Identifying and dating explosive bubbles when there is periodically collapsing behavior over time has been a major … (2011, PWY) are affected by multiple bubbles and may fail to be consistent. The present paper proposes a generalized version …-stamping strategy for the origination and termination of multiple bubbles, and proves consistency of this dating procedure. Simulations …

left-tailed tests, the limit theory and test performance are sensitive to the null hypothesis and the model specification …-tailed ADF test repeatedly on a sequence of forward sample recursions. We analyze and compare the limit theory of the sup ADF …

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 … bubbles. Under certain explicit conditions, the moving window detector of PSY is shown to be a consistent dating algorithm …

Identifying and dating explosive bubbles when there is periodically collapsing behavior over time has been a major … (2011, PWY) are affected by multiple bubbles and may fail to be consistent. The present paper proposes a generalized version …-stamping strategy for the origination and termination of multiple bubbles, and proves consistency of this dating procedure. Simulations …