Asymptotic properties of bubble monitoring tests

DOI10.1080/07474938.2019.1697086zbMath1490.62460OpenAlexW2993384069MaRDI QIDQ5860992

Eiji Kurozumi

Publication date: 4 March 2022

Published in: Econometric Reviews (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/07474938.2019.1697086

zbMATH Keywords

CUSUM testlocal powermonitoring testGSADF teston-line testSADF test

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Sequential statistical analysis (62L10)

Related Items

Testing for explosive bubbles: a review ⋮ Asymptotic Behavior of Delay Times of Bubble Monitoring Tests

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