Testing for rational bubbles

Roy Cerqueti and Mauro Costantini

Economics & Statistics Discussion Papers from University of Molise, Department of Economics

Abstract: This paper presents new results on the rational bubbles hypothesis for a panel of 9 OECD countries using Campbell, Lo and MacKinsay (1997) model. The contribution offered by this paper is an analysis of international data that exploits increased power deriving from the panel unit root and cointegration methodology, together with the flexibility of allowing explicitly for multiple endogenous structural breaks in the individual series. Differently from the time series methodology, the panel data approach allows for a global analysis of the Financial crashes that are related to rational bubbles. Strong evidence in favor of bubbles phenomena is found. Classification-C12, C33, G15.

Keywords: Panel data; Co-integration; International Financial markets; Rational bubbles. (search for similar items in EconPapers)
Pages: 25 pages
Date: 2006-12-21
New Economics Papers: this item is included in nep-ecm
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Persistent link: https://EconPapers.repec.org/RePEc:mol:ecsdps:esdp06030

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