van Norden, Simon; Vigfusson, Robert - In: Studies in Nonlinear Dynamics & Econometrics 3 (1998) 1
Our paper uses simulation methods to examine the size and power of regime-switching tests for bubbles. We find that … tests conservative; they understate the significance of the evidence of bubbles. Despite this, the tests display … considerable power to detect bubbles even when using the conservative asymptotic critical values. We also find that the frequency …