Testing for rational bubbles in the presence of structural breaks: Evidence from nonstationary panels |
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Authors: | Roy Cerqueti |
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Institution: | a University of Macerata, Department of Economic and Financial Institutions, Via Crescimbeni 20, 62100 Macerata, Italy b University of Vienna, Department of Economics, Brunner Strasse 72 A, 1210 Vienna, Austria |
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Abstract: | This paper presents new results on the rational bubbles hypothesis for a panel of 18 OECD countries using the model developed by Campbell (2000). We provide an analysis of international data that exploits increased power deriving from the panel unit root and cointegration methodology, together with the flexibility of allowing explicitly for multiple endogenous structural breaks in the individual series. Differently from the time series methodology, the panel data approach allows for a global analysis of the financial crashes that are related to rational bubbles. We find strong evidence in favor of bubbles phenomena. |
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Keywords: | C23 G15 |
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