Confidence Sets for the Emergence, Collapse, and Recovery Dates of a Bubble
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| Format: | Preprint |
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2025
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| _version_ | 1866910148011753472 |
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| author | Kurozumi, Eiji Skrobotov, Anton |
| author_facet | Kurozumi, Eiji Skrobotov, Anton |
| contents | We propose constructing confidence sets for the emergence, collapse, and recovery dates of a bubble separately by inverting tests for the location of the break date. We examine both likelihood ratio-type tests and the Elliott-Muller-type (2007) tests for detecting break locations. 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. |
| format | Preprint |
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arxiv_https___arxiv_org_abs_2511_16172 |
| institution | arXiv |
| publishDate | 2025 |
| record_format | arxiv |
| spellingShingle | Confidence Sets for the Emergence, Collapse, and Recovery Dates of a Bubble Kurozumi, Eiji Skrobotov, Anton Econometrics Methodology We propose constructing confidence sets for the emergence, collapse, and recovery dates of a bubble separately by inverting tests for the location of the break date. We examine both likelihood ratio-type tests and the Elliott-Muller-type (2007) tests for detecting break locations. 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. |
| title | Confidence Sets for the Emergence, Collapse, and Recovery Dates of a Bubble |
| topic | Econometrics Methodology |
| url | https://arxiv.org/abs/2511.16172 |