Homm, Ulrich; Breitung, Jörg - In: Journal of Financial Econometrics 10 (2010) 1, pp. 198-231
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...
