3 papers
econ.EM2025
Confidence Sets for the Emergence, Collapse, and Recovery Dates of a Bubble
Eiji Kurozumi, Anton Skrobotov
We propose constructing confidence sets for the emergence, collapse, and recovery dates of a bubble separately by inverting tests for the location of the break date. We examine bot…
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.EM2024
Wild inference for wild SVARs with application to volatility-based IV
Bulat Gafarov, Madina Karamysheva, Andrey Polbin +1
We propose a dependent wild bootstrap method based on local projections for computing the joint asymptotic distribution of parameter estimates in structural vector autoregression m…