Testing for rational bubbles in a co-explosive vector autoregression.
We derive the parameter restrictions that a standard equity market model implies for a bivariate vector autoregression for stock prices and dividends, and we show how to test these restrictions using likelihood ratio tests. The restrictions, which imply that stock returns are unpredictable, are deri...
| Prif Awduron: | , |
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| Fformat: | Working paper |
| Iaith: | English |
| Cyhoeddwyd: |
Nuffield College (University of Oxford)
2010
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