Asset price bubbles have fascinated economists for decades. In consequence, the literature on bubbles and their … rational bubbles. We focus in particular on recently developed bubble detection methods, namely recursive unit root tests … prices. As a result, they avoid testing a joint hypothesis of the presence of rational bubbles and the validity of the model …

This paper presents an overview of several econometric tools available to test for the presences of asset price bubbles …, Cointegration methods were used to detect asset price bubbles. Unfortunately, if there are collapsing bubbles, Cointegration … techniques cannot identify multiple bubbles. To overcome this Phillips, Shi and Yu (2015) developed a right tailed Augmented …

This paper presents an overview of several econometric tools available to test for the presences of asset price bubbles …, Cointegration methods were used to detect asset price bubbles. Unfortunately, if there are collapsing bubbles, Cointegration … techniques cannot identify multiple bubbles. To overcome this Phillips, Shi and Yu (2015) developed a right tailed Augmented …

We find that incorporating nonlinearities into tests of asset price bubbles has important consequences for the results …

and date-stamping financial bubbles. In Monte Carlo simulations, we show that the SADF and GSADF tests may reveal …). Simulating stock-price trajectories that contain these parametric bubbles, we demonstrate that the SADF and GSADF tests can have …In this paper we analyze the performance of supremum augmented Dickey-Fuller (SADF), generalized SADF (GSADF), and …