条件异方差模型资产价格泡沫检验量White调整研究

White Adjustment for Asset Price Bubble Test with Conditional Heteroscedasticity Model

以扰动项服从GARCH(1,1)模型单位根过程为研究对象,引入异方差White调整模式构建资产价格泡沫检验量。理论研究表明,在大样本下,异方差White调整后检验量分布与非调整检验量分布相同;模拟显示异方差White调整检验量水平扭曲程度最低,在大样本下也具有满意的检验功效。实证研究证实使用异方差White调整检验量的必要性和合理性。

This paper constructs the asset price bubble tests with heteroscedasticity White adjustment for the unit root data process where the error follows a generalized autoregressive conditional heteroskedastic process with order one.Theoretical research shows that the distribution of tests with heteroscedasticity White adjustment shares the same distribution with that of non adjusted in large samples.Simulation shows the heteroscedasticity White adjustment tests both has the lowest level of distortion and the satisfactory test power in large samples.Empirical research shows the necessity and rationality of using heteroscedasticity White adjustment to the test.The theoretical contribution of this paper is the derivation of the distribution for heteroscedasticity White adjustment test,which provides a new way for testing whether the asset price with heteroscedastic structure produced by disturbance has bubbles.