Highly Influenced

# 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} }

- Published 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.