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, forT 1 < T 2 ≤T r, only the first terms of (84) and (85) matter and we can observe thatt T1,T2 → −∞
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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.