Econometric tests of asset price bubbles
Subtitle: taking stock
By: Refet S. Gurkaynak.
Series: Finance and economics discussion series ;; 2005-04; Finance and economics discussion series (Online) ;; 2005-04.
Publisher: Federal Reserve Board
Published: 2005
Place of publication: Washington, D.C
Language: eng
Format: Electronic resource
Description: "Can asset price bubbles be detected? This survey of econometric tests of asset price bubbles shows that, despite recent advances, econometric detection of asset price bubbles cannot be achieved with a satisfactory degree of certainty.  For each paper that finds evidence of bubbles, there is another one that fits the data equally well without allowing for a bubble.  We are still unable to distinguish bubbles from time-varying or regime-switching fundamentals, while many small sample econometrics problems of bubble tests remain unresolved"--Federal Reserve Board web site.
Notes: Also available in print.
Includes bibliographical references.
Title from PDF file as viewed on 2/3/2005.
System requirements: Adobe Acrobat Reader.
Mode of access: World Wide Web.