Bubbles or volatility [electronic resource] : a Markov-switching unit root test with regime-varying...
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Bubbles or volatility [electronic resource] : a Markov-switching unit root test with regime-varying...
Bubbles or volatility [electronic resource] : a Markov-switching unit root test with regime-varying error variance / Shu-Ping Shi.
About this item
Full title
Author / Creator
Publisher
[Canberra] : Australian National University, [College of Business & Economics], 2010.
Date
2010.
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MMS ID
Language
English
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Publication information
Publisher
[Canberra] : Australian National University, [College of Business & Economics], 2010.
Series
Place of Publication
Australian Capital Territory
Date Published
2010.
Subjects
More information
Scope and Contents
Summary
We demonstrate that the constant variance assumption in the Markov-switching Augmented Dickey-Fuller (ADF) test proposed by Hall, Psaradakis and Sola (1999) may result in the misjudgement of bubbles. Upon relaxing this assumption to allow for regime-varying error variances in the Markov-switching ADF test (referred to as the MSADF-RV test), we revi...
Alternative Titles
Full title
Bubbles or volatility [electronic resource] : a Markov-switching unit root test with regime-varying error variance / Shu-Ping Shi.
Authors, Artists and Contributors
Author / Creator
Notes
General note
Working papers in economics & econometrics ; no. 524.
Title from title screen (viewed on September 21, 2010).
"JEL codes: C22".
"June 2010".
Includes bibliographical references (p. 12-13)
System details note
Mode of access: Internet via the World Wide Web. Available at: http://www.cbe.anu.edu.au/research/papers/pdf/wp524.pdf.
System requirements: Adobe Acrobat reader required to view document.
Contextual Information
Other version (online)
Identifiers
Primary Identifiers
Record Identifier
74VM0oGAoZrO
Permalink
https://devfeature-collection.sl.nsw.gov.au/record/74VM0oGAoZrO
Other Identifiers
ISBN
0868315249
9780868315249
DDC
519.55
MMS ID
991001819249702626
