TY  - JOUR
AU  - West,Kenneth D.
TI  - A Specification Test for Speculative Bubbles
JF  - National Bureau of Economic Research Working Paper Series
VL  - No. 2067
PY  - 1988
Y2  - 1988
UR  - http://www.nber.org/papers/w2067
L1  - http://www.nber.org/papers/w2067.pdf
N1  - Author contact info:
Kenneth D. West
Department of Economics
University of Wisconsin
1180 Observatory Drive
Madison, WI  53706
Tel: 608/262-0033
Fax: 608/262-2033
E-Mail: kdwest@wisc.edu
AB  - 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.
ER  -