Econometric tests for nonlinear exuberance in economics and finance
Exuberant behaviors (bubbles) in economic and financial activities have long been a concern in the literature. In this thesis, we focus on developing econometric tests to detect the existence and to identify the origination and termination dates of this behavior. These econometric tests generalize two existing tests, namely the Markov-switching unit root test of Hall, Psaradakis and Sola (1999, HPS hereafter) and the sup Augmented Dickey-Fuller (ADF) test of Phillips, Wu and Yu (2011, PWY...[Show more]
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