This paper considers popular methods for the quantification of survey expectations.We investigate the asymptotic properties of two variants of the probability approach originally suggested by Carlson and Parkin (1975). It is argued that the traditionalmethod can be interpreted as an instrumental...

We propose several tests for rational bubbles and investigate their power properties. The focus lies on the case where bubble detection is reduced to testing for a unknown change from a random walk to an explosive process. In simulations, a Chow-type break test exhibits the highest power and...

Speculative bubbles have played an important role ever since in financial economics. During an ongoing bubble it is relevant for investors and policy-makers to know whether the bubble continues to grow or whether it is already collapsing. Prices are typically well approximated by a random walk...

We propose several tests for rational bubbles and investigate their power properties. The focus lies on the case where bubble detection is reduced to testing for a unknown change from a random walk to an explosive process. In simulations, a Chow-type break test exhibits the highest power and...

In this paper we investigate the consequences of structural breaks in the factor loadings for the specification and estimation of factor models based on principal components and suggest procedures for testing for structural breaks. It is shown that structural breaks severely inflate the number...