Avoiding the Pitfalls: Can Regime-Switching Tests Detect Bubbles?

Robert Vigfusson and Simon van Norden ()

Staff Working Papers from Bank of Canada

Abstract: Our paper reports on Monte Carlo experiments using Evans's data-generating process to gauge the performance of these two kinds of regime-switching tests.

Keywords: UNIT ROOTS; COINTEGRATION (search for similar items in EconPapers)
JEL-codes: C20 C22 C25 (search for similar items in EconPapers)
Pages: 25 pages
Date: 1996
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Citations: View citations in EconPapers (9)

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Persistent link: https://EconPapers.repec.org/RePEc:bca:bocawp:96-11

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