Eiji Kurozumi, Anton Skrobotov
arXiv 20 Nov 2025 · Econometrics
arXiv:2511.16172 · PDF · Extracted main text
We propose constructing confidence sets for the emergence, collapse, and recovery dates of a bubble by inverting tests for the location of the break date. We examine both likelihood ratio-type tests and the Elliott-Muller-type (2007) tests for detecting break locations. The limiting distributions of these tests are derived under the null hypothesis, and their asymptotic consistency under the alternative is established. Finite-sample properties are evaluated through Monte Carlo simulations. The results indicate that combining different types of tests effectively controls the empirical coverage rate while maintaining a reasonably small length of the confidence set.
appendix boundary found by none_found · 100% of the source is main text. Read the extracted text to check this.
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 | Kurozumi, E. and Skrobotov, A (2023) On the Asymptotic Behavior of Bubble Date Estimators self | 1.000 | 13 | 4 | 100% |
| 2 | Elliott, G. and Müller, U. K (2007) Confidence Sets for the Date of a Single Break in Linear Time Series Regressions | 0.928 | 4 | 3 | 100% |
| 3 | Pang, T. and Du, L. and Chong, T.T-L (2021) Estimating multiple breaks in nonstationary autoregressive models | 0.843 | 3 | 3 | 100% |
| 4 | Eo, Y. and Morley, J (2015) Likelihood-Ratio-Based Confidence Sets for the Timing of Structural Breaks | 0.737 | 3 | 2 | 100% |
| 5 | Phillips, P. C. B. and Shi, S. and Yu, J (2015) Testing for Multiple Bubbles: Limit Theory of Real-Time Detectors | 0.737 | 3 | 2 | 100% |
| 6 | Hansen, B. E (2000) Sample Splitting and Threshold Estimation | 0.644 | 2 | 2 | 100% |
| 7 | Kurozumi, E. and Nishi, M (2025) Testing for a Bubble with a Stochastically Varying Explosive Coefficient self | 0.644 | 2 | 2 | 100% |
| 8 | Pang, T. and Chong, T. T-L. and Zhang, E. and Liang, Y (2018) Structural Change in Nonstationary AR (1) Models | 0.644 | 2 | 2 | 100% |
| 9 | Phillips, P. C. B. and Wu, Y. and Yu, J (2011) Explosive Behavior in the 1990s NASDAQ: When Did Exuberance Escalate Asset Values? | 0.644 | 2 | 2 | 100% |
| 10 | Harvey, D. I. and Leybourne, S. J. and Sollis, R (2017) Improving the Accuracy of Asset Price Bubble Start and End Date Estimators | 0.405 | 1 | 1 | 100% |
Showing the top 10 of 27 scored citations.