IDEAS home Printed from https://ideas.repec.org/a/bla/jtsera/v44y2023i4p359-373.html
   My bibliography  Save this article

On the asymptotic behavior of bubble date estimators

Author

Listed:
  • Eiji Kurozumi
  • Anton Skrobotov

Abstract

In this study, we extend the three‐regime bubble model of Pang et al. (2021, Journal of Econometrics, 221(1):227–311) 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.

Suggested Citation

  • Eiji Kurozumi & Anton Skrobotov, 2023. "On the asymptotic behavior of bubble date estimators," Journal of Time Series Analysis, Wiley Blackwell, vol. 44(4), pages 359-373, July.
    • Handle: RePEc:bla:jtsera:v:44:y:2023:i:4:p:359-373
    DOI: 10.1111/jtsa.12672
    as

    Download full text from publisher

    File URL: https://doi.org/10.1111/jtsa.12672
    Download Restriction: no
    File URL: https://libkey.io/10.1111/jtsa.12672?utm_source=ideas
    LibKey link: if access is restricted and if your library uses this service, LibKey will redirect you to where you can use your library subscription to access this item
    ---><---

    References listed on IDEAS

    as
    1. Chong, Terence Tai-Leung, 2001. "Structural Change In Ar(1) Models," Econometric Theory, Cambridge University Press, vol. 17(1), pages 87-155, February.
    2. Peter C. B. Phillips & Yangru Wu & Jun Yu, 2011. "EXPLOSIVE BEHAVIOR IN THE 1990s NASDAQ: WHEN DID EXUBERANCE ESCALATE ASSET VALUES?," International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 52(1), pages 201-226, February.
    3. Peter C. B. Phillips & Shuping Shi & Jun Yu, 2015. "Testing For Multiple Bubbles: Limit Theory Of Real‐Time Detectors," International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 56, pages 1079-1134, November.
    4. Bai, Jushan, 1997. "Estimating Multiple Breaks One at a Time," Econometric Theory, Cambridge University Press, vol. 13(3), pages 315-352, June.
    5. Tai-leung Chong, Terence, 1995. "Partial parameter consistency in a misspecified structural change model," Economics Letters, Elsevier, vol. 49(4), pages 351-357, October.
    6. Harvey, David I. & Leybourne, Stephen J. & Sollis, Robert, 2017. "Improving the accuracy of asset price bubble start and end date estimators," Journal of Empirical Finance, Elsevier, vol. 40(C), pages 121-138.
    7. Pang, Tianxiao & Du, Lingjie & Chong, Terence Tai-Leung, 2021. "Estimating multiple breaks in nonstationary autoregressive models," Journal of Econometrics, Elsevier, vol. 221(1), pages 277-311.
    Full references (including those not matched with items on IDEAS)

    Citations

    Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
    as


    Cited by:

    1. Xuanling Yang & Dong Li & Ting Zhang, 2024. "A simple stochastic nonlinear AR model with application to bubble," Papers 2401.07038, arXiv.org.

    Most related items

    These are the items that most often cite the same works as this one and are cited by the same works as this one.
    1. Eiji Kurozumi & Anton Skrobotov, 2021. "On the asymptotic behavior of bubble date estimators," Papers 2110.04500, arXiv.org, revised Sep 2022.
    2. Pang, Tianxiao & Du, Lingjie & Chong, Terence Tai-Leung, 2021. "Estimating multiple breaks in nonstationary autoregressive models," Journal of Econometrics, Elsevier, vol. 221(1), pages 277-311.
    3. Pang, Tianxiao & Tai-Leung Chong, Terence & Zhang, Danna & Liang, Yanling, 2018. "Structural Change In Nonstationary Ar(1) Models," Econometric Theory, Cambridge University Press, vol. 34(5), pages 985-1017, October.
    4. Eiji Kurozumi & Anton Skrobotov, 2023. "Improving the accuracy of bubble date estimators under time-varying volatility," Papers 2306.02977, arXiv.org.
    5. Yang Hu, 2023. "A review of Phillips‐type right‐tailed unit root bubble detection tests," Journal of Economic Surveys, Wiley Blackwell, vol. 37(1), pages 141-158, February.
    6. Esteve Vicente & Prats Maria A., 2021. "Structural Breaks and Explosive Behavior in the Long-Run: The Case of Australian Real House Prices, 1870–2020," Economics - The Open-Access, Open-Assessment Journal, De Gruyter, vol. 15(1), pages 72-84, January.
    7. Harvey, David I. & Leybourne, Stephen J. & Whitehouse, Emily J., 2020. "Date-stamping multiple bubble regimes," Journal of Empirical Finance, Elsevier, vol. 58(C), pages 226-246.
    8. Christis Katsouris, 2023. "Break-Point Date Estimation for Nonstationary Autoregressive and Predictive Regression Models," Papers 2308.13915, arXiv.org.
    9. Tao, Yubo & Phillips, Peter C.B. & Yu, Jun, 2019. "Random coefficient continuous systems: Testing for extreme sample path behavior," Journal of Econometrics, Elsevier, vol. 209(2), pages 208-237.
    10. Moreira, Afonso M. & Martins, Luis F., 2020. "A new mechanism for anticipating price exuberance," International Review of Economics & Finance, Elsevier, vol. 65(C), pages 199-221.
    11. Vicente Esteve & María A. Prats, 2021. "Testing for rational bubbles in Australian housing market from a long-term perspective," Working Papers 2113, Department of Applied Economics II, Universidad de Valencia.
    12. Sinelnikova-Muryleva, Elena & Skrobotov, Anton, 2017. "Testing time series for the bubbles (with application to Russian data)," Applied Econometrics, Russian Presidential Academy of National Economy and Public Administration (RANEPA), vol. 46, pages 90-103.
    13. Bellón, Carlos & Figuerola-Ferretti, Isabel, 2022. "Bubbles in Ethereum," Finance Research Letters, Elsevier, vol. 46(PB).
    14. Jouini, Jamel & Boutahar, Mohamed, 2005. "Evidence on structural changes in U.S. time series," Economic Modelling, Elsevier, vol. 22(3), pages 391-422, May.
    15. Skrobotov Anton, 2023. "Testing for explosive bubbles: a review," Dependence Modeling, De Gruyter, vol. 11(1), pages 1-26, January.
    16. Wegener, Christoph & Kruse, Robinson & Basse, Tobias, 2019. "The walking debt crisis," Journal of Economic Behavior & Organization, Elsevier, vol. 157(C), pages 382-402.
    17. Fabian Knorre & Martin Wagner & Maximilian Grupe, 2021. "Monitoring Cointegrating Polynomial Regressions: Theory and Application to the Environmental Kuznets Curves for Carbon and Sulfur Dioxide Emissions," Econometrics, MDPI, vol. 9(1), pages 1-35, March.
    18. Horváth, Lajos & Li, Hemei & Liu, Zhenya, 2022. "How to identify the different phases of stock market bubbles statistically?," Finance Research Letters, Elsevier, vol. 46(PA).
    19. Umar, Muhammad & Su, Chi-Wei & Rizvi, Syed Kumail Abbas & Lobonţ, Oana-Ramona, 2021. "Driven by fundamentals or exploded by emotions: Detecting bubbles in oil prices," Energy, Elsevier, vol. 231(C).
    20. Jingjing Yang, 2017. "Consistency of Trend Break Point Estimator with Underspecified Break Number," Econometrics, MDPI, vol. 5(1), pages 1-19, January.

    More about this item

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:bla:jtsera:v:44:y:2023:i:4:p:359-373. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    If CitEc recognized a bibliographic reference but did not link an item in RePEc to it, you can help with this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Wiley Content Delivery (email available below). General contact details of provider: http://www.blackwellpublishing.com/journal.asp?ref=0143-9782 .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.