C22 - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models - Bank of Canada
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Bank of Canada RSS Feedsen2024-03-28T15:35:33+00:00Avoiding the Pitfalls: Can Regime-Switching Tests Detect Bubbles?
https://www.bankofcanada.ca/1996/08/working-paper-1996-11/
Work on testing for bubbles has caused much debate, much of which has focussed on methodology. Monte Carlo simulations reported in Evans (1991) showed that standard tests for unit roots and cointegration frequently reject the presence of bubbles even when such bubbles are present by construction. Evans referred to this problem as the pitfall of testing for bubbles.1996-08-03T16:35:30+00:00enAvoiding the Pitfalls: Can Regime-Switching Tests Detect Bubbles?1996-08-03Econometric and statistical methodsWorking Paper 1996-11 https://www.bankofcanada.ca/wp-content/uploads/2010/05/wp96-11.pdfAvoiding the Pitfalls: Can Regime-Switching Tests Detect Bubbles?Simon van NordenRobert VigfussonAugust 1996CC2C22C5C52