Identifying and dating explosive bubbles when there is periodically collapsing behavior over time has been a major … (2011, PWY) are affected by multiple bubbles and may fail to be consistent. The present paper proposes a generalized version …-stamping strategy for the origination and termination of multiple bubbles, and proves consistency of this dating procedure. Simulations …

This paper provides the limit theory of real time dating algorithms for bubble detection that were suggested in … Phillips, Wu and Yu (2011, PWY) and Phillips, Shi and Yu (2013b, PSY). Bubbles are modeled using mildly explosive bubble … bubbles. Under certain explicit conditions, the moving window detector of PSY is shown to be a consistent dating algorithm …

This study provides new mechanisms for identifying and estimating explosive bubbles in mixed-root panel autoregressions …

evidence of episodic bubbles in the New Zealand property market over the past two decades. The results show clear evidence of a …

sources such as financial speculation and excessive credit creation do inflict harm on the real economy. Detecting speculative …

. Consistency of the dating estimators is established and the limit theory addresses new complications arising from the alternative …

the foreign exchange market, creating bubbles which subsequently burst at the end of 2008, just as the effects on the real …

dating financial bubbles. These procedures are useful as warning alerts in surveillance strategies conducted by central banks … origination and termination of multiple bubbles. Simulations show that the test significantly improves discriminatory power and … leads to distinct power gains when multiple bubbles occur. An empirical application of the methodology is conducted on S …

property is shown not to apply for nonlinear cointegration. The requisite limit theory involves sample covariances of … parameter so as to accommodate kernel regression. The theory is an extension of Wang and Phillips (2008) and is useful for the … correct specification but the variance of the limit distribution is larger. Some applications of the limit theory to non …