Testing for explosive bubbles in the presence of non-Gaussian conditions

Hao Feng

Economics Letters, 2023, vol. 233, issue C

Abstract: This paper considers the problem of testing explosive bubbles under non-Gaussian conditions, which are quite common in financial data. Based on the generalized sup augmented Dickey-Fuller (GSADF) initiated by Phillips et al. (2015a), we propose a quantile-based version named QGSADF. The asymptotic distribution of the proposed test is derived and the simulations show that the new test obtains significant power gains under the premise of controlling size distortion under non-Gaussian conditions. The application to commodity futures prices suggests that QGSADF provides stronger evidential support for bubble behavior than the GSADF test.

Keywords: Explosive bubble; Quantile regression; Non-Gaussian conditions; Commodity futures (search for similar items in EconPapers)
JEL-codes: C1 C2 C5 (search for similar items in EconPapers)
Date: 2023
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (2)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:ecolet:v:233:y:2023:i:c:s0165176523004172

DOI: 10.1016/j.econlet.2023.111391

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