Testing for explosive bubbles: a review
Author:
Affiliation:
1. Russian Presidential Academy of National Economy and Public Administration, Center for Econometrics and Business Analytics, St. Petersburg State University , St. Petersburg , Russia
Abstract
Publisher
Walter de Gruyter GmbH
Subject
Applied Mathematics,Modeling and Simulation,Statistics and Probability
Link
https://www.degruyter.com/document/doi/10.1515/demo-2022-0152/pdf
Reference115 articles.
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2. Andrews, D. W. K. (2003). End-of-sample instability tests. Econometrica, 71(6), 1661–1694.
3. Andrews, D. W. K, & Kim, J.-Y. (2006). Tests for cointegration breakdown over a short time period. Journal of Business & Economic Statistics, 24(4), 379–394.
4. Anundsen, A. K., Gerdrup, K., Hansen, F., & Kragh-Sørensen, K. (2016). Bubbles and crises: The role of house prices and credit. Journal of Applied Econometrics, 31(7), 1291–1311.
5. Arvanitis, S., & Magdalinos, T. (2018). Mildly explosive autoregression under stationary conditional heteroskedasticity. Journal of Time Series Analysis, 39(6), 892–908.
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