CMStatistics 2016: Start Registration
View Submission - CFE
A0184
Title: Likelihood ratio tests for explosive financial bubble with application of ruble/dollar exchange rate Authors:  Elena Sinelnikova-Muryleva - RANEPA (Russia) [presenting]
Anton Skrobotov - Russian Presidential Academy of National Economy and Public Administration and SPBU (Russia)
Abstract: New likelihood ratio tests are proposed for explosive financial bubbles. The null hypothesis is a unit root behavior throughout while under the alternative there is explosive behavior in some subsample of the series. For unknown dates of origin and collapse, the sup, average and exponential test statistics are proposed. These statistics reveal higher power than other existing tests based on Dickey-Fuller regression for almost all cases considered; and these statistics are robust to the four-regime specification (unit root, then explosive process, then stationary process, then unit root) and multiple bubble specifications. An empirical application to Russian exchange rate shows existence of the bubble in the 2nd half of 2014 and detects the earlier date of bubble originating than is usually supposed by the specialists.