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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Main Authors: Yu, Jun, Phillips, Peter C. B.
Format: text
Language:English
Published: Institutional Knowledge at Singapore Management University 2009
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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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spelling sg-smu-ink.soe_research-25662015-02-02T01:34:24Z Limit Theory for Dating the Origination and Collapse of Mildly Explosive Periods in Time Series Data Yu, Jun Phillips, Peter C. B. 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 dates of bubbles involving mildly explosive episodes set within longer periods where the data evolve as a stochastic trend. The dating estimators are shown to be consistent under mild regularity conditions on the process. Some simulation evidence on the performance of the estimators is reported. The proposed method works well in finite samples and conforms with the limit theory. 2009-04-01T07:00:00Z text application/pdf https://ink.library.smu.edu.sg/soe_research/1567 https://ink.library.smu.edu.sg/context/soe_research/article/2566/viewcontent/PhillipsPCB2013LimitTheoryMildlyExplosive.pdf http://creativecommons.org/licenses/by-nc-nd/4.0/ Research Collection School Of Economics eng Institutional Knowledge at Singapore Management University Bubble Date stamping Explosive behavior Mildly explosive process Right sided unit root tests Structural breaks Econometrics
institution Singapore Management University
building SMU Libraries
continent Asia
country Singapore
Singapore
content_provider SMU Libraries
collection InK@SMU
language English
topic Bubble
Date stamping
Explosive behavior
Mildly explosive process
Right sided unit root tests
Structural breaks
Econometrics
spellingShingle Bubble
Date stamping
Explosive behavior
Mildly explosive process
Right sided unit root tests
Structural breaks
Econometrics
Yu, Jun
Phillips, Peter C. B.
Limit Theory for Dating the Origination and Collapse of Mildly Explosive Periods in Time Series Data
description 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 dates of bubbles involving mildly explosive episodes set within longer periods where the data evolve as a stochastic trend. The dating estimators are shown to be consistent under mild regularity conditions on the process. Some simulation evidence on the performance of the estimators is reported. The proposed method works well in finite samples and conforms with the limit theory.
format text
author Yu, Jun
Phillips, Peter C. B.
author_facet Yu, Jun
Phillips, Peter C. B.
author_sort Yu, Jun
title Limit Theory for Dating the Origination and Collapse of Mildly Explosive Periods in Time Series Data
title_short Limit Theory for Dating the Origination and Collapse of Mildly Explosive Periods in Time Series Data
title_full Limit Theory for Dating the Origination and Collapse of Mildly Explosive Periods in Time Series Data
title_fullStr Limit Theory for Dating the Origination and Collapse of Mildly Explosive Periods in Time Series Data
title_full_unstemmed Limit Theory for Dating the Origination and Collapse of Mildly Explosive Periods in Time Series Data
title_sort limit theory for dating the origination and collapse of mildly explosive periods in time series data
publisher Institutional Knowledge at Singapore Management University
publishDate 2009
url 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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