演講者簡介 : Prof. Werner Ploberger為Ph.D., University of Technological Sciences Wien (1991)。
現為Professor，University of Rochester。
其主要研究領域為Econometrics 。
演講摘要 : We propose a new class of tests for the stability of parameters. We cover the class of Hamilton models, where regime changes are driven by an unobservable Markov chain. We derive a class of information matrix-type tests and show that they are equivalent to the likelihood ratio test. Hence, our tests are asymptotically optimal. Moreover these tests are easy to implement as they do not require the estimation of the model under the alternative. They are also very general. Indeed, the underlying process driving the regime changes may have a finite or continuous state space, as long as it is exogenous. The model itself need not be linear. It may be a GARCH model, for instance.
We use this test to investigate the presence of rational collapsing bubbles in stock markets. Using US data, we find evidence in favor of nonlinearities, which are consistent with periodically collapsing bubbles.
