Unit root testing for bubbles: A resurrection?

George Waters

Economics Letters, 2008, vol. 101, issue 3, 279-281

Abstract: Evans [Evans, G., Pitfalls in testing for explosive bubbles in asset prices. The American Economic Review 1991;81;922-930] and Charemza and Deadman [Charemza, W., Deadman, D., Speculative bubbles with stochastic explosive roots: The failure of unit root testing. Journal of Empirical Finance 1991;2;153-163] present models of bubbles that are not detectable by unit root tests. This paper shows that for a more natural log specification of the tests, bubbles generated by the latter model are detectable.

Keywords: Periodically; collapsing; bubbles; Stochastic; explosive; root; processes (search for similar items in EconPapers)
Date: 2008
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Citations: View citations in EconPapers (10)

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