Testing for rational bubbles in a coexplosive vector autoregression

Tom Engsted

doi:10.1111/j.1368-423X.2012.00369.x

2012-07-17

Tom Engsted *

Bent Nielsen

DOI：10.1111/j.1368-423X.2012.00369.x

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摘要

En 中文

Asset bubbles can be described through the rational bubble solution of the standard stock price model linking stock prices and dividends. We show how the hypothesis of a rational bubble can be tested in the context of a bivariate coexplosive vector autoregression. The methodology is illustrated using US stock prices and dividends for the period 1974-2000.

Keyword:

Cointegration

Explosiveness and coexplosiveness

Likelihood ratio tests

Rational bubbles

Vector autoregression

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Econometrics Journal

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Aarhus University

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