Rational Bubbles and Changing Degree of Fractional Integration
نویسنده
چکیده
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. JEL-number: C12, C22, G12.
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