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Volumn 72, Issue 3, 2001, Pages 317-323

A simple procedure for detecting periodically collapsing rational bubbles

Author keywords

C22; E31; G12; Rational bubbles; Stochastic unit root; Time varying coefficients

Indexed keywords


EID: 0035629227     PISSN: 01651765     EISSN: None     Source Type: Journal    
DOI: 10.1016/S0165-1765(01)00456-6     Document Type: Article
Times cited : (16)

References (14)
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  • 2
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  • 3
    • 0000945847 scopus 로고
    • Pitfalls in testing for explosive bubbles in asset prices
    • Evans G.W. Pitfalls in testing for explosive bubbles in asset prices. American Economic Review. 81:1991;922-930.
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    • Evans, G.W.1
  • 4
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    • Rational bubbles during Poland's hyperinflation: Implications and empirical evidence
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    • (1994) European Economic Review , vol.38 , pp. 1257-1276
    • Funke, M.1    Hall, S.G.2    Sola, M.3
  • 5
    • 0002705913 scopus 로고    scopus 로고
    • An introduction to stochastic unit-root processes
    • Granger C.W.J., Swanson N.R. An introduction to stochastic unit-root processes. Journal of Econometrics. 80:1997;35-62.
    • (1997) Journal of Econometrics , vol.80 , pp. 35-62
    • Granger, C.W.J.1    Swanson, N.R.2
  • 6
    • 0033440007 scopus 로고    scopus 로고
    • Detecting periodically collapsing bubbles: A Markov-switching unit root test
    • Hall S.G., Psaradakis Z., Sola M. Detecting periodically collapsing bubbles: a Markov-switching unit root test. Journal of Applied Econometrics. 14:1999;143-154.
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    • Hall, S.G.1    Psaradakis, Z.2    Sola, M.3
  • 9
    • 0000059152 scopus 로고
    • Testing a time series for difference stationarity
    • McCabe B.P.M., Tremayne A.R. Testing a time series for difference stationarity. Annals of Statistics. 23:1995;1015-1028.
    • (1995) Annals of Statistics , vol.23 , pp. 1015-1028
    • McCabe, B.P.M.1    Tremayne, A.R.2
  • 12
    • 21344473833 scopus 로고    scopus 로고
    • Regime switching as a test for exchange rate bubbles
    • van Norden S. Regime switching as a test for exchange rate bubbles. Journal of Applied Econometrics. 11:1996;219-251.
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    • Van Norden, S.1
  • 13
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    • The predictability of stock market regime: Evidence from the Toronto stock exchange
    • van Norden S., Schaller H. The predictability of stock market regime: evidence from the Toronto stock exchange. Review of Economics and Statistics. 75:1993;505-510.
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    • Van Norden, S.1    Schaller, H.2


* 이 정보는 Elsevier사의 SCOPUS DB에서 KISTI가 분석하여 추출한 것입니다.