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Construction of stationarity tests with less size distortions

Kurozumi, Eiji (contributor) - 2005

Persistent link: https://www.econbiz.de/10003245143

Testing for stationarity in heterogenous panel data

Hadri, Kaddour - In: The econometrics journal 3 (2000) 2, pp. 148-161

Persistent link: https://www.econbiz.de/10001546173

Estimation of a doubly heteroscedastic stochastic frontier cost function

Hadri, Kaddour - In: Journal of business & economic statistics : JBES ; a … 17 (1999) 3, pp. 359-363

Persistent link: https://www.econbiz.de/10001410720

Time-transformed test for bubbles under non-stationary volatility

Kurozumi, Eiji; Skrobotov, Anton; Tsarev, Alexey - In: Journal of financial econometrics 21 (2023) 4, pp. 1282-1307

Persistent link: https://www.econbiz.de/10014391459

On the Asymptotic Behavior of Bubble Date Estimators

Kurozumi, Eiji; Skrobotov, Anton - 2022

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...

Persistent link: https://www.econbiz.de/10013324346