Comparing Tests for Identification of Bubbles

Kristoffer Pons Bertelsen (kristoffer@econ.au.dk)
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Kristoffer Pons Bertelsen: Aarhus University and CREATES, Postal: Department of Economics and Business Economics, Aarhus University, Fuglesangs Allé 4, Building 2631, 14, 8210 Aarhus V, DK

CREATES Research Papers from Department of Economics and Business Economics, Aarhus University

Abstract: This paper compares the log periodic power law (LPPL) and the supremum augmented Dickey Fuller (supremum ADF) procedures considering bubble detection and time stamping capabilities in a thorough analysis based on simulated data. A generalized formulation of the LPPL procedure is derived and analysed demonstrating performance improvements.

Keywords: Rational bubbles; explosive processes; log periodic power law; critical points theory (search for similar items in EconPapers)
JEL-codes: C01 C02 C12 C13 C22 C52 C53 C58 C61 G01 (search for similar items in EconPapers)
Pages: 74
Date: 2019-10-11
New Economics Papers: this item is included in nep-ecm, nep-ets and nep-ore
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (1)

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Persistent link: https://EconPapers.repec.org/RePEc:aah:create:2019-16

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