Asymptotic properties of bubble monitoring tests

DOI10.1080/07474938.2019.1697086MaRDI QIDQ5860992zbMATH OpenOpenAlexFDO

Authors Eiji Kurozumi

Publication date 4 March 2022

Published in Econometric Reviews (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/07474938.2019.1697086

zbMATH Keywords

CUSUM testGSADF testlocal powermonitoring teston-line testSADF test

Mathematics Subject Classification ID

Sequential statistical analysis (62L10) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to economics (62P20)

Recommendations

• Asymptotic behavior of delay times of bubble monitoring tests
• When bubbles burst: econometric tests based on structural breaks
• Real-time monitoring for explosive financial bubbles
• Testing for multiple bubbles: limit theory of real-time detectors
• A simple test for a bubble based on growth and acceleration

Cites work

• Asymptotic properties of the efficient estimators for cointegrating regression models with serially dependent errors
• Change‐point monitoring in linear models
• Dating the timeline of financial bubbles during the subprime crisis
• Delay time in sequential detection of change
• Delay times of sequential procedures for multiple time series regression models
• Financial bubble implosion and reverse regression
• scientific article; zbMATH DE number 1250597 (Why is no real title available?)
• scientific article; zbMATH DE number 957960 (Why is no real title available?)
• LIMIT THEORY FOR COINTEGRATED SYSTEMS WITH MODERATELY INTEGRATED AND MODERATELY EXPLOSIVE REGRESSORS
• Limit theory for moderate deviations from a unit root
• Monitoring changes in linear models
• Monitoring Structural Change
• Novel panel cointegration tests emending for cross-section dependence with N fixed
• Probability inequalities.
• Real-time monitoring for explosive financial bubbles
• Sample Splitting and Threshold Estimation
• Testing for multiple bubbles: historical episodes of exuberance and collapse in the S\&P 500
• Testing for multiple bubbles: limit theory of real-time detectors
• Tests for an end-of-sample bubble in financial time series
• Uniform Limit Theory for Stationary Autoregression

Cited in

(5)

• Asymptotic behavior of delay times of bubble monitoring tests
• Testing for multiple bubbles: limit theory of real-time detectors
• Testing for explosive bubbles: a review
• Testing for a bubble with a stochastically varying explosive coefficient
• Sequential detector statistics for speculative bubbles

This page was built for publication: Asymptotic properties of bubble monitoring tests

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q5860992)