Testing for bubbles: an application of tests for change in persistence
AbstractThis study investigates changes in the persistence of the S&P Composite dividend-price ratio. Recently developed tests are employed that allow for breaks between periods in which the data are integrated of order zero, I(0), and integrated of order one, I(1). One of the tests finds a break from I(0) to I(1) in the mid-1970s and two of the tests find a break from I(0) to I(1) in the early, to mid-1950s. The results are discussed in light of the rational bubble hypothesis.
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Bibliographic InfoArticle provided by Taylor & Francis Journals in its journal Applied Financial Economics.
Volume (Year): 16 (2006)
Issue (Month): 6 ()
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