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Testing for rational bubbles in a coexplosive vector autoregression
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DOI：10.1111/j.1368-423X.2012.00369.x.png)
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Abstract
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.
Keywords:
Cointegration
Explosiveness and coexplosiveness
Likelihood ratio tests
Rational bubbles
Vector autoregression
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