Confidence Sets for the Emergence, Collapse, and Recovery Dates of a Bubble

Eiji Kurozumi and Anton Skrobotov

Papers from arXiv.org

Abstract: We propose constructing confidence sets for the emergence, collapse, and recovery dates of a bubble by inverting tests for the location of the break date. We examine both likelihood ratio-type tests and the Elliott-Muller-type (2007) tests for detecting break locations. The limiting distributions of these tests are derived under the null hypothesis, and their asymptotic consistency under the alternative is established. Finite-sample properties are evaluated through Monte Carlo simulations. The results indicate that combining different types of tests effectively controls the empirical coverage rate while maintaining a reasonably small length of the confidence set.

Date: 2025-11
New Economics Papers: this item is included in nep-ecm and nep-ets
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