Anton Skrobotov

Russian Academy of National Economy and Public Administration under the President of the Russian Federation (RANEPA) - Department of Economics

Researcher

SCHOLARLY PAPERS

22

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1,144

SSRN CITATIONS

8

CROSSREF CITATIONS

4

Scholarly Papers (22)

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1.

Testing for Explosive Bubbles: A Review

Number of pages: 34 Posted: 22 Mar 2021 Last Revised: 17 Nov 2022
Anton Skrobotov
Russian Academy of National Economy and Public Administration under the President of the Russian Federation (RANEPA) - Department of Economics
Downloads 279 (182,230)
Citation 1

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rational bubble, testing for explosive bubble, explosive autoregression, time-varying volatility, right-tailed unit root testing

2.

New Approaches to Robust Inference on Market (Non-)Efficiency, Volatility Clustering and Nonlinear Dependence

Number of pages: 46 Posted: 15 May 2020 Last Revised: 01 Nov 2021
Anton Skrobotov, Rasmus Pedersen and Rustam Ibragimov
Russian Academy of National Economy and Public Administration under the President of the Russian Federation (RANEPA) - Department of Economics, University of Copenhagen - Department of Economics and affiliation not provided to SSRN
Downloads 106 (418,013)
Citation 1

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robust inference, $t-$test, autocorrelations, financial markets, stylized facts, efficiency, volatility clustering, nonlinear dependence, GARCH

3.

Robust Inference on Income Inequality: t-Statistic Based Approaches

Number of pages: 44 Posted: 12 May 2021 Last Revised: 15 Mar 2022
Rustam Ibragimov, Paul Kattuman and Anton Skrobotov
affiliation not provided to SSRN, University of Cambridge - Judge Business School and Russian Academy of National Economy and Public Administration under the President of the Russian Federation (RANEPA) - Department of Economics
Downloads 77 (512,007)
Citation 1

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Income inequality, inequality measures, robust inference, heavy-tailedness, Russian economy

4.

Bias Correction of KPSS Test with Structural Break for Reducing the Size Distortion

Number of pages: 26 Posted: 30 Nov 2012 Last Revised: 19 Nov 2013
Anton Skrobotov
Russian Academy of National Economy and Public Administration under the President of the Russian Federation (RANEPA) - Department of Economics
Downloads 67 (552,877)
Citation 1

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Stationarity tests, KPSS test, bias correction, size distortion, structural break

5.

Обзор методов выбора модели на основе информационных критериев (Overview of Model Selection Methods Based on Information Criteria)

Number of pages: 30 Posted: 04 Jun 2020
Anton Skrobotov
Russian Academy of National Economy and Public Administration under the President of the Russian Federation (RANEPA) - Department of Economics
Downloads 55 (609,105)

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единичные корни, информационные критерии, нестационарная волатильность, сезонность, unit root, information criteria, non-stationary volatility, seasonality

6.

Анализ региональной дифференциации цен (Analysis of Regional Price Differentiation)

Современное состояние и тенденции развития государственной гражданской службы в России, 2018, ISBN: 9785-7749-1327-5
Number of pages: 72 Posted: 05 Feb 2018 Last Revised: 07 Feb 2018
Yury Perevyshin, Sergei Germanovich Sinelnikov-Murylev, Anton Skrobotov and Pavel Trunin
Russian Academy of National Economy and Public Administration under the President of the Russian Federation (RANEPA) - Department of Economics, Russian Foreign Trade Academy, Russian Academy of National Economy and Public Administration under the President of the Russian Federation (RANEPA) - Department of Economics and Gaidar Institute for Economic Policy
Downloads 52 (624,862)

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7.

A Simple Modification of the Busetti-Harvey Stationarity Tests with Structural Breaks at Unknown Time

Number of pages: 8 Posted: 29 Jul 2014
Anton Skrobotov
Russian Academy of National Economy and Public Administration under the President of the Russian Federation (RANEPA) - Department of Economics
Downloads 52 (624,862)

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KPSS test, infimum test, size distortion, power, pre-testing, structural breaks

8.

On Trend, Breaks and Initial Condition in Unit Root Testing

On Trend Breaks and Initial Condition in Unit Root Testing Journal of Time Series Econometrics, Volume 10, Issue 1, 20160014, eISSN 1941-1928, DOI: https://doi.org/10.1515/jtse-2016-0014.
Number of pages: 43 Posted: 11 Jun 2014 Last Revised: 11 Jun 2020
Anton Skrobotov
Russian Academy of National Economy and Public Administration under the President of the Russian Federation (RANEPA) - Department of Economics
Downloads 50 (635,750)
Citation 2

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unit root test, infimum Dickey-Fuller tests, local trend, local trend break, asymp- totic local power, union of rejection, pre-testing, multiple breaks in trend

9.

Trend and Initial Condition in Stationarity Tests: The Asymptotic Analysis

Number of pages: 20 Posted: 14 Dec 2012 Last Revised: 19 Nov 2013
Anton Skrobotov
Russian Academy of National Economy and Public Administration under the President of the Russian Federation (RANEPA) - Department of Economics
Downloads 47 (652,633)
Citation 1

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Stationarity test, KPSS test, uncertainty over the trend, uncertainty over the initial condition, size distortion, intersection of rejection decision rule

10.

On Robust Testing for Trend

Number of pages: 23 Posted: 28 Jul 2021 Last Revised: 06 Jan 2022
Anton Skrobotov
Russian Academy of National Economy and Public Administration under the President of the Russian Federation (RANEPA) - Department of Economics
Downloads 45 (664,310)

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robust inference, linear trend, asymptotic normality, heterogeneous errors, nonstationarity

11.

Do We Reject Restrictions Identifying Fiscal Shocks? Identification Based on non-Gaussian Innovations

Number of pages: 29 Posted: 04 Mar 2021
Madina Karamysheva and Anton Skrobotov
National Research University Higher School of Economics (Moscow) and Russian Academy of National Economy and Public Administration under the President of the Russian Federation (RANEPA) - Department of Economics
Downloads 44 (670,131)
Citation 2

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fiscal multipliers, SVAR, identification, non-Gaussian time series, GMM

12.

Тестирование Изменения Инерционности и Влияние На Качество Прогнозов (Testing of Changes in Persistence and Their Effect on the Forecasting Quality)

Number of pages: 33 Posted: 18 Apr 2016 Last Revised: 28 May 2016
Victoria Petrenko, Anton Skrobotov and Marina Turuntseva
Gaidar Institute for Economic Policy, Russian Academy of National Economy and Public Administration under the President of the Russian Federation (RANEPA) - Department of Economics and Gaidar Institute for Economic Policy
Downloads 37 (715,253)

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persistence testing, methods of estimation, forecasting, изменение инерционности, методы оценки, прогнозирование

13.

Local Structural Trend Break in Stationarity Testing

Number of pages: 23 Posted: 20 Nov 2013
Anton Skrobotov
Russian Academy of National Economy and Public Administration under the President of the Russian Federation (RANEPA) - Department of Economics
Downloads 33 (743,511)

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Stationarity tests, KPSS tests, local break in trend, size distortions, intersection of rejection decision rule

14.

New Robust Inference for Predictive Regressions

Number of pages: 50 Posted: 03 Jun 2020 Last Revised: 01 Nov 2021
Rustam Ibragimov, Jihyun Kim and Anton Skrobotov
affiliation not provided to SSRN, Indiana University, Robert H. McKinney School of Law, Students and Russian Academy of National Economy and Public Administration under the President of the Russian Federation (RANEPA) - Department of Economics
Downloads 30 (766,177)

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predictive regression, robust inference, near nonstationarity, heavy tails, nonstationary volatility, endogeneity

15.

Структурные сдвиги и тестирование на единичный корень (Structural Breaks and Unit Root Testing

Number of pages: 48 Posted: 03 Jun 2020
Anton Skrobotov
Russian Academy of National Economy and Public Administration under the President of the Russian Federation (RANEPA) - Department of Economics
Downloads 30 (766,177)

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тестирование на единичный корень, структурные сдвиги, тестирование на стационарность, нестационарная волатильность, робастные методы

16.

Time-Transformed Test for the Explosive Bubbles under Non-stationary Volatility

Number of pages: 31 Posted: 27 Feb 2021 Last Revised: 15 Nov 2021
Eiji Kurozumi, Anton Skrobotov and Alexey Tsarev
Hitotsubashi University - Faculty of Economics, Russian Academy of National Economy and Public Administration under the President of the Russian Federation (RANEPA) - Department of Economics and affiliation not provided to SSRN
Downloads 29 (773,932)
Citation 3

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Rational bubble, Explosive autoregression, Time-varying volatility, Right-tailed unit root testing, Variance profile, Time-transformed data

17.

Тестирование Ассиметричной Сходимости Реального Обменного Курса К Равновесию Во Время Режима Управляемого Курса Рубля (Testing the Asymmetric Convergence of the Real Exchange Rate to Equilibrium During the Managed Ruble Exchange Rate Regime)

Number of pages: 20 Posted: 12 Feb 2018
Anton Skrobotov and Fokin Nikita
Russian Academy of National Economy and Public Administration under the President of the Russian Federation (RANEPA) - Department of Economics and Russian Academy of National Economy and Public Administration under the President of the Russian Federation (RANEPA) - Institute of Physics and Power Engineering (IPPE)
Downloads 28 (781,648)

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реальный обменный курс; денежно-кредитная политика; Центральный Банк; пороговая модель коррекции ошибок; TVECMмодель; real exchange rate; monetary policy; The Central Bank of Russia; threshold error correction model; TVECM model

18.

On GLS -- Detrending for Deterministic Seasonality Testing

Number of pages: 15 Posted: 20 Nov 2013
Anton Skrobotov
Russian Academy of National Economy and Public Administration under the President of the Russian Federation (RANEPA) - Department of Economics
Downloads 26 (797,622)

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Stationarity tests, KPSS test, seasonality, seasonal unit roots, deterministic seasonality, size distortion, GLS-detrending

19.

On the Asymptotic Behavior of Bubble Date Estimators

Number of pages: 85 Posted: 11 Oct 2021 Last Revised: 17 Nov 2022
Eiji Kurozumi and Anton Skrobotov
Hitotsubashi University - Faculty of Economics and Russian Academy of National Economy and Public Administration under the President of the Russian Federation (RANEPA) - Department of Economics
Downloads 23 (823,040)
Citation 2

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rational bubble, change points, explosive autoregression, time-varying volatility, right-tailed unit root testing, mildly explosive, mildly integrated

20.

Structural breaks in cointegration models (in Russian)

Number of pages: 36 Posted: 28 Aug 2021
Anton Skrobotov
Russian Academy of National Economy and Public Administration under the President of the Russian Federation (RANEPA) - Department of Economics
Downloads 22 (831,676)

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testing for cointegration, testing for cointegration rank, structural breaks, error correction model

21.

Improving the Accuracy of Bubble Date Estimators Under Time-Varying Volatility

Number of pages: 57 Posted: 05 Jun 2023
Eiji Kurozumi and Anton Skrobotov
Hitotsubashi University - Faculty of Economics and Russian Academy of National Economy and Public Administration under the President of the Russian Federation (RANEPA) - Department of Economics
Downloads 10 (945,182)

Abstract:

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rational bubble, change points, explosive autoregression, time-varying volatility, right-tailed unit root testing, mildly explosive, mildly integrated

22.

Структурные сдвиги в моделях коинтеграции (Structural breaks in cointegration models)

Number of pages: 38
Anton Skrobotov
Russian Academy of National Economy and Public Administration under the President of the Russian Federation (RANEPA) - Department of Economics
Downloads 2

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testing for cointegration, testing for cointegration rank, structural breaks, error correction model