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Limit Theory for Dating the Origination and Collapse of Mildly Explosive Periods in Time Series Data

Author

Listed:
  • Peter C.B.Phillips

    (Yale University, University of Auckland,University of York & Singapore Management University)

  • Jun Yu

    (Sim Kee Boon Institute for Financial Economics, Singapore Management University)

Abstract

Some limit theory is developed for estimators suggested in Phillips, Wu and Yu (2009) for dating bubble pheonoma in time series data. The models involve mildly explosive autoregressions and the tests rely on right sided recursive unit root tests. The estimates locate the origination and collapse dates of bubbles involving mildly explosive episodes set within longer periods where the data evolve as a stochastic trend. The dating estimators are shown to be consistent under mild regularity conditions on the process. Some simulation evidence on the performance of the estimators is reported. The proposed method works well in fi?nite samples and conforms with the limit theory.

Suggested Citation

  • Peter C.B.Phillips & Jun Yu, "undated". "Limit Theory for Dating the Origination and Collapse of Mildly Explosive Periods in Time Series Data," Working Papers CoFie-05-2009, Singapore Management University, Sim Kee Boon Institute for Financial Economics.
    • Handle: RePEc:skb:wpaper:cofie-05-2009
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    File URL: http://www.smu.edu.sg/institutes/skbife/downloads/CoFiE/Working%20Papers/Limit%20Theory%20for%20Dating%20the%20Origination%20and%20Collapse%20of%20Mildly%20Explosive%20Periods%20in%20Time%20Series%20Data.pdf
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    More about this item

    Keywords

    Bubble; Date stamping; Explosive behavior; Mildly explosive process; Right sided unit root tests; Structural breaks.;
    All these keywords.

    JEL classification:

    • C15 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Statistical Simulation Methods: General
    • G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates

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