Bubbles and crises: Replicating the Anundsen et al. (2016) results

Bowen Fu

Journal of Applied Econometrics, 2019, vol. 34, issue 5, 822-826

Abstract: This paper both narrowly and widely replicates the results of Anundsen et al. (Journal of Applied Econometrics, 2016, 31(7), 1291–1311). I am able to reproduce the same results as theirs. Furthermore, I find that allowing for time‐varying parameters of early warning system models can considerably improve the in‐sample model fit and out‐of‐sample forecasting performance based on an expanding window forecasting exercise.

Date: 2019
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