Testing for Speculative Bubbles in Large-Dimensional Financial Panel Data Sets

Tetsushi Horie, 哲史 堀江, Yohei Yamamoto and 庸平 山本

No 2016-04, Discussion Papers from Graduate School of Economics, Hitotsubashi University

Keywords: speculative bubbles; explosive behaviors; factor model; moderate deviations; local asymptotic power; nonmonotonic power (search for similar items in EconPapers)
JEL-codes: C12 C38 F31 (search for similar items in EconPapers)
Pages: 51 pages
Date: 2016-06-17
New Economics Papers: this item is included in nep-ecm and nep-ifn
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Citations: View citations in EconPapers (1)

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