Journal of Empirical Finance · VOLUME 40 · JANUARY 2017

提高資産泡沫起止時間預測指标的準确性

作者：David I. Harveya (School of Economics, University of Nottingham), Stephen J. Leybournea (School of Economics, University of Nottingham), Robert Sollisb (Newcastle University Business School, Newcastle University)

摘要：近期的研究提出了使用遞歸右尾單位根檢驗來确定資産價格泡沫起止日期的研究方法。在本文中，作者提出了另一種基于最小殘差平方和的指标模型方法，并且使用貝葉斯信息指标對模型進行選擇優化。一旦泡沫發生，這種确定日期的方法可以對一個固定程度泡沫給出起止日期的一緻估計，并且可以分辨不同泡沫的種類：如泡沫是否會最終破裂、或者泡沫在樣本結束時是否還會持續存在。蒙特卡洛模拟表明這種确定日期的方法在處理有限樣本中的自回歸行為（尤其是考慮到準确預測泡沫結束點的方面時）比遞歸單位根檢驗的方法表現更加優秀。最後文章讨論了這種方法在納斯達克股票價格中的實證應用。

關鍵詞：理性泡沫，自回歸

Improving the accuracy of asset price bubble start and end date estimators

David I. Harveya (School of Economics, University of Nottingham), Stephen J. Leybournea (School of Economics, University of Nottingham), Robert Sollisb (Newcastle University Business School, Newcastle University)

ABSTRACT

Recent research has proposed using recursive right-tailed unit root tests to date the start and end of asset price bubbles. In this paper an alternative approach is proposed that utilises model-based minimum sum of squared residuals estimators combined with Bayesian Information Criterion model selection. Conditional on the presence of a bubble, the dating procedures suggested are shown to offer consistent estimation of the start and end dates of a fixed magnitude bubble, and can also be used to distinguish between different types of bubble process, i.e. a bubble that does or does not end in collapse, or a bubble that is ongoing at the end of the sample. Monte Carlo simulations show that the proposed dating approach out-performs the recursive unit root test methods for dating periods of explosive autoregressive behaviour in finite samples, particularly in terms of accurate identification of a bubble's end point. An empirical application involving Nasdaq stock prices is discussed.

Keywords: Rational bubble; Autoregression;

原文鍊接：http://www.sciencedirect.com/science/article/pii/S0927539816301219

翻譯：殷曼琳