Saturday, September 7, 2013

More on Multiple Bubbles

In a recent post I highlighted a new EViews Add-in package, written by Itamar Caspi. His rtdaf package facilitates the application of the Right-Tail Augmented Dickey-Fuller tests that are "....designed to detect the presence of an unobserved bubble component in an observed asset price and to date-stamp its occurrence".

In part, the testing procedures are based on Phillips et al. (2013b). If you're following this literature, there are two other recent papers by those authors that are a must-read - Phillips et al. (2013,a,b)

References

Phillips, P. C. B., Shi, S., and Yu, J., 2013a, Specification sensitivity in right-tailed unit root testing for explosive behaviour. Oxford Bulletin of Economics and Statistics, forthcoming.

Phillips, P., S. Shi, and J. Yu, 2013b. Testing for Multiple Bubbles 1: Historical episodes of exuberance and collapse in the S&P 500. Working paper.

Phillips, P., S. Shi, and J. Yu, 2013c. Testing for Multiple Bubbles 2: Limit theory of real time detectors.  SMU Economics and Statistics Working Paper Series, No. 05-2013.


© 2013, David E. Giles

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