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Speculative bubbles with stochastic explosive roots: The failure of unit root testing

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Author Info
Charemza, Wojciech W.
Deadman, Derek F.

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File URL: http://www.sciencedirect.com/science/article/B6VFG-3YCDPFW-B/2/1827f00a535efcd32d9c77b9c326b755
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Article provided by Elsevier in its journal Journal of Empirical Finance.

Volume (Year): 2 (1995)
Issue (Month): 2 (June)
Pages: 153-163
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Handle: RePEc:eee:empfin:v:2:y:1995:i:2:p:153-163

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  1. Refet S. Gürkaynak, 2005. "Econometric tests of asset price bubbles: taking stock," Finance and Economics Discussion Series 2005-04, Board of Governors of the Federal Reserve System (U.S.). [Downloadable!]
    Other versions:
  2. Simon van Norden & Robert Vigfusson, 1996. "Avoiding the Pitfalls: Can Regime-Switching Tests Detect Bubbles?," Meeting papers 9603001, EconWPA. [Downloadable!]
    Other versions:
  3. Piergiorgio Alessandri, 2006. "Bubbles and fads in the stock market: another look at the experience of the US," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 11(3), pages 195-203. [Downloadable!]
  4. Nathan S. Balke & Mark E. Wohar, 2009. "Market fundamentals versus rational bubbles in stock prices: a Bayesian perspective," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 24(1), pages 35-75. [Downloadable!]
  5. James Payne & George Waters, 2007. "Have Equity REITs Experienced Periodically Collapsing Bubbles?," The Journal of Real Estate Finance and Economics, Springer, vol. 34(2), pages 207-224, February. [Downloadable!] (restricted)
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