Abstract
In chapter 2 we derived a solution to a linear stochastic difference equation consisting of a particular part, representing the present value of future expected fundamentals, and a bubble part, containing an arbitrary martingale. Despite its theoretical possibility, the existence of rational bubbles remains a question which can only be answered empirically. The purpose of this chapter is to present an overview of econometric methods applied thus far in order to give some evidence of the empirical relevance of rational bubbles1.
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© 1997 Springer-Verlag Berlin Heidelberg
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Salge, M. (1997). On Testing for Rational Bubbles. In: Rational Bubbles. Lecture Notes in Economics and Mathematical Systems, vol 451. Springer, Berlin, Heidelberg. https://doi.org/10.1007/978-3-642-59181-5_4
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DOI: https://doi.org/10.1007/978-3-642-59181-5_4
Publisher Name: Springer, Berlin, Heidelberg
Print ISBN: 978-3-540-62629-9
Online ISBN: 978-3-642-59181-5
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