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Please use this identifier to cite or link to this item: http://hdl.handle.net/2192/101

 
Title: Testing for rational bubbles.
Authors: Cerqueti, Roy
Costantini, Mauro
Keywords: Panel data
Co-integration
International Financial markets
Rational bubbles.
Issue Date: 21-Dec-2006
Abstract: This paper presents new results on the rational bubbles hypothesis for a panel of 9 OECD countries using Campbell, Lo and MacKinsay (1997) model. The contribution offered by this paper is an analysis of international data that exploits increased power deriving from the panel unit root and cointegration methodology, together with the flexibility of allowing explicitly for multiple endogenous structural breaks in the individual series. Differently from the time series methodology, the panel
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URI: http://hdl.handle.net/2192/101
Appears in Collections:4 - REPEC
Econpapers

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