上确界ADF方法在农产品市场泡沫检验中的应用:文献综述被引量：1

SADF Test and Its Application in Testing Bubble Existing in Agricultural Commodity Market:Literature Review

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摘要概述了泡沫检验的理论基础和上确界ADF方法的实施步骤,对该方法在价格泡沫检验中的应用进行了综述,尤其重点综述了该方法在农产品价格泡沫检验中的应用。指出上确界ADF方法的特点:在向前递归回归的基础上集合右尾单位根检验对周期性破灭的价格泡沫进行检验;对于临界值,既可以采用保守的计算方式得到,也可以灵活地通过仿真模拟得到;在递归回归过程中,由向前递归发展到向前和向后递归方式。 This paper summarizes the bubble test theory and SADF procedure.Then it reviews the application of SADF method in testing the existence of price bubble,especially in agricultural commodity market.And it draws the conclusion：SADF is a new bubble test procedure and is mainly based on the recursive and rolling implementation of right-side unit root tests;critical value could be obtained by traditional calculation formula and Monte-Carlo simulation,which needs the recursive regress procedure change from a forward regress to a backward one.

作者王燕青王晓蜀武拉平

机构地区中国农业大学经济管理学院石河子大学商学院

出处《技术经济》 CSSCI 北大核心 2016年第3期109-115,共7页 Journal of Technology Economics

基金农业部2015年农业农村资源等监测统计(农业信息预警)项目(K638)的阶段性研究成果

关键词价格泡沫上确界ADF检验农产品价格 price bubble SADF test agricultural commodity price

分类号 F323.7 [经济管理—产业经济] F224 [经济管理—国民经济]

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