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

DOI10.2202/1558-3708.1038MaRDI QIDQ3368220zbMATH OpenOpenAlexFDO

Authors Simon van Norden, Robert Vigfusson

Publication date 27 January 2006

Published in Studies in Nonlinear Dynamics & Econometrics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.2202/1558-3708.1038

zbMATH Keywords

bubblescrashmultiple equilibriaregime switchingstock market

Mathematics Subject Classification ID

Microeconomic theory (price theory and economic markets) (91B24) Economic time series analysis (91B84)

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• Testing for multiple bubbles: historical episodes of exuberance and collapse in the S\&P 500
• A simple procedure for detecting periodically collapsing rational bubbles
• On the performance of West's bubble test: a simulation approach

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