Bootstrapping asset price bubbles

Luciano Gutierrez

Economic Modelling, 2011, vol. 28, issue 6, 2488-2493

Abstract: In this paper we propose a method that allows to test for asset price bubbles. The method is mainly based on a bootstrap methodology which helps to compute the finite sample probability distribution of the asymptotic tests which were recently proposed in Phillips et al. (2011) and Phillips and Yu (2009). We apply the method to the Nasdaq stock price index and Case-Shiller house price index. The results indicate that speculation was behind the upsurge in both asset prices.

Keywords: Rational bubbles; Bootstrap; Nonstationary tests (search for similar items in EconPapers)
Date: 2011
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Citations: View citations in EconPapers (19)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:ecmode:v:28:y:2011:i:6:p:2488-2493

DOI: 10.1016/j.econmod.2011.07.009

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