【摘要】蒙特卡洛分析显示，Phillips，Wu和Yu（2011）提出的sup ADF泡沫检验方法对扰动项的异方差较为敏感，尤其是当扰动项方差接近非平稳时存在严重的尺度扭曲，倾向于过度拒绝不存在泡沫的原假设。同时，对于Evans（1991）周期性破灭的泡沫，当泡沫破灭的概率增加时，sup ADF检验的检验势下降较快。本文结合Kapetanios，Shin和Snell（2003）单位根检验的思想，在指数平滑转移模型的框架下提出了一种新的泡沫检验方法（sup KSS检验）。与sup ADF检验相比，sup KSS检验对于扰动项的异方差有一定的改进，同时对于周期性破灭的泡沫和指数平滑转移泡沫具有较稳健的检验势。

关键词 指数平滑转移 异方差 泡沫

中图分类号 F224.0   文献标识码  A

Testing for Price Bubbles in an ESTAR Framework

Deng Wei Tang Qiming

Abstract: Most recently, Phillips, Wu and Yu (2011) propose a new econometric methodology for testing for financial bubbles using a right tailed sup ADF test. We show by Monte Carlo simulations that sup ADF test is vulnerable to conditionally heteroskedastic innovations, leading to severe over-rejecting of no bubble hypothesis. Moreover, the testing power of sup ADF for periodically collapsing bubbles proposed by Evans (1991) decreases substantially as the bubble collapsing probability increases. We extend PWY's idea into an ESTAR framework proposed by Kapetanios et al. (KSS, 2003) to test for bubbles. Sup KSS test proposed in this paper allows for time-varying coefficients and indigenizes the explosive behavior of bubbles. Compared with sup ADF test, sup KSS test is less sensitive to heteroskedastic innovations. Moreover we show using data generated from Evans' (1991) periodically collapsing bubbles and exponential smooth transition bubble processes that sup KSS test obtains more robust testing powers.

Key words: Exponential Smooth Transition Autoregressive Model; Heteroskedastic Variance; Bubbles

引  言

资产价格泡沫的检验一直都是备受争议而充满挑战的话题，尽管已经存在多种检验方法，但不同的方法往往得出不同甚至完全相反的结论。Gürkaynak（2008）对泡沫检验的计量方法做了较为完整的综述，包括方差界检验（Shiller，1981；LeRoy 和 Porter，1981）、West（1987）二步法检验，Diba和Grossman（1988）基于单位根-协整检验方法、Froot和Obstfeld（1991）提出的内在泡沫（intrinsic bubble）检验等。然而，正如Gürkaynak所言，泡沫的检验仍然是个充满争议的话题，即使对于同一个问题，用一种方法得出不存在泡沫的结论用另一种方法又可能得出完全相反的结论。