Bubbles and crises: Replicating the Anundsen et al. (2016) results
复制了Anundsen等人（2016）关于泡沫与危机的研究，并发现允许预警系统模型参数随时间变化能显著提升样本内拟合和样本外预测表现。
Summary 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.