Norden, Simon van; Vigfusson, Robert - In: Studies in Nonlinear Dynamics & Econometrics 3 (1998) 1, pp. 1-22
Our paper uses simulation methods to examine the size and power of regime-switching tests for bubbles. We find that even with several hundred observations, the tests show sometimes considerable size distortion. This distortion makes the tests conservative; they understate the significance of the...