Spagnolo, F. and Sola, M. and Psaradakis, Zacharias (2001) A simple procedure for detecting periodically collapsing rational bubbles. Economics Letters 72 (3), pp. 317-323. ISSN 0165-1765.
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Official URL: https://doi.org/10.1016/S0165-1765(01)00456-6
Abstract
This paper proposes a new procedure for detecting the presence of periodically collapsing rational bubbles via an analysis of the properties of the relevant 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.
Metadata
| Item Type: | Article |
|---|---|
| School: | Birkbeck Faculties and Schools > Faculty of Business and Law > Birkbeck Business School |
| Depositing User: | Sarah Hall |
| Date Deposited: | 21 Jul 2020 12:04 |
| Last Modified: | 02 Aug 2023 18:01 |
| URI: | https://eprints.bbk.ac.uk/id/eprint/32630 |
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