estimated in two ways. One may test for speculative bubbles, or fads, by testing whether the two estimates are the same. When … the test is applied to some annual U.S. stock market data, the data usually reject the null hypothesis of no bubbles. The …

estimated in two ways. One may test for speculative bubbles, or fads, by testing whether the two estimates are the same. When … the test is applied to some annual U.S. stock market data, the data usually reject the null hypothesis of no bubbles. The …

proposed by Hall, Psaradakis and Sola (1999) may result in the misjudgement of bubbles. Upon relaxing this assumption to allow … instead of observing bubbles in these two series as in Hall, Psaradakis and Sola (1999) …

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 …