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Explosive Asset Price Bubble Detection with Unknown Bubble Length and Initial Condition

  • Published:2018-10-30 Issue:1 Volume:81 Page:20-41
  • ISSN:0305-9049
  • Container-title:Oxford Bulletin of Economics and Statistics
  • language:en
  • Short-container-title:Oxf Bull Econ Stat

Author:

Whitehouse Emily J.1

Affiliation:

1. Newcastle University Business School; Newcastle University; Newcastle upon Tyne NE1 4SE UK

Publisher

Wiley

Subject

Statistics, Probability and Uncertainty,Economics and Econometrics,Social Sciences (miscellaneous),Statistics and Probability

Reference18 articles.

1. Tests against stationary and explosive alternatives in vector autoregressive models;Ahlgren;Journal of Time Series Analysis,2008

2. On the asymptotics of ADF tests for unit roots;Chang;Econometric Reviews,2002

3. Explosive rational bubbles in stock prices;Diba;American Economic Review,1988

4. Efficient tests for a unit root when the initial observation is drawn from its unconditional distribution;Elliott;International Economic Review,1999

5. Efficient tests for an autoregressive unit root;Elliott;Econometrica,1996

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1. Fluctuation-type monitoring test for explosive behavior;Econometrics and Statistics;2023-06

2. A bubble identification mechanism: Evidence from the Chinese stock market;Pacific Economic Review;2023-05-04

3. Real‐Time Monitoring of Bubbles and Crashes;Oxford Bulletin of Economics and Statistics;2023-01-27

4. Testing for explosive bubbles: a review;Dependence Modeling;2023-01-01

5. A review of Phillips‐type right‐tailed unit root bubble detection tests;Journal of Economic Surveys;2022-07-20
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