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Bubbles and crises: Replicating the Anundsen et al. (2016) results*

* This paper is a replication of an original study

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  • Bowen Fu

Abstract

This paper both narrowly and widely replicates the results of Anundsen et al. (Journal of Applied Econometrics, 2016, 31(7), 1291–1311). I am able to reproduce the same results as theirs. Furthermore, I find that allowing for time‐varying parameters of early warning system models can considerably improve the in‐sample model fit and out‐of‐sample forecasting performance based on an expanding window forecasting exercise.

Suggested Citation

  • Bowen Fu, 2019. "Bubbles and crises: Replicating the Anundsen et al. (2016) results," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 34(5), pages 822-826, August.
    • Handle: RePEc:wly:japmet:v:34:y:2019:i:5:p:822-826
    DOI: 10.1002/jae.2695
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    References listed on IDEAS

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    Replication

    This item is a replication of:
  • André K. Anundsen & Karsten Gerdrup & Frank Hansen & Kasper Kragh‐Sørensen, 2016. "Bubbles and Crises: The Role of House Prices and Credit," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 31(7), pages 1291-1311, November.

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    1. Bubbles and crises: Replicating the Anundsen et al. (2016) results (Journal of Applied Econometrics 2019) in ReplicationWiki

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