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: | , |
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| Format: | text |
| Language: | English |
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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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| Institution: | Singapore Management University |
| Language: | English |