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

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  • 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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Bibliographic Info

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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Web page: http://www.elsevier.com/locate/jempfin

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References

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  1. Flood, Robert P & Hodrick, Robert J, 1990. "On Testing for Speculative Bubbles," Journal of Economic Perspectives, American Economic Association, vol. 4(2), pages 85-101, Spring.
  2. Diba, Behzad T & Grossman, Herschel I, 1988. "The Theory of Rational Bubbles in Stock Prices," Economic Journal, Royal Economic Society, vol. 98(392), pages 746-54, September.
  3. Froot, Kenneth A & Obstfeld, Maurice, 1991. "Intrinsic Bubbles: The Case of Stock Prices," American Economic Review, American Economic Association, vol. 81(5), pages 1189-214, December.
  4. LeRoy, Stephen F & Parke, William R, 1992. "Stock Price Volatility: Tests Based on the Geometric Random Walk," American Economic Review, American Economic Association, vol. 82(4), pages 981-92, September.
  5. Evans, George W, 1991. "Pitfalls in Testing for Explosive Bubbles in Asset Prices," American Economic Review, American Economic Association, vol. 81(4), pages 922-30, September.
  6. Diba, Behzad T & Grossman, Herschel I, 1988. "Explosive Rational Bubbles in Stock Prices?," American Economic Review, American Economic Association, vol. 78(3), pages 520-30, June.
  7. Pittis, Nikitas, 1993. "On the Exchange Rate of the Dollar: Market Fundamentals AU versus Speculative Bubbles," The Manchester School of Economic & Social Studies, University of Manchester, vol. 61(2), pages 167-84, June.
  8. Kenneth D. West, 1986. "A Specification Test for Speculative Bubbles," NBER Working Papers 2067, National Bureau of Economic Research, Inc.
  9. Olivier Jean Blanchard & Stanley Fischer, 1989. "Lectures on Macroeconomics," MIT Press Books, The MIT Press, edition 1, volume 1, number 0262022834, December.
  10. Dickey, David A & Fuller, Wayne A, 1981. "Likelihood Ratio Statistics for Autoregressive Time Series with a Unit Root," Econometrica, Econometric Society, vol. 49(4), pages 1057-72, June.
  11. Bhargava, Alok, 1986. "On the Theory of Testing for Unit Roots in Observed Time Series," Review of Economic Studies, Wiley Blackwell, vol. 53(3), pages 369-84, July.
  12. Craine, Roger, 1993. "Rational bubbles : A test," Journal of Economic Dynamics and Control, Elsevier, vol. 17(5-6), pages 829-846.
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