A simple procedure for detecting periodically collapsing rational bubbles

Authors
Psaradakis, Z Sola, M Spagnolo, F
Citation
Z. Psaradakis et al., A simple procedure for detecting periodically collapsing rational bubbles, ECON LETT, 72(3), 2001, pp. 317-323
Citations number
11
Categorie Soggetti
Economics
Journal title
ECONOMICS LETTERS
ISSN journal
01651765 → ACNP
Volume
72
Issue
3
Year of publication
2001
Pages
317 - 323
Database
ISI
SICI code
0165-1765(200109)72:3<317:ASPFDP>2.0.ZU;2-I
Abstract
This paper proposes a new procedure for detecting the presence of periodica lly collapsing rational bubbles via an analysis of the properties of the re levant 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. (C) 2001 Elsevier Science B .V. All rights reserved.