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  讲座题目:Bubble Testing under Deterministic Trends

  报告人:Wang Xiaohu





  摘要: This paper develops the asymptotic theory of the ordinary least squares estimator of the autoregressive (AR) coefficient in various AR models when data is generated from trend-stationary models in different forms. It is shown that, depending on how the autoregression is specified, the commonly used right-tailed unit root tests may tend to reject the null hypothesis of unit root in favor of the explosive alternative. A new procedure to implement the right-tailed unit root tests is proposed. It is shown that when the data generating process is trend-stationary, the test statistics based on the proposed procedure cannot find evidence of explosiveness. Whereas, when the data generating process is mildly explosive, the unit root tests find evidence of explosiveness. Hence, the proposed procedure enables robust bubble testing under deterministic trends. Empirical implementation of the proposed procedure using data from the stock and the real estate markets in the US reveals some interesting findings. While our proposed procedure flags the same number of bubbles episodes in the stock data as the method developed in Phillips, Shi, and Yu (2015a, PSY), the estimated termination dates by the proposed procedure match better with the data. For real estate data, all negative bubble episodes flagged by PSY are no longer regarded as bubbles by the proposed procedure.

  简介:王晓虎助理教授2012于新加坡管理大学取得经济学博士学位,2006年本科毕业于武汉大学高级研究中心。王晓虎博士主要研究领域为理论计量经济学和金融计量经济学,已经在计量经济学顶尖杂志Journal of Econometrics上发表文章3篇,且担任包括Journal of Econometrics, Econometric Theory等多本计量经济学国际期刊的匿名审稿人。

发布时间:2019-03-20 16:05:22 浏览人数:
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