On the asymptotic behavior of bubble date estimators

DOI10.1111/JTSA.12672arXiv2110.04500OpenAlexW3206017980MaRDI QIDQ6135352

Eiji Kurozumi, Anton Skrobotov

Publication date: 24 August 2023

Published in: Journal of Time Series Analysis (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/2110.04500

zbMATH Keywords

change pointsexplosive autoregressiontime-varying volatilitymildly integratedrational bubblemildly explosiveright-tailed unit root testing

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Point estimation (62F10) Inference from stochastic processes (62Mxx)

Cites Work

• Testing for unit roots in time series models with non-stationary volatility
• Partial parameter consistency in a misspecified structural change model
• Estimating multiple breaks in nonstationary autoregressive models
• STRUCTURAL CHANGE IN AR(1) MODELS
• Time-Transformed Unit Root Tests for Models with Non-Stationary Volatility
• STRUCTURAL CHANGE IN NONSTATIONARY AR(1) MODELS
• TESTING FOR MULTIPLE BUBBLES: HISTORICAL EPISODES OF EXUBERANCE AND COLLAPSE IN THE S&P 500
• TESTING FOR MULTIPLE BUBBLES: LIMIT THEORY OF REAL‐TIME DETECTORS
• Estimation of the variance function in structural break autoregressive models with non‐stationary and explosive segments
• Testing for explosive bubbles: a review

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