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| Tekijä: | Hooker, M.A. |
| Otsikko: | Misspecification versus bubbles in hyperinflation data: Monte Carlo and interwar European evidence |
| Lehti: | Journal of International Money and Finance
2000 : AUG, VOL. 19:4, p. 583-600 |
| Asiasana: | Inflation Monte Carlo technique Models Europe |
| Vapaa asiasana: | Bubbles Specification error |
| Kieli: | eng |
| Tiivistelmä: | This paper analyzes some new tests of the Cagan hyperinflation-money demand model having several advantages relative to those in the literature. They do not confound specification error with rational bubbles, can be implemented with a linear procedure, and are frequently able to detect periodically collapsing bubbles which have challenged existing tests. After a Monte Carlo analysis, the tests are applied to data from hyperinflations in Austria, Germany, Hungary, and Poland. Evidence of misspecification is found for Austria, Germany and Hungary, while the model without rational bubble component appears to fit the data for Poland. |
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