Journal of Empirical Finance · VOLUME 40 · JANUARY 2017

提高资产泡沫起止时间预测指标的准确性

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递归右尾单位根检验来确定资产价格泡沫起止日期的研究方法。在本文中，作者提出了另一种基于最小残差平方和的指标模型方法，并且使用贝叶斯信息指标对模型进行选择优化。一旦泡沫发生，这种确定日期的方法可以对一个固定程度泡沫给出起止日期的一致估计，并且可以分辨不同泡沫的种类：如泡沫是否会最终破裂、或者泡沫在样本结束时是否还会持续存在。蒙特卡洛模拟表明这种确定日期的方法在处理有限样本中的自回归行为（尤其是考虑到准确预测泡沫结束点的方面时）比递归单位根检验的方法表现更加优秀。最后文章讨论了这种方法在纳斯达克股票价格中的实证应用。

关键词：理性泡沫，自回归

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;

原文链接：http://www.sciencedirect.com/science/article/pii/S0927539816301219

翻译：殷曼琳