Asymptotic properties of bubble monitoring tests
研究了泡沫监测检验的渐近性质，将现有sup-ADF和广义sup-ADF检验扩展到监测框架，并推导了CUSUM检测器在零假设和不同备择假设下的极限分布，通过模拟验证了局部渐近理论对有限样本性质的近似效果。
We investigate bubble monitoring tests by extending the existing sup-ADF and generalized sup-ADF tests to the monitoring scheme. We also consider applying the CUSUM detector as proposed in the literature. We derive the limiting distributions of the detecting statistics under the null hypothesis, the moderate deviation alternative, and the local alternative. We find that although the moderate deviation alternative shows the difference in the divergence rates of the ADF- and CUSUM-type detectors, the local asymptotic theory is more useful for understanding their differences in detail. We also conduct finite sample simulations and confirm that the local asymptotic theory approximates the finite sample properties of the tests very well.