Avoiding the Pitfalls: Can Regime-Switching Tests Detect Bubbles?

Our paper reports on Monte Carlo experiments using Evans's data-generating process to gauge the performance of these two kinds of regime-switching tests.

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Year of publication:	1996
Authors:	Vigfusson, R. ; Van Norden, S.
Institutions:	Bank of Canada
Subject:	UNIT ROOTS \| COINTEGRATION

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Series:	Working Papers.
Type of publication:	Book / Working Paper
Notes:	25 pages
Classification:	C20 - Econometric Methods: Single Equation Models. General ; C22 - Time-Series Models ; C25 - Discrete Regression and Qualitative Choice Models
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10005536884