A recursive regression methodology is used to analyze the bubble characteristics of various financial time series during the subprime crisis. The methods provide a technology for identifying bubble behavior and consistent dating of their origination and collapse. Seven relevant financial series...

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...