://ssrn.com/abstract=626853
Feedback
Feedback to SSRN
If you need immediate assistance, call 877-SSRNHelp (877 777 6435) in the United States, or +1 212 448 2500 outside of the United States, 8:30AM to 6:00PM U.S. Eastern, Monday - Friday.