Abstract:Recent developments on the right‐tailed unit root tests of Phillips et al., which are used to date stamp the origination and collapse dates of asset price bubbles, have generated considerable interest. This paper provides a review for both empirical researchers that adopt these new econometric tools to detect the presence of asset price bubbles, and theoretical papers that extend these testing procedures. This paper also uses the psymonitor package in R to demonstrate the practical use of such tests using an e… Show more
“…Building upon the existing work on unit root testing, bubble testing is a contribution that truly stands on the shoulders of giants. Dr Yang Hu provides a much needed survey on bubble testing in Hu (2023) and gently introduces the technically complex subject in a manner that is accessible by empirical researchers without sacrificing technical rigor. Following an historical introduction, Shi and Phillips (2023) demonstrate the practical usefulness of this branch of research by developing a new bubble test for the housing market.…”
“…Building upon the existing work on unit root testing, bubble testing is a contribution that truly stands on the shoulders of giants. Dr Yang Hu provides a much needed survey on bubble testing in Hu (2023) and gently introduces the technically complex subject in a manner that is accessible by empirical researchers without sacrificing technical rigor. Following an historical introduction, Shi and Phillips (2023) demonstrate the practical usefulness of this branch of research by developing a new bubble test for the housing market.…”
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