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Title:Rational bubbles and fractional integration PDF Logo
Authors:Kruse, Robinson
Issue Date: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
Appears in Collections:Diskussionspapiere, Wirtschaftswissenschaftliche Fakultät, Universität Hannover

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