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ECONOMETRIC TESTS OF ASSET PRICE BUBBLES: TAKING STOCK *

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Author Info
Refet S. Gürkaynak

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Abstract

Can asset price bubbles be detected? This survey of econometric tests of asset price bubbles shows that, despite recent advances, econometric detection of asset price bubbles cannot be achieved with a satisfactory degree of certainty. For each paper that finds evidence of bubbles, there is another one that fits the data equally well without allowing for a bubble. We are still unable to distinguish bubbles from time-varying or regime-switching fundamentals, while many small sample econometrics problems of bubble tests remain unresolved. Copyright 2008 The Author Journal compilation © 2008 Blackwell Publishing Ltd.

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Publisher Info
Article provided by Blackwell Publishing in its journal Journal of Economic Surveys.

Volume (Year): 22 (2008)
Issue (Month): 1 (02)
Pages: 166-186
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Handle: RePEc:bla:jecsur:v:22:y:2008:i:1:p:166-186

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