Detecting periodically collapsing bubbles: A Markov-switching unit root test

  • Hall S
  • Psaradakis Z
  • Sola M
  • 59


    Mendeley users who have this article in their library.
  • 101


    Citations of this article.


This paper addresses the problem of testing for the presence of a stochastic bubble in a time series in the case that the bubble is periodically collapsing so that the asset price keeps returning to the level implied by the market fundamentals. As this is essentially a problem of identifying the collapsing periods from the expanding ones, we propose using a generalization of the Dickey±Fuller test procedure which makes use of the class of Markov regime-switching models. The potential of the new methodology is illustrated via simulation, and an empirical example is given. Copyright #1999 John Wiley & Sons, Ltd.

Get free article suggestions today

Mendeley saves you time finding and organizing research

Sign up here
Already have an account ?Sign in

Find this document


  • Stephen G. Hall

  • Zacharias Psaradakis

  • Martin Sola

Cite this document

Choose a citation style from the tabs below

Save time finding and organizing research with Mendeley

Sign up for free