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Volumn 101, Issue 3, 2008, Pages 279-281

Unit root testing for bubbles: A resurrection?

Author keywords

Periodically collapsing bubbles; Stochastic explosive root processes

Indexed keywords


EID: 55549105026     PISSN: 01651765     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.econlet.2008.09.002     Document Type: Article
Times cited : (9)

References (10)
  • 1
    • 0038712428 scopus 로고    scopus 로고
    • Periodically collapsing bubbles in the U.S. stock market?
    • Bohl M.T. Periodically collapsing bubbles in the U.S. stock market?. International Review of Economics and Finance 12 (2003) 385-397
    • (2003) International Review of Economics and Finance , vol.12 , pp. 385-397
    • Bohl, M.T.1
  • 2
    • 84963043564 scopus 로고
    • On the theory of testing for unit roots in observed time series
    • Bhargava A. On the theory of testing for unit roots in observed time series. Review of Economic Studies 53 (1986) 369-384
    • (1986) Review of Economic Studies , vol.53 , pp. 369-384
    • Bhargava, A.1
  • 3
    • 0003295220 scopus 로고
    • Speculative bubbles with stochastic explosive roots: The failure of unit root testing
    • Charemza W., and Deadman D. Speculative bubbles with stochastic explosive roots: The failure of unit root testing. Journal of Empirical Finance 2 (1991) 153-163
    • (1991) Journal of Empirical Finance , vol.2 , pp. 153-163
    • Charemza, W.1    Deadman, D.2
  • 4
    • 0000754766 scopus 로고
    • Explosive rational bubbles in stock prices?
    • Diba T., and Grossman H. Explosive rational bubbles in stock prices?. The American Economic Review 78 (1988) 520-530
    • (1988) The American Economic Review , vol.78 , pp. 520-530
    • Diba, T.1    Grossman, H.2
  • 5
    • 0000472488 scopus 로고
    • Likelihood ratio statistics for autoregressive time series with a unit root
    • Dickey D., and Fuller W. Likelihood ratio statistics for autoregressive time series with a unit root. Econometrica 49 (1981) 1057-1072
    • (1981) Econometrica , vol.49 , pp. 1057-1072
    • Dickey, D.1    Fuller, W.2
  • 6
    • 0000945847 scopus 로고
    • Pitfalls in testing for explosive bubbles in asset prices
    • Evans G. Pitfalls in testing for explosive bubbles in asset prices. The American Economic Review 81 (1991) 922-930
    • (1991) The American Economic Review , vol.81 , pp. 922-930
    • Evans, G.1
  • 7
  • 8
    • 34248548895 scopus 로고    scopus 로고
    • Have equity REITs experienced periodically collapsing bubbles?
    • Payne J., and Waters G. Have equity REITs experienced periodically collapsing bubbles?. Journal of Real Estate Finance and Economics 43 2 (2007) 207-224
    • (2007) Journal of Real Estate Finance and Economics , vol.43 , Issue.2 , pp. 207-224
    • Payne, J.1    Waters, G.2
  • 9
    • 34250689093 scopus 로고    scopus 로고
    • REIT markets and rational speculative bubbles: An empirical investigation
    • Payne J., and Waters G. REIT markets and rational speculative bubbles: An empirical investigation. Applied Financial Economics 17 9 (2007) 747-753
    • (2007) Applied Financial Economics , vol.17 , Issue.9 , pp. 747-753
    • Payne, J.1    Waters, G.2
  • 10
    • 0032357914 scopus 로고    scopus 로고
    • Periodically collapsing stock price bubbles: A robust test
    • Taylor M., and Peel D. Periodically collapsing stock price bubbles: A robust test. Economics Letters 61 (1998) 221-228
    • (1998) Economics Letters , vol.61 , pp. 221-228
    • Taylor, M.1    Peel, D.2


* 이 정보는 Elsevier사의 SCOPUS DB에서 KISTI가 분석하여 추출한 것입니다.