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Rational bubbles and fractional integration

Autor: Robinson Kruse
Nummer: 394, Mar 2008, pp. 7
JEL-Class: C12, C22, G12

In this article we provide evidence for a rational bubble in S&P 500 stock prices by applying a test for changing persistence under fractional integration proposed by Sibbertsen and Kruse (2007). We find strong evidence for stationary long memory before the estimated change point in 1955 and a unit root afterwards. These results bring two empirical findings in line: on one hand they confirm the previous result of fractional integration and on the other hand they support the hypothesis of a rational bubble.


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