Testing for a bubble with a stochastically varying explosive coefficient
本文提出一种联合拒绝策略，结合递归右尾ADF检验和随机单位根检验，用于检测具有随机爆炸系数的泡沫模型，模拟显示该方法在多数情况下接近最优。
In this article, we test for a bubble in a model with a random explosive autoregressive coefficient. We consider two local alternatives and find that versions of recursive stochastic unit root tests are more powerful when facing a randomly explosive process than the recursive right‐tailed ADF tests, whereas the latter performs better in a model with a non‐stochastic coefficient. We then propose the union of rejections strategy using the recursive right‐tailed ADF and stochastic unit root tests. We examine the finite sample properties of the proposed tests using Monte Carlo simulations and observe that the test based on the union of rejections strategy is the second‐best, and its power is close to the best one in most cases.