Detecting Asset Price Bubbles in the Near-Explosive Random Coefficient Autoregressive Model

@inproceedings{Banerjee2012DetectingAP,
  title={Detecting Asset Price Bubbles in the Near-Explosive Random Coefficient Autoregressive Model},
  author={Anurag Banerjee and Guillaume Chevillon},
  year={2012}
}
This paper proposes a random-coefficient autoregressive model that can accomodate the pricing of assets under standard present-value relations, both according to fundamentals and in the presence of bubbles. The distribution of the random coefficient is parameterized in a local-asymptotics framework as a moderate deviation from a stochastic unit root. An application to inference regarding the dynamics of U.S. house prices shows the pertinence of the model. 

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