Looking for Rational Bubbles in Agricultural Commodity Markets
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In this paper, we use a bootstrap methodology to helps us to compute the finite sample
probability distribution of the asymptotic tests recently proposed in Phillips et al. (2009b) and Phillips
and Yu (2009c). Simulation shows that the bootstrap methodology works well and allows us to
identify explosive processes and collapsing bubbles. We apply the bootstrap procedure to the wheat
and rough rice commodity prices. We find some evidence of price exuberance for both prices in the
2007-2008 period.