Improving the accuracy of asset price bubble start and end date estimators
Recent research has proposed using recursive right-tailed unit root tests to date the start and end of asset price bubbles. In this paper an alternative approach is proposed that utilises model-based minimum sum of squared residuals estimators combined with Bayesian Information Criterion model selec...
| Main Authors: | , , |
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| Format: | Article |
| Published: |
Elsevier
2016
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| Subjects: | |
| Online Access: | https://eprints.nottingham.ac.uk/38633/ |