Testing for Multiple Bubbles 2: Limit Theory of Real Time Detectors

This paper provides the limit theory of real time dating algorithms for bubble detection that were suggested in Phillips, Wu and Yu (2011, PWY) and Phillips, Shi and Yu (2013b, PSY). Bubbles are modeled using mildly explosive bubble episodes that are embedded within longer periods where the data evo...

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Main Authors: PHILLIPS, Peter C. B., SHI, Shu-Ping, YU, Jun
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Language:English
Published: Institutional Knowledge at Singapore Management University 2013
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Online Access:https://ink.library.smu.edu.sg/soe_research/1511
https://ink.library.smu.edu.sg/context/soe_research/article/2510/viewcontent/05_2013.pdf
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spelling sg-smu-ink.soe_research-25102019-04-20T06:37:48Z Testing for Multiple Bubbles 2: Limit Theory of Real Time Detectors PHILLIPS, Peter C. B. SHI, Shu-Ping YU, Jun This paper provides the limit theory of real time dating algorithms for bubble detection that were suggested in Phillips, Wu and Yu (2011, PWY) and Phillips, Shi and Yu (2013b, PSY). Bubbles are modeled using mildly explosive bubble episodes that are embedded within longer periods where the data evolves as a stochastic trend, thereby capturing normal market behavior as well as exuberance and collapse. Both the PWY and PSY estimates rely on recursive right tailed unit root tests (each with a di§erent recursive algorithm) that may be used in real time to locate the origination and collapse dates of bubbles. Under certain explicit conditions, the moving window detector of PSY is shown to be a consistent dating algorithm even in the presence of multiple bubbles. The other algorithms are consistent detectors for bubbles early in the sample and, under stronger conditions, for subsequent bubbles in some cases. These asymptotic results and accompanying simulations guide the practical implementation of the procedures. They indicate that the PSY moving window detector is more reliable than the PWY strategy, sequential application of the PWY procedure and the CUSUM procedure. 2013-08-01T07:00:00Z text application/pdf https://ink.library.smu.edu.sg/soe_research/1511 https://ink.library.smu.edu.sg/context/soe_research/article/2510/viewcontent/05_2013.pdf http://creativecommons.org/licenses/by-nc-nd/4.0/ Research Collection School Of Economics eng Institutional Knowledge at Singapore Management University Bubble duration Consistency Dating algorithm Limit theory Multiple bubbles Real time detector. Econometrics
institution Singapore Management University
building SMU Libraries
continent Asia
country Singapore
Singapore
content_provider SMU Libraries
collection InK@SMU
language English
topic Bubble duration
Consistency
Dating algorithm
Limit theory
Multiple bubbles
Real time detector.
Econometrics
spellingShingle Bubble duration
Consistency
Dating algorithm
Limit theory
Multiple bubbles
Real time detector.
Econometrics
PHILLIPS, Peter C. B.
SHI, Shu-Ping
YU, Jun
Testing for Multiple Bubbles 2: Limit Theory of Real Time Detectors
description This paper provides the limit theory of real time dating algorithms for bubble detection that were suggested in Phillips, Wu and Yu (2011, PWY) and Phillips, Shi and Yu (2013b, PSY). Bubbles are modeled using mildly explosive bubble episodes that are embedded within longer periods where the data evolves as a stochastic trend, thereby capturing normal market behavior as well as exuberance and collapse. Both the PWY and PSY estimates rely on recursive right tailed unit root tests (each with a di§erent recursive algorithm) that may be used in real time to locate the origination and collapse dates of bubbles. Under certain explicit conditions, the moving window detector of PSY is shown to be a consistent dating algorithm even in the presence of multiple bubbles. The other algorithms are consistent detectors for bubbles early in the sample and, under stronger conditions, for subsequent bubbles in some cases. These asymptotic results and accompanying simulations guide the practical implementation of the procedures. They indicate that the PSY moving window detector is more reliable than the PWY strategy, sequential application of the PWY procedure and the CUSUM procedure.
format text
author PHILLIPS, Peter C. B.
SHI, Shu-Ping
YU, Jun
author_facet PHILLIPS, Peter C. B.
SHI, Shu-Ping
YU, Jun
author_sort PHILLIPS, Peter C. B.
title Testing for Multiple Bubbles 2: Limit Theory of Real Time Detectors
title_short Testing for Multiple Bubbles 2: Limit Theory of Real Time Detectors
title_full Testing for Multiple Bubbles 2: Limit Theory of Real Time Detectors
title_fullStr Testing for Multiple Bubbles 2: Limit Theory of Real Time Detectors
title_full_unstemmed Testing for Multiple Bubbles 2: Limit Theory of Real Time Detectors
title_sort testing for multiple bubbles 2: limit theory of real time detectors
publisher Institutional Knowledge at Singapore Management University
publishDate 2013
url https://ink.library.smu.edu.sg/soe_research/1511
https://ink.library.smu.edu.sg/context/soe_research/article/2510/viewcontent/05_2013.pdf
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