A0780
Title: Detecting common bubbles in multivariate mixed causal-noncausal models
Authors: Alain Hecq - Maastricht University (Netherlands) [presenting]
Abstract: Methods are proposed to investigate whether the bubble patterns observed in individual series are common to various series. We detect the non-linear dynamics using the recent mixed causal and noncausal models. Both a likelihood ratio test and information criteria are investigated, the former having better performances in our Monte Carlo simulations. Implementing our approach on three commodity prices, we do not find evidence of commonalities, although some series look very similar.
