Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/27204
Authors: 
Kruse, Robinson
Year of Publication: 
2008
Series/Report no.: 
Discussion papers // School of Economics and Management of the Hanover Leibniz University 394
Abstract: 
In this article we provide evidence for a rational bubble in S\&P 500 stock prices by applying a test for changing persistence under fractional integration proposed by Sibbertsen and Kruse (2007). We find strong evidence for stationary long memory before the estimated change point in 1955 and a unit root afterwards. These results bring two empirical findings in line: on one hand they confirm the previous result of fractional integration and on the other hand they support the hypothesis of a rational bubble.
Subjects: 
Fractional integration
bubbles
changing persistence
JEL: 
C12
C22
G12
Document Type: 
Working Paper

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