On the asymptotic behavior of bubble date estimators
Author:
Affiliation:
1. Department of Economics Hitotsubashi University Tokyo Japan
2. Russian Presidential Academy of National Economy and Public Administration Moscow Russia
3. Saint Petersburg University (Center for Econometrics and Business Analytics) Moscow Russia
Funder
Japan Society for the Promotion of Science
Russian Science Foundation
Publisher
Wiley
Subject
Applied Mathematics,Statistics, Probability and Uncertainty,Statistics and Probability
Link
https://onlinelibrary.wiley.com/doi/pdf/10.1111/jtsa.12672
Reference15 articles.
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2. Testing for unit roots in time series models with non‐stationary volatility;Cavaliere G;Journal of Econometrics,2007
3. Time‐transformed unit root tests for models with non‐stationary volatility;Cavaliere G;Journal of Time Series Analysis,2007
4. Partial parameter consistency in a misspecified structural change model;Chong TT‐L;Economics Letters,1995
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2. Improving the Accuracy of Bubble Date Estimators Under Time-Varying Volatility;SSRN Electronic Journal;2023
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