On the asymptotic behavior of bubble date estimators

Eiji Kurozumi and Anton Skrobotov

Journal of Time Series Analysis, 2023, vol. 44, issue 4, 359-373

Abstract: In this study, we extend the three‐regime bubble model of Pang et al. (2021, Journal of Econometrics, 221(1):227–311) to allow the forth regime followed by the unit root process after recovery. We provide the asymptotic and finite sample justification of the consistency of the collapse date estimator in the two‐regime AR(1) model. The consistency allows us to split the sample before and after the date of collapse and to consider the estimation of the date of exuberation and date of recovery separately. We have also found that the limiting behavior of the recovery date varies depending on the extent of explosiveness and recovering.

Date: 2023
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (1)

Downloads: (external link)
https://doi.org/10.1111/jtsa.12672

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:bla:jtsera:v:44:y:2023:i:4:p:359-373

Ordering information: This journal article can be ordered from
http://www.blackwell ... bs.asp?ref=0143-9782

Access Statistics for this article

Journal of Time Series Analysis is currently edited by M.B. Priestley

More articles in Journal of Time Series Analysis from Wiley Blackwell
Bibliographic data for series maintained by Wiley Content Delivery ().