英文文献：Some econometric results for the Blanchard-Watson bubble model-布兰查德-沃森泡沫模型的一些计量结果
英文文献作者：S?ren Johansen,Theis Lange
英文文献摘要：
The purpose of the present paper is to analyse a simple bubble model suggested by Blanchard and Watson. The model is defined by y(t) =s(t)?y(t-1)+e(t), t=1,…,n, where s(t) is an i.i.d. binary variable with p=P(s(t)=1), independent of e(t) i.i.d. with mean zero and finite variance. We take ?>1 so the process is explosive for a period and collapses when s(t)=0. We apply the drift criterion for non-linear time series to show that the process is geometrically ergodic when p

本文的目的是分析由Blanchard和Watson提出的一个简单的气泡模型。模型定义为y(t) =s(t)?y(t-1)+e(t)， t=1，…，n，其中s(t)是一个i (t)二元变量，p= p (s(t)=1)，不受e(t) i (t) i.i.d.的影响，均值为零，方差有限。我们取?>1，所以这个过程在一段时间内是爆炸性的，当s(t)=0时就崩溃了。应用非线性时间序列的漂移判据，证明了该过程具有几何遍历性