非高斯条件下爆炸性气泡的测试

IF 2.1 4区经济学 Q2 ECONOMICS Economics Letters Pub Date : 2023-10-05 DOI:10.1016/j.econlet.2023.111391

Hao Feng

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引用次数: 1

摘要

本文考虑了在非高斯条件下测试爆炸性泡沫的问题，这在金融数据中很常见。基于Phillips等人提出的广义增广Dickey-Fuller（GSADF）。（2015a），我们提出了一个名为QGSADF的基于分位数的版本。推导了所提出的测试的渐近分布，仿真表明，在非高斯条件下，在控制尺寸失真的前提下，新测试获得了显著的功率增益。对商品期货价格的应用表明，与GSADF测试相比，QGSADF为泡沫行为提供了更强的证据支持。

本文章由计算机程序翻译，如有差异，请以英文原文为准。

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Testing for explosive bubbles in the presence of non-Gaussian conditions

This paper considers the problem of testing explosive bubbles under non-Gaussian conditions, which are quite common in financial data. Based on the generalized sup augmented Dickey-Fuller ( $G S A D F$ ) initiated by Phillips et al. (2015a), we propose a quantile-based version named $Q G S A D F$ . The asymptotic distribution of the proposed test is derived and the simulations show that the new test obtains significant power gains under the premise of controlling size distortion under non-Gaussian conditions. The application to commodity futures prices suggests that $Q G S A D F$ provides stronger evidential support for bubble behavior than the $G S A D F$ test.

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来源期刊

Economics Letters ECONOMICS-

CiteScore

3.20

自引率

5.00%

发文量

348

审稿时长

30 days

期刊介绍： Many economists today are concerned by the proliferation of journals and the concomitant labyrinth of research to be conquered in order to reach the specific information they require. To combat this tendency, Economics Letters has been conceived and designed outside the realm of the traditional economics journal. As a Letters Journal, it consists of concise communications (letters) that provide a means of rapid and efficient dissemination of new results, models and methods in all fields of economic research.

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