Testing for rational bubbles in a coexplosive vector autoregression

DOI10.1111/J.1368-423X.2012.00369.XMaRDI QIDQ5093185zbMATH OpenFDO

Authors Tom Engsted, Bent Nielsen

Publication date 26 July 2022

Published in Econometrics Journal (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1111/J.1368-423X.2012.00369.X

zbMATH Keywords

cointegrationexplosiveness and coexplosivenesslikelihood ratio testsrational bubblesvector autoregression

Mathematics Subject Classification ID

Statistics (62-XX)

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Cited in

(13)

• Periodically collapsing stock price bubbles: A robust test
• Rational bubbles. Theoretical basis, economic relevance, and empirical evidence with a special emphasis on the German stock market
• Asset price bubbles: invariance theorems
• Non-Gaussian VARMA model with stochastic volatility and applications in stock market bubbles
• Stationary bubble equilibria in rational expectation models
• Analysis of coexplosive processes
• When bubbles burst: econometric tests based on structural breaks
• In-sample and out-of-sample prediction of stock market bubbles: cross-sectional evidence
• On causal and non-causal cointegrated vector autoregressive time series
• A simple procedure for detecting periodically collapsing rational bubbles
• Testing for explosive bubbles: a review
• Are there speculative bubbles in stock markets? Evidence from an alternative approach
• Rational bubbles. A test

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