Stephen G. Hall
;
Zacharias Psaradakis
;
Martin Sola
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detecting periodically collapsing bubbles: a markov-switching unit root test (replication data)

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 collapsing periods from the expanding ones, we propose using a generalization of the Dickey-Fuller test procedure which makes use of the class of Markov regime-switching models. The potential of the new methodology is illustrated via simulation, and an empirical example is given.

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Suggested Citation

Hall, Stephen G.; Psaradakis, Zacharias; Sola, Martin (1999): Detecting periodically collapsing bubbles: a Markov-switching unit root test (replication data). Version: 1. Journal of Applied Econometrics. Dataset. https://journaldata.zbw.eu/dataset/detecting-periodically-collapsing-bubbles-a-markovswitching-unit-root-test?activity_id=dafdc90c-991b-4bca-b9d9-90386b6da3e2