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英文文献：Testing for Explosive Bubbles in the Presence of Autocorrelated Innovations-在存在自相关创新的情况下测试爆炸气泡
英文文献作者：Thomas Quistgaard Pedersen,Erik Christian Montes Schütte
英文文献摘要：
We analyze an empirically important issue with the recursive right-tailed unit root tests for bubbles in asset prices. First, we show that serially correlated innovations, which is a feature that is present in most financial series used to test for bubbles, can lead to severe size distortions when using either fixed or automatic (based on information criteria) lag-length selection in the auxiliary regressions underlying the test. Second, we propose a sieve-bootstrap version of these tests and show that this results in more or less perfectly sized test statistics even in the presence of highly autocorrelated innovations. We also find that these improvements in size come at a relatively low cost for the power of the tests. Finally, we apply the bootstrap tests on the housing market of OECD countries, and generally find less strong evidence of bubbles compared to existing evidence.
我们分析了资产价格泡沫的递归右尾单位根检验的一个重要的经验问题。首先，我们表明，当在测试的辅助回归中使用固定或自动(基于信息标准)滞后长度选择时，串行相关的创新(这是大多数用于测试泡沫的金融系列中都存在的特征)会导致严重的尺寸扭曲。其次，我们提出了这些测试的siev -bootstrap版本，并表明，即使存在高度自相关的创新，这也会产生或多或少完全大小的测试统计量。我们还发现，这些尺寸上的改进是以相对较低的成本来实现测试的威力。最后，我们对经济合作与发展组织(OECD)国家的房地产市场进行了bootstrap测试，发现与现有证据相比，泡沫的证据普遍不那么有力。
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