When bubbles burst: econometric tests based on structural breaks

DOI10.1007/S00362-012-0497-3zbMath1416.62655OpenAlexW1985524401MaRDI QIDQ379933

Robinson Kruse, Jörg Breitung

Publication date: 11 November 2013

Published in: Statistical Papers (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s00362-012-0497-3

zbMATH Keywords

monitoringstructural breaksmildly explosive processesspeculative bubbles

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Sequential statistical analysis (62L10)

Related Items (4)

The consistency for the estimator of nonparametric regression model based on martingale difference errors ⋮ A simple test for a bubble based on growth and acceleration ⋮ Regression discontinuity: review with extensions ⋮ Testing for explosive bubbles: a review

Cites Work

• Limit theory for moderate deviations from a unit root
• Dating the timeline of financial bubbles during the subprime crisis
• A Simple, Positive Semi-Definite, Heteroskedasticity and Autocorrelation Consistent Covariance Matrix
• The Cusum Test with Ols Residuals
• LEAST SQUARES ESTIMATION OF A SHIFT IN LINEAR PROCESSES
• Monitoring Structural Change
• Testing for a rational bubble under long memory

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