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Confidence Sets for the Emergence, Collapse, and Recovery Dates of a Bubble

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  • Eiji Kurozumi
  • Anton Skrobotov

Abstract

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.

Suggested Citation

  • Eiji Kurozumi & Anton Skrobotov, 2025. "Confidence Sets for the Emergence, Collapse, and Recovery Dates of a Bubble," Papers 2511.16172, arXiv.org.
    • Handle: RePEc:arx:papers:2511.16172
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    References listed on IDEAS

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