On the asymptotic behavior of bubble date estimators

IF 1.2 4区数学 Q3 MATHEMATICS, INTERDISCIPLINARY APPLICATIONS

Journal of Time Series Analysis Pub Date : 2022-11-13 DOI:10.1111/jtsa.12672

Eiji Kurozumi, Anton Skrobotov

引用次数: 3

Abstract

In this study, we extend the three-regime bubble model of Pang et al. (2021, Journal of Econometrics, 221(1):227–311) 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 consistency allows us to split the sample before and after the date of collapse and to consider the estimation of the date of exuberation and date of recovery separately. We have also found that the limiting behavior of the recovery date varies depending on the extent of explosiveness and recovering.

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关于泡沫日期估计量的渐近性态

在这项研究中，我们扩展了Pang等人的三种制度泡沫模型。（2021，《计量经济学杂志》，221（1）：227–311），允许第四种制度在恢复后遵循单位根过程。我们提供了两种状态AR（1）模型中坍塌日期估计器一致性的渐近和有限样本证明。一致性使我们能够在坍塌日期前后对样本进行分割，并分别考虑渗出日期和恢复日期的估计。我们还发现，恢复日期的限制行为取决于爆炸性和恢复性的程度。

本文章由计算机程序翻译，如有差异，请以英文原文为准。

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来源期刊

Journal of Time Series Analysis 数学-数学跨学科应用

CiteScore

2.00

自引率

0.00%

发文量

审稿时长

6-12 weeks

期刊介绍： During the last 30 years Time Series Analysis has become one of the most important and widely used branches of Mathematical Statistics. Its fields of application range from neurophysiology to astrophysics and it covers such well-known areas as economic forecasting, study of biological data, control systems, signal processing and communications and vibrations engineering. The Journal of Time Series Analysis started in 1980, has since become the leading journal in its field, publishing papers on both fundamental theory and applications, as well as review papers dealing with recent advances in major areas of the subject and short communications on theoretical developments. The editorial board consists of many of the world''s leading experts in Time Series Analysis.