When bubbles burst: econometric tests based on structural breaks
From MaRDI portal
Publication:379933
DOI10.1007/S00362-012-0497-3zbMATH Open1416.62655OpenAlexW1985524401MaRDI QIDQ379933FDOQ379933
Authors: Jörg Breitung, Robinson Kruse 
Publication date: 11 November 2013
Published in: Statistical Papers (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/s00362-012-0497-3
Recommendations
- scientific article; zbMATH DE number 1475337
- Cointegration tests in the presence of structural breaks
- Recursive adjustment, unit root tests and structural breaks
- Testing for rational bubbles in a coexplosive vector autoregression
- Testing for and estimating structural breaks and other nonlinearities in a dynamic monetary sector
Cites Work
- A Simple, Positive Semi-Definite, Heteroskedasticity and Autocorrelation Consistent Covariance Matrix
- Monitoring Structural Change
- LEAST SQUARES ESTIMATION OF A SHIFT IN LINEAR PROCESSES
- Limit theory for moderate deviations from a unit root
- The Cusum Test with Ols Residuals
- Dating the timeline of financial bubbles during the subprime crisis
- Testing for a rational bubble under long memory
Cited In (16)
- Real-time monitoring for explosive financial bubbles
- Testing for explosive bubbles: a review
- Are there speculative bubbles in stock markets? Evidence from an alternative approach
- Financial bubble implosion and reverse regression
- The consistency for the estimator of nonparametric regression model based on martingale difference errors
- Sign-based unit root tests for explosive financial bubbles in the presence of deterministically time-varying volatility
- Avoiding the Pitfalls: Can Regime-Switching Tests Reliably Detect Bubbles?
- Asymptotic properties of bubble monitoring tests
- A simple test for a bubble based on growth and acceleration
- Testing for multiple bubbles: historical episodes of exuberance and collapse in the S\&P 500
- Do 18th century `bubbles' survive the scrutiny of 21st century time series econometrics?
- Regression discontinuity: review with extensions
- Asymptotic behavior of delay times of bubble monitoring tests
- Fixed and recursive right-tailed Dickey-Fuller tests in the presence of a break under the null
- Testing explosive bubbles with time-varying volatility
- A simple procedure for detecting periodically collapsing rational bubbles
This page was built for publication: When bubbles burst: econometric tests based on structural breaks
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q379933)
