Journal
ECONOMICS LETTERS
Volume 72, Issue 3, Pages 317-323Publisher
ELSEVIER SCIENCE SA
DOI: 10.1016/S0165-1765(01)00456-6
Keywords
rational bubbles; stochastic unit root; time-varying coefficients
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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. (C) 2001 Elsevier Science B.V. All rights reserved.
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