Limit Theory for Dating the Origination and Collapse of Mildly Explosive Periods in Time Series Data

Limit Theory for Dating the Origination and Collapse of Mildly Explosive Periods in Time Series Data

Some limit theory is developed for estimators suggested in Phillips, Wu and Yu (2009) for dating bubble pheonoma in time series data. The models involve mildly explosive autoregressions and the tests rely on right sided recursive unit root tests. The estimates locate the origination and collapse dat...

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Bibliographic Details
Main Authors: Yu, Jun, Phillips, Peter C. B.
Format: text
Language:English
Published: Institutional Knowledge at Singapore Management University 2009
Subjects:
Bubble
Date stamping
Explosive behavior
Mildly explosive process
Right sided unit root tests
Structural breaks
Econometrics
Online Access:https://ink.library.smu.edu.sg/soe_research/1567
https://ink.library.smu.edu.sg/context/soe_research/article/2566/viewcontent/PhillipsPCB2013LimitTheoryMildlyExplosive.pdf
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Institution: Singapore Management University
Language: English

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https://ink.library.smu.edu.sg/soe_research/1567
https://ink.library.smu.edu.sg/context/soe_research/article/2566/viewcontent/PhillipsPCB2013LimitTheoryMildlyExplosive.pdf

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