{"title":"关于泡沫日期估计量的渐近性态","authors":"Eiji Kurozumi, Anton Skrobotov","doi":"10.1111/jtsa.12672","DOIUrl":null,"url":null,"abstract":"<p>In this study, we extend the three-regime bubble model of Pang et al. (2021, <i>Journal of Econometrics</i>, 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.</p>","PeriodicalId":49973,"journal":{"name":"Journal of Time Series Analysis","volume":null,"pages":null},"PeriodicalIF":1.2000,"publicationDate":"2022-11-13","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://onlinelibrary.wiley.com/doi/epdf/10.1111/jtsa.12672","citationCount":"3","resultStr":"{\"title\":\"On the asymptotic behavior of bubble date estimators\",\"authors\":\"Eiji Kurozumi, Anton Skrobotov\",\"doi\":\"10.1111/jtsa.12672\",\"DOIUrl\":null,\"url\":null,\"abstract\":\"<p>In this study, we extend the three-regime bubble model of Pang et al. (2021, <i>Journal of Econometrics</i>, 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.</p>\",\"PeriodicalId\":49973,\"journal\":{\"name\":\"Journal of Time Series Analysis\",\"volume\":null,\"pages\":null},\"PeriodicalIF\":1.2000,\"publicationDate\":\"2022-11-13\",\"publicationTypes\":\"Journal Article\",\"fieldsOfStudy\":null,\"isOpenAccess\":false,\"openAccessPdf\":\"https://onlinelibrary.wiley.com/doi/epdf/10.1111/jtsa.12672\",\"citationCount\":\"3\",\"resultStr\":null,\"platform\":\"Semanticscholar\",\"paperid\":null,\"PeriodicalName\":\"Journal of Time Series Analysis\",\"FirstCategoryId\":\"100\",\"ListUrlMain\":\"https://onlinelibrary.wiley.com/doi/10.1111/jtsa.12672\",\"RegionNum\":4,\"RegionCategory\":\"数学\",\"ArticlePicture\":[],\"TitleCN\":null,\"AbstractTextCN\":null,\"PMCID\":null,\"EPubDate\":\"\",\"PubModel\":\"\",\"JCR\":\"Q3\",\"JCRName\":\"MATHEMATICS, INTERDISCIPLINARY APPLICATIONS\",\"Score\":null,\"Total\":0}","platform":"Semanticscholar","paperid":null,"PeriodicalName":"Journal of Time Series Analysis","FirstCategoryId":"100","ListUrlMain":"https://onlinelibrary.wiley.com/doi/10.1111/jtsa.12672","RegionNum":4,"RegionCategory":"数学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":null,"EPubDate":"","PubModel":"","JCR":"Q3","JCRName":"MATHEMATICS, INTERDISCIPLINARY APPLICATIONS","Score":null,"Total":0}
On the asymptotic behavior of bubble date estimators
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.
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.