高等经济研究院教师论文被国际权威经济学期刊接收发表

2023年12月18日

近日，高等经济研究院副教授吕耀廉与耶鲁大学Sterling经济学教授Peter C.B. Phillips、澳门大学经济及金融学讲席教授余俊合作的论文 “Robust Testing for Explosive Behavior with Strongly Dependent Errors” 被经济学领域权威期刊 Journal of Econometrics 接收发表。

该论文提出了一种异方差自相关稳健（HAR）检验统计量，用于检验当误差项在自回归模型具有强相关性时，金融或实资产价格中是否存在爆炸性。该论文推导了检验统计量的极限分布并扩展到异方差模型。传统的检验统计通常会在强相关误差项的情况下存在过大的第一类错误和不一致性。新方法可在强相关误差项下对理性泡沫的开始和结束时间进行一致估计。蒙地卡罗实验反映论文提出的新方法有良好的小样本表现。对标准普尔500指数的实证应用凸显了新方法的实用性。

Associate Professor Yiu Lim LUI's Paper Accepted for Publication in Journal of Econometrics

Dec. 18, 2023

Yiu Lim LUI, IAER Associate Professor, had his paper accepted for publication in Journal of Econometrics recently. Entitled "Robust Testing for Explosive Behavior with Strongly Dependent Errors", the paper was co-authored with Prof. Peter C.B. Phillips, Sterling Professor of Economics at Yale University and Prof. Jun Yu, Chair Professor of Finance and Economics at University of Macau.

A heteroskedasticity-autocorrelation robust (HAR) test statistic is proposed to test for the presence of explosive roots in financial or real asset prices when the equation errors are strongly dependent. Limit theory for the test statistic is developed and extended to heteroskedastic models. The new test has stable size properties unlike conventional test statistics that typically lead to size distortion and inconsistency in the presence of strongly dependent equation errors. The new procedure can be used to consistently time-stamp the origination and termination of an explosive episode under similar conditions of long memory errors. Simulations are conducted to assess the finite sample performance of the proposed test and estimators. An empirical application to the S&P 500 index highlights the usefulness of the proposed procedures in practical work.