Phillips, Peter C.B.; Shi, Shu-Ping; Yu, Jun - Cowles Foundation for Research in Economics, Yale University - 2013
This paper provides the limit theory of real time dating algorithms for bubble detection that were suggested in Phillips, Wu and Yu (2011, PWY) and Phillips, Shi and Yu (2013b, PSY). Bubbles are modeled using mildly explosive bubble episodes that are embedded within longer periods where the data...
