Explosion Bubble Testing: An Overview

Тестирование на наличие взрывных пузырей: обзор

Skrobotov Anton ()
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Skrobotov Anton: Russian Presidential Academy of National Economy and Public Administration, https://www.ranepa.ru/eng/

Working Papers from Russian Presidential Academy of National Economy and Public Administration

Abstract: This paper provides an overview of methods of testing for explosive bubbles in time series. Various issues associated with the inclusion of constants in regression, the problem of initial condition and the problem of possible non-stationary volatility in the dynamics of a time series are considered. Methods for dating the explosive bubbles are also discussed. Сlassification-JEL:

Keywords: unit roots; blast bubble; non-stationary volatility; dating; bootstrap; rejection pooling; explosive process (search for similar items in EconPapers)
Pages: 26 pages
Date: 2021-01
New Economics Papers: this item is included in nep-ecm
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