EcoSta 2022: Start Registration
View Submission - EcoSta2022
A0842
Title: On the asymptotic behavior of bubble date estimators Authors:  Eiji Kurozumi - Hitotsubashi University (Japan) [presenting]
Anton Skrobotov - Russian Presidential Academy of National Economy and Public Administration and SPBU (Russia)
Abstract: The three-regime bubble model is extended to allow the fourth 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 recovery.