In this study, we extend the three-regime bubble model of Pang et al. (2021) to allow the forth regime followed by the unit root process after recovery. We provide the asymptotic and finite sample justification of the consistency of the collapse date estimator in the two-regime AR(1) model. The...

This paper is devoted to testing for the explosive bubble under time-varying non-stationary volatility. Because the limiting distribution of the seminal Phillips et al. (2011) test depends on the variance function and usually requires a bootstrap implementation under heteroskedasticity, we...

This review discusses methods of testing for explosive bubbles in a time series. A large number of recently developed testing methods under various assumptions about innovations of the errors are covered. The review also considers the methods for dating the explosive (bubble) regimes. Special...