3 papers
econ.EM2024
Panel Data Unit Root testing: Overview
Anton Skrobotov
This review discusses methods of testing for a panel unit root. Modern approaches to testing in cross-sectionally correlated panels are discussed, preceding the analysis with an an…
econ.EM2023
Improving the accuracy of bubble date estimators under time-varying volatility
Eiji Kurozumi, Anton Skrobotov
In this study, we consider a four-regime bubble model under the assumption of time-varying volatility and propose the algorithm of estimating the break dates with volatility correc…
econ.EM2022
Testing for explosive bubbles: a review
Anton Skrobotov
This review discusses methods of testing for explosive bubbles in time series. A large number of recently developed testing methods under various assumptions about innovation of er…