Chang, Tsangyao; Yang, Ming Jing; Nieh, Chien-Chung; … - In: Applied Financial Economics 18 (2008) 13, pp. 1075-1083
Using the considerably powerful nonparametric cointegration tests proposed by Bierens (1997, 2004), we do not find any evidence indicative of the existence of rational bubbles in the US stock market during the long period of 1871 to 2002. In addition, with the application of a logistic smooth...