bubbles and crises: replicating the anundsen et al. (2016) results (replication data)

This paper both narrowly and widely replicates the results of Anundsen et al. (Journal of Applied Econometrics, 2016, 31(7), 1291-1311). I am able to reproduce the same results as theirs. Furthermore, I find that allowing for time-varying parameters of early warning system models can considerably improve the in-sample model fit and out-of-sample forecasting performance based on an expanding window forecasting exercise.

Data and Resources

Suggested Citation

Fu, Bowen (2019): Bubbles and crises: Replicating the Anundsen et al. (2016) results (replication data). Version: 1. Journal of Applied Econometrics. Dataset. http://dx.doi.org/10.15456/jae.2022327.0709313999