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A Specification Test for Speculative Bubbles / Kenneth D. West.
- Format:
- Book
- Author/Creator:
- West, Kenneth D.
- Series:
- Working Paper Series (National Bureau of Economic Research) no. w2067.
- NBER working paper series no. w2067
- Language:
- English
- Physical Description:
- 1 online resource: illustrations (black and white);
- Place of Publication:
- Cambridge, Mass. National Bureau of Economic Research 1986.
- Summary:
- The set of parameters needed to calculate the expected present discounted value of a stream of dividends can be estimated in two ways. One may test for speculative bubbles, or fads, by testing whether the two estimates are the same. When the test is applied to some annual U.S. stock market data, the data usually reject the null hypothesis of no bubbles. The test is of general interest since it may be applied to a wide class of linear rational expectations models.
- Notes:
- Print version record
- November 1986.
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