Econometric tests of asset price bubbles: taking stock

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dc.citation.epage186en_US
dc.citation.issueNumber1en_US
dc.citation.spage166en_US
dc.citation.volumeNumber22en_US
dc.contributor.authorGürkaynak, R. S.en_US
dc.date.accessioned2016-02-08T10:10:26Z
dc.date.available2016-02-08T10:10:26Z
dc.date.issued2008en_US
dc.departmentDepartment of Economicsen_US
dc.description.abstractCan 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. © 2008 The Author Journal compilation © 2008 Blackwell Publishing Ltd.en_US
dc.identifier.doi10.1111/j.1467-6419.2007.00530.xen_US
dc.identifier.eissn1467-6419
dc.identifier.issn0950-0804
dc.identifier.urihttp://hdl.handle.net/11693/23218
dc.language.isoEnglishen_US
dc.publisherWiley-Blackwell Publishing Ltd.en_US
dc.relation.isversionofhttp://dx.doi.org/10.1111/j.1467-6419.2007.00530.xen_US
dc.source.titleJournal of Economic Surveysen_US
dc.subjectBubblesen_US
dc.subjectEconometric testsen_US
dc.subjectIdentificationen_US
dc.subjectEconometricsen_US
dc.subjectPrice dynamicsen_US
dc.subjectStock marketen_US
dc.titleEconometric tests of asset price bubbles: taking stocken_US
dc.typeArticleen_US

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