Confidence sets for bubble emergence, collapse, and recovery dates are built by inverting likelihood ratio and Elliott-Muller break-date tests, with simulations showing good coverage and compact intervals when tests are combined.
On the contrary,t T2,T1 =O p(1) forT 2 < T r and the same order is observed forT r ≤T 2
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Confidence Sets for the Emergence, Collapse, and Recovery Dates of a Bubble
Confidence sets for bubble emergence, collapse, and recovery dates are built by inverting likelihood ratio and Elliott-Muller break-date tests, with simulations showing good coverage and compact intervals when tests are combined.