英文标题：
《Time-Transformed Test for the Explosive Bubbles under Non-stationary
Volatility》
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作者：
Eiji Kurozumi, Anton Skrobotov, Alexey Tsarev
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最新提交年份：
2021
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英文摘要：
This paper is devoted to testing for the explosive bubble under time-varying non-stationary volatility. Because the limiting distribution of the seminal Phillips et al. (2011) test depends on the variance function and usually requires a bootstrap implementation under heteroskedasticity, we construct the test based on a deformation of the time domain. The proposed test is asymptotically pivotal under the null hypothesis and its limiting distribution coincides with that of the standard test under homoskedasticity, so that the test does not require computationally extensive methods for inference. Appealing finite sample properties are demonstrated through Monte-Carlo simulations. An empirical application demonstrates that the upsurge behavior of cryptocurrency time series in the middle of the sample is partially explained by the volatility change.
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中文摘要：
本文致力于在时变非平稳波动下测试爆炸性气泡。由于开创性的Phillips et al.（2011）测试的极限分布取决于方差函数，并且通常需要在异方差下实现自举，因此我们基于时域的变形构造测试。所提出的检验在零假设下是渐近关键的，其极限分布与同构下的标准检验一致，因此该检验不需要计算广泛的推理方法。通过蒙特卡罗模拟证明了有限样本的吸引力。一个实证应用表明，样本中间加密货币时间序列的激增行为部分是由波动率变化解释的。
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分类信息：

一级分类：Economics 经济学
二级分类：Econometrics 计量经济学
分类描述：Econometric Theory, Micro-Econometrics, Macro-Econometrics, Empirical Content of Economic Relations discovered via New Methods, Methodological Aspects of the Application of Statistical Inference to Economic Data.
计量经济学理论，微观计量经济学，宏观计量经济学，通过新方法发现的经济关系的实证内容，统计推论应用于经济数据的方法论方面。
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