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Limit Theory for Dating the Origination and Collapse of Mildly Explosive Periods in Time Series Data
8 references·3 citing·41 second hop
Limit Theory for Dating the Origination and Collapse of Mildly Explosive Periods in Time Series Data (2009)Limit Theory for Dating the Origination a…UNIT ROOT AND COINTEGRATING LIMIT THEORY WHEN INITIALIZATION IS IN THE INFINITE PAST (2009)UNIT ROOT AND COINTEGRATING L…Financial Crash, Commodity Prices, and Global Imbalances (2008)Financial Crash, Commodity Pr…Limit Theory for Moderate Deviations From a Unit Root Under Weak Dependence (2007)Limit Theory for Moderate Dev…Limit theory for moderate deviations from a unit root (2005)Limit theory for moderate dev…Pitfalls in Testing for Explosive Bubbles in Asset Prices (1991)Pitfalls in Testing for Explo…Testing for a Unit Root in Time Series Regression (1988)Testing for a Unit Root in Ti…Explosive Rational Bubbles in Stock Prices (1988)Explosive Rational Bubbles in…Time Series Regression with a Unit Root (1987)Time Series Regression with a…The walking debt crisis (2017)The walking debt crisisSpeculative bubbles in agricultural commodity markets (2012)Speculative bubbles in agricu…Specification Sensitivity in Right-Tailed Unit Root Testing for Explosive Behavior (2012)Specification Sensitivity in …Do Stock Prices Move Too Much to be Justified by Subsequent Changes in Dividends? (1980)Likelihood Ratio Statistics for Autoregressive Time Series with a Unit Root (1981)Cointegration and Tests of Present Value Models (1987)ECONOMETRIC TESTS OF ASSET PRICE BUBBLES: TAKING STOCK* (2008)Testing for Speculative Bubbles in Stock Markets: A Comparison of Alternative Methods (2011)RETRACTED: Datestamping the Bitcoin and Ethereum bubbles (2017)Co-Integration and Error Correction: Representation, Estimation, and Testing (1987)Ants, Rationality, and Recruitment (1993)Efficient market hypothesis and forecasting (2003)Dating the timeline of financial bubbles during the subprime crisis (2011)Towards a Unified Asymptotic Theory for Autoregression (1987)Bubbles in food commodity markets: Four decades of evidence (2013)Episodes of Exuberance in Housing Markets: In Search of the Smoking Gun (2015)FINANCIAL BUBBLE IMPLOSION AND REVERSE REGRESSION (2017)Distribution of the Estimators for Autoregressive Time Series with a Unit Root (1979)Trends and random walks in macroeconmic time series (1982)Testing the null hypothesis of stationarity against the alternative of a unit root (1992)Unit root tests in panel data: asymptotic and finite-sample properties (2002)A simple panel unit root test in the presence of cross‐section dependence (2007)Stock Prices, Earnings, and Expected Dividends (1988)Positive Feedback Investment Strategies and Destabilizing Rational Speculation (1990)The Econometrics of Financial Markets (2012)Global Maize Trade and Food Security: Implications from a Social Network Model (2013)Price Explosiveness, Speculation, and Grain Futures Prices (2014)The impact of speculation on commodity futures markets – A review of the findings of 100 empirical studies (2016)Time Series Analysis: Forecasting and Control (1977)Stochastic Implications of the Life Cycle-Permanent Income Hypothesis: Theory and Evidence (1978)Multiple Time Series Regression with Integrated Processes (1986)Statistical Inference in Instrumental Variables Regression with I(1) Processes (1990)Agricultural price transmission across space and commodities during price bubbles (2012)The Economics of Exhaustible Resources (1931)Understanding Crude Oil Prices (2008)Deciphering the Liquidity and Credit Crunch 2007–2008 (2009)A model of carbon price interactions with macroeconomic and energy dynamics (2011)External Adjustment, Global Imbalances, Valuation Effects (2014)Financialization in commodity markets: A passing trend or the new normal? (2015)On crises, contagion, and confusion (2000)No Contagion, Only Interdependence: Measuring Stock Market Comovements (2002)From Financial Crash to Debt Crisis (2011)EXPLOSIVE BEHAVIOR IN THE 1990s NASDAQ: WHEN DID EXUBERANCE ESCALATE ASSET VALUES?* (2009)TESTING FOR MULTIPLE BUBBLES: HISTORICAL EPISODES OF EXUBERANCE AND COLLAPSE IN THE S&P 500 (2015)
this work references cited by second hop

References

  • 1988Testing for a Unit Root in Time Series Regression19,288 cited
  • 1987Time Series Regression with a Unit Root2,821 cited
  • 1988Explosive Rational Bubbles in Stock Prices705 cited
  • 1991Pitfalls in Testing for Explosive Bubbles in Asset Prices685 cited
  • 2005Limit theory for moderate deviations from a unit root454 cited
  • 2008Financial Crash, Commodity Prices, and Global Imbalances263 cited
  • 2007Limit Theory for Moderate Deviations From a Unit Root Under Weak Dependence84 cited
  • 2009UNIT ROOT AND COINTEGRATING LIMIT THEORY WHEN INITIALIZATION IS IN THE INFINITE PAST59 cited

Cited by

  • 2012Speculative bubbles in agricultural commodity markets142 cited
  • 2017The walking debt crisis35 cited
  • 2012Specification Sensitivity in Right-Tailed Unit Root Testing for Explosive Behavior15 cited

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