When bubbles burst: econometric tests based on structural breaks

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

zbMATH Keywords

structural breaksmonitoringmildly explosive processesspeculative bubbles

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Sequential statistical analysis (62L10)

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Cites Work

• A Simple, Positive Semi-Definite, Heteroskedasticity and Autocorrelation Consistent Covariance Matrix
• Dating the timeline of financial bubbles during the subprime crisis
• LEAST SQUARES ESTIMATION OF A SHIFT IN LINEAR PROCESSES
• Limit theory for moderate deviations from a unit root
• Monitoring Structural Change
• Testing for a rational bubble under long memory
• The Cusum Test with Ols Residuals

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

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