论文标题
检测多元混合因果关系模型中的常见气泡
Detecting common bubbles in multivariate mixed causal-noncausal models
论文作者
论文摘要
本文提出了研究单个系列中观察到的气泡模式是否在各种系列中共有的方法。我们使用最近的混合因果模型检测非线性动力学。研究了可能性比率测试和信息标准，前者在我们的蒙特卡洛模拟中表现更好。尽管有些系列看起来非常相似，但我们对三种商品价格实施我们的方法，我们找不到共同点的证据。
This paper proposes methods to investigate whether the bubble patterns observed in individual series are common to various series. We detect the non-linear dynamics using the recent mixed causal and noncausal models. Both a likelihood ratio test and information criteria are investigated, the former having better performances in our Monte Carlo simulations. Implementing our approach on three commodity prices we do not find evidence of commonalities although some series look very similar.
