IDEAS home Printed from https://ideas.repec.org/a/bla/jtsera/v46y2025i5p945-965.html
   My bibliography  Save this article

Testing for a bubble with a stochastically varying explosive coefficient

Author

Listed:
  • Eiji Kurozumi
  • Mikihito Nishi

Abstract

In this article, we test for a bubble in a model with a random explosive autoregressive coefficient. We consider two local alternatives and find that versions of recursive stochastic unit root tests are more powerful when facing a randomly explosive process than the recursive right‐tailed ADF tests, whereas the latter performs better in a model with a non‐stochastic coefficient. We then propose the union of rejections strategy using the recursive right‐tailed ADF and stochastic unit root tests. We examine the finite sample properties of the proposed tests using Monte Carlo simulations and observe that the test based on the union of rejections strategy is the second‐best, and its power is close to the best one in most cases.

Suggested Citation

  • Eiji Kurozumi & Mikihito Nishi, 2025. "Testing for a bubble with a stochastically varying explosive coefficient," Journal of Time Series Analysis, Wiley Blackwell, vol. 46(5), pages 945-965, September.
    • Handle: RePEc:bla:jtsera:v:46:y:2025:i:5:p:945-965
    DOI: 10.1111/jtsa.12768
    as

    Download full text from publisher

    File URL: https://doi.org/10.1111/jtsa.12768
    Download Restriction: no
    File URL: https://libkey.io/10.1111/jtsa.12768?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
    ---><---

    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:46:y:2025:i:5:p:945-965. 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.

    We have no bibliographic references for this item. You can help adding them by using 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.