A Simple Procedure for Detecting Periodically Collapsing Rational Bubbles
Posted: 5 Dec 2004
This paper proposes a new procedure for detecting the presence of periodically collapsing rational bubbles via an analysis of the properties of the relevant observable time series. The procedure is based on random coefficient autoregressive models. An empirical application of the procedure to German hyperinflation data is examined and discussed.
Keywords: Rational bubbles, stochastic unit root, time-varying coefficients
JEL Classification: C22, E31, G12
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