Anmerkungen:
Nach Informationen von SSRN wurde die ursprüngliche Fassung des Dokuments May 28, 2014 erstellt
Beschreibung:
We find that incorporating nonlinearities into tests of asset price bubbles has important consequences for the results. We show this by comparing four tests using S&P 500 data. Our results indicate that the modi fication which incorporates nonlinear probabilities outperforms the other models in terms of select information criteria and a likelihood based test. In addition, the coefficients associated with the nonlinear terms have the expected sign and the estimated probabilities display larger movements during the late-1910's, early-1930's/1940's, and the 2000's