A statistical model of speculative bubbles, with applications to the stock markets of the United States, Japan, and China

► We build a simple statistical model to identify speculative bubbles in financial markets. ► Our model fits the real data very well without requiring a large sample in contrast with existing models in this literature. ► We propose a condense method for Baysian computation while maintaining the recursive nature of our estimation. ► Our empirical results show that there have been bubbles in the stock markets of United States, Japan and China.