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Explosion Bubble Testing: An Overview
[Тестирование На Наличие Взрывных Пузырей: Обзор]

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Abstract

This paper provides an overview of methods of testing for explosive bubbles in time series. Various issues associated with the inclusion of constants in regression, the problem of initial condition and the problem of possible non-stationary volatility in the dynamics of a time series are considered. Methods for dating the explosive bubbles are also discussed. Сlassification-JEL:

Suggested Citation

  • Skrobotov Anton, 2021. "Explosion Bubble Testing: An Overview [Тестирование На Наличие Взрывных Пузырей: Обзор]," Working Papers s21130, Russian Presidential Academy of National Economy and Public Administration.
    • Handle: RePEc:rnp:wpaper:s21130
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    Keywords

    unit roots; blast bubble; non-stationary volatility; dating; bootstrap; rejection pooling; explosive process;
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