CAJ | 학술논문

蒙特卡洛分析显示，Phillips等（2011）提出的supADF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等（2003）关于单位根检验的思想，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：supKSS检验。与supADF检验相比，supKSS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。
몽특잡락분석현시，Phillips등（2011）제출적supADF포말검험방법대우동항적이방차교위민감，우기시당우동항방차접근비평은시존재엄중적척도뉴곡，경향우과도거절불존재포말적원가설。동시，대우Evans（1991）주기성파멸적포말，당포말파멸적개솔증가시，sup ADF검험적검험세하강교쾌。본문결합Kapetanios등（2003）관우단위근검험적사상，재지수평활전이모형적광가하제출료일충신적포말검험방법：supKSS검험。여supADF검험상비，supKSS검험대우우동항적이방차유일정적개진，동시대우주기성파멸적포말화지수평활전이포말구유교은건적검험세。
Phillips et al. （2011） propose a new econometric methodology for testing financial bubbles by a right tailed sup ADF test. The results of Monte Carlo simulations show that sup ADF test is vulnerable to conditionall heteroske- dastic innovations, leading to severe over-rejecting of no bubble hypothesis. More- over, the testing power of sup ADF for periodically collapsing bubbles proposed by Evans （1991） decreases substantially as the bubble collapsing probability increases. We extend Phillips＇s idea into an ESTAR framework proposed by Kapetanios （2003） to test for bubbles. Sup KSS test proposed in this paper allows for time-va- rying coefficients and indigenizes the explosive behavior of bubbles. Compared with sup ADF test, sup KSS test is less sensitive to heteroskedastic innovations. Moreo- ver, using data generated from Evans, periodically collapsing bubbles and expo- nential smooth transition bubble processes that sup KSS test obtains more robust testing powers.