A1893
Title: Confidence sets for the emergence, collapse, and recovery dates of a bubble
Authors: Eiji Kurozumi - Hitotsubashi University (Japan) [presenting]
Anton Skrobotov - Russian Presidential Academy of National Economy and Public Administration and SPBU (Russia)
Abstract: Confidence sets are constructed for the emergence, collapse, and recovery dates of a bubble separately by inverting tests for the location of the break date. Both likelihood ratio-type tests and Elliott-Muller-type tests for detecting break locations are examined. The limiting distributions of these tests are derived under the null hypothesis, and their asymptotic consistency under the alternative is established. Finite-sample properties are evaluated through Monte Carlo simulations. The results indicate that combining different types of tests effectively controls the empirical coverage rate while maintaining a reasonably small length of the confidence set.
