A Simple Procedure for Detecting Periodically Collapsing Rational Bubbles

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

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Year of publication:	[2004]
Authors:	Psaradakis, Zacharias G.
Other Persons:	Sola, Martin (contributor) ; Spagnolo, Fabio (contributor)
Publisher:	[2004]: [S.l.] : SSRN
Description of contents:	Abstract [papers.ssrn.com]

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Extent:	1 Online-Ressource
Type of publication:	Book / Working Paper
Notes:	In: Economics Letters, Vol. 72, pp. 317-323, 2001 Volltext nicht verfügbar
Classification:	C22 - Time-Series Models ; E31 - Price Level; Inflation; Deflation ; G12 - Asset Pricing
Source:	ECONIS - Online Catalogue of the ZBW

Persistent link: https://www.econbiz.de/10012785334