Working paper icon

Working paper

Testing for rational bubbles in a co-explosive vector autoregression.

Abstract:

We derive the parameter restrictions that a standard equity market model implies for a bivariate vector autoregression for stock prices and dividends, and we show how to test these restrictions using likelihood ratio tests. The restrictions, which imply that stock returns are unpredictable, are derived both for a model without bubbles and for a model with a rational bubble. In both cases we show how the restrictions can be tested through standard chi-squared inference. The analysis for the no...

Expand abstract

Actions


Access Document


Files:

Authors


Tom Engsted More by this author
Bent Nielsen More by this author
Volume:
2010-W06
Series:
Nuffield College Economics Working Papers
Publication date:
2010-06-05
URN:
uuid:45e370f3-5e98-4ce6-9305-3c55e24abd7b
Local pid:
oai:economics.ouls.ox.ac.uk:15024
Language:
English

Terms of use


Metrics



If you are the owner of this record, you can report an update to it here: Report update to this record

TO TOP