Eiji Kurozumi, Anton Skrobotov
arXiv 9 Oct 2021 · Econometrics · publishedJournal of Time Series Analysis (2022) · 4 citations (OpenAlex)
arXiv:2110.04500 · PDF · DOI · OpenAlex · Extracted main text
In this study, we extend the three-regime bubble model of Pang et al. (2021) 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.
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The works this paper leans on most, across its whole bibliography — not restricted to papers in our corpus. Ranked by composite intensity, which combines how often a work is mentioned, how many sections mention it, and how much of that falls in the main text rather than the appendix.
| Reference | Intensity | Mentions | Sections | Main text | |
|---|---|---|---|---|---|
| 1 | Pang, T., Chong, T. T.-L., Zhang, D., and Liang, Y (2018) Structural change in nonstationary AR(1) models | 0.941 | 6 | 3 | 83% |
| 2 | Harvey, D., Leybourne, S., and Sollis, R (2017) Improving the accuracy of asset price bubble start and end date estimators | 0.874 | 5 | 2 | 100% |
| 3 | Pang, T., Du, L., and Chong, T. T.-L (2021) Estimating multiple breaks in nonstationary autoregressive models | 0.737 | 3 | 3 | 67% |
| 4 | Harvey, D., Leybourne, S., and Whitehouse, E (2020) Date-stamping multiple bubble regimes | 0.644 | 2 | 2 | 100% |
| 5 | Chong, T. T.-L (2001) Structural change in AR (1) models | 0.606 | 9 | 2 | 33% |
| 6 | Casini, A. and Perron, P (2019) Structural Breaks in Time Series | 0.405 | 1 | 1 | 100% |
| 7 | Cavaliere, G. and Taylor, A. M. R (2007) Testing for unit roots in time series models with non-stationary volatility | 0.405 | 1 | 1 | 100% |
| 8 | Cavaliere, G. and Taylor, A. M. R (2007) Time-transformed unit root tests for models with non-stationary volatility | 0.405 | 1 | 1 | 100% |
| 9 | Harvey, D. I., Leybourne, S. J., and Zu, Y (2022) Estimation of the variance function in structural break autoregressive models with non-stationary and explosive segments | 0.405 | 1 | 1 | 100% |
| 10 | Phillips, P. C. B., Wu, Y., and Yu, J (2011) Explosive behavior in the 1990s NASDAQ: When did exuberance escalate asset values? | 0.405 | 1 | 1 | 100% |
Showing the top 10 of 17 scored citations.
arXiv econ.EM papers that cite this one, ranked by how heavily they lean on it.
| Citing paper | Intensity | Mentions | Sections | |
|---|---|---|---|---|
| 1 | Confidence Sets for the Emergence, Collapse, and Recovery Dates of a Bubble | 1.000 | 13 | 4 |
| 2 | Improving the accuracy of bubble date estimators under time-varying volatility | 1.000 | 10 | 4 |
| 3 | Testing for explosive bubbles: a review | 0.811 | 4 | 2 |
| 4 | Bubble Modeling and Tagging: A Stochastic Nonlinear Autoregression Approach | 0.644 | 2 | 2 |