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Testing for Multiple Bubbles : Limit Theory of Real Time Detectors

Phillips, Peter C. B. - 2013

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 episodes that are embedded within longer periods where the data...

Persistent link: https://www.econbiz.de/10013075934

Weak identification of long memory with implications for inference

Li, Jia; Phillips, Peter C. B.; Shi, Shuping; Yu, Jun - 2022

Persistent link: https://www.econbiz.de/10013326614

Bayesian hypothesis testing in latent variable models

Li, Yong; Yu, Jun - In: Journal of econometrics 166 (2012) 2, pp. 237-246

Persistent link: https://www.econbiz.de/10009509225

Testing for multiple bubbles : limit theory of real time detectors

Phillips, Peter C. B.; Shi, Shu-Ping; Yu, Jun - 2013

Persistent link: https://www.econbiz.de/10010190205

The C(α)-type gradient test for spatial dependence in spatial autoregressive models

Lee, Lung-fei; Yu, Jihai - In: Letters in spatial and resource sciences : LSRS 5 (2012) 3, pp. 119-135

Persistent link: https://www.econbiz.de/10009712694

Spatial panels : random components versus fixed effects

Lee, Lung-fei; Yu, Jihai - In: International economic review 53 (2012) 4, pp. 1369-1412

Persistent link: https://www.econbiz.de/10009696268

A Bayesian chi-squared test for hypothesis testing

Li, Yong; Liu, Xiao-Bin; Yu, Jun - In: Journal of econometrics 189 (2015) 1, pp. 54-69

Persistent link: https://www.econbiz.de/10011502408

Testing for multiple bubbles : historical episodes of exuberance and collapse in the S&P 500

Phillips, Peter C. B.; Shi, Shuping; Yu, Jun - In: International economic review 56 (2015) 4, pp. 1043-1078

Persistent link: https://www.econbiz.de/10011485252

Testing for multiple bubbles : limit theory or real-time detectors

Phillips, Peter C. B.; Shi, Shuping; Yu, Jun - In: International economic review 56 (2015) 4, pp. 1079-1134

Persistent link: https://www.econbiz.de/10011485301

Testing for Multiple Bubbles : Historical Episodes of Exuberance and Collapse in the S&P 500

Phillips, Peter C. B. - 2013

Recent work on econometric detection mechanisms has shown the effectiveness of recursive procedures in identifying and dating financial bubbles. These procedures are useful as warning alerts in surveillance strategies conducted by central banks and fiscal regulators with real time data. Use of...

Persistent link: https://www.econbiz.de/10013075940