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...
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| Format: | Article |
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Elsevier
2016
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| Online Access: | https://eprints.nottingham.ac.uk/38633/ |
| _version_ | 1848795655805337600 |
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| author | Harvey, David I. Leybourne, Stephen J. Sollis, Robert |
| author_facet | Harvey, David I. Leybourne, Stephen J. Sollis, Robert |
| author_sort | Harvey, David I. |
| building | Nottingham Research Data Repository |
| collection | Online Access |
| description | 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 selection. Conditional on the presence of a bubble, the dating procedures suggested are shown to offer consistent estimation of the start and end dates of a fixed magnitude bubble, and can also be used to distinguish between different types of bubble process, i.e. a bubble that does or does not end in collapse, or a bubble that is ongoing at the end of the sample. Monte Carlo simulations show that the proposed dating approach out-performs the recursive unit root test methods for dating periods of explosive autoregressive behaviour in finite samples, particularly in terms of accurate identification of a bubble's end point. An empirical application involving Nasdaq stock prices is discussed. |
| first_indexed | 2025-11-14T19:35:33Z |
| format | Article |
| id | nottingham-38633 |
| institution | University of Nottingham Malaysia Campus |
| institution_category | Local University |
| last_indexed | 2025-11-14T19:35:33Z |
| publishDate | 2016 |
| publisher | Elsevier |
| recordtype | eprints |
| repository_type | Digital Repository |
| spelling | nottingham-386332020-05-04T18:21:52Z https://eprints.nottingham.ac.uk/38633/ Improving the accuracy of asset price bubble start and end date estimators Harvey, David I. Leybourne, Stephen J. Sollis, Robert 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 selection. Conditional on the presence of a bubble, the dating procedures suggested are shown to offer consistent estimation of the start and end dates of a fixed magnitude bubble, and can also be used to distinguish between different types of bubble process, i.e. a bubble that does or does not end in collapse, or a bubble that is ongoing at the end of the sample. Monte Carlo simulations show that the proposed dating approach out-performs the recursive unit root test methods for dating periods of explosive autoregressive behaviour in finite samples, particularly in terms of accurate identification of a bubble's end point. An empirical application involving Nasdaq stock prices is discussed. Elsevier 2016-11-09 Article PeerReviewed Harvey, David I., Leybourne, Stephen J. and Sollis, Robert (2016) Improving the accuracy of asset price bubble start and end date estimators. Journal of Empirical Finance, 40 . pp. 121-138. ISSN 1879-1727 Rational bubble; Explosive autoregression; Regime change; Break date estimation http://www.sciencedirect.com/science/article/pii/S0927539816301219 doi:10.1016/j.jempfin.2016.11.001 doi:10.1016/j.jempfin.2016.11.001 |
| spellingShingle | Rational bubble; Explosive autoregression; Regime change; Break date estimation Harvey, David I. Leybourne, Stephen J. Sollis, Robert Improving the accuracy of asset price bubble start and end date estimators |
| title | Improving the accuracy of asset price bubble start and end date estimators |
| title_full | Improving the accuracy of asset price bubble start and end date estimators |
| title_fullStr | Improving the accuracy of asset price bubble start and end date estimators |
| title_full_unstemmed | Improving the accuracy of asset price bubble start and end date estimators |
| title_short | Improving the accuracy of asset price bubble start and end date estimators |
| title_sort | improving the accuracy of asset price bubble start and end date estimators |
| topic | Rational bubble; Explosive autoregression; Regime change; Break date estimation |
| url | https://eprints.nottingham.ac.uk/38633/ https://eprints.nottingham.ac.uk/38633/ https://eprints.nottingham.ac.uk/38633/ |