Testing for a bubble with a stochastically varying explosive coefficient

DOI10.1111/JTSA.12768MaRDI QIDQ6938469zbMATH OpenFDO

Authors Eiji Kurozumi

Publication date 25 August 2025

Published in Journal of Time Series Analysis (Search for Journal in Brave)

Copyright license Creative Commons Attribution-NonCommercial 4.0 International

Full work available at URL https://doi.org/10.1111/JTSA.12768

zbMATH Keywords

explosive autoregressionrational bubblestochastic unit root

Mathematics Subject Classification ID

Asymptotic distribution theory in statistics (62E20) Parametric hypothesis testing (62F03) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to economics (62P20)

Cites work

• Asymptotic behavior of delay times of bubble monitoring tests
• Asymptotic behaviour of tests for a unit root against an explosive alternative
• Asymptotic properties of bubble monitoring tests
• Coefficient constancy test in a random coefficient autoregressive model
• Estimating multiple breaks in nonstationary autoregressive models
• Estimation of the variance function in structural break autoregressive models with non‐stationary and explosive segments
• Financial bubble implosion and reverse regression
• scientific article; zbMATH DE number 3502628 (Why is no real title available?)
• Hybrid stochastic local unit roots
• On the asymptotic behavior of bubble date estimators
• Random coefficient continuous systems: testing for extreme sample path behavior
• Sign-based unit root tests for explosive financial bubbles in the presence of deterministically time-varying volatility
• Stochastic local and moderate departures from a unit root and its application to unit root testing
• Testing a time series for difference stationarity
• Testing explosive bubbles with time-varying volatility
• Testing for coefficient stability of AR(1) model when the null is an integrated or a stationary process
• Testing for explosive bubbles: a review
• 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
• The Power of Some Tests for Difference Stationarity under Local Heteroscedastic Integration
• UNIT ROOT TESTING IN PRACTICE: DEALING WITH UNCERTAINTY OVER THE TREND AND INITIAL CONDITION

This page was built for publication: Testing for a bubble with a stochastically varying explosive coefficient

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q6938469)