资产价格时间序列的BLS结构突变点检验及其对历史研究的意义

对于计量经济学分析方法在历史研究中的应用,学界有不同的观点。在资产价格时间序列中寻找突变点的BLS方法为我们提供了观察历史的新视角和新工具,在历史研究方法论上具有重要意义,它一方面可以解除先验主义的束缚更逼近"真实历史",使历史研究更加客观;另一方面可以通过资产价格承载的信息"经验到过去",更好地把握当时创造历史的人们内在的生命、欲望、情感、意志和思维。

BLS: Estimate Structural Breaks in Time Series of Financial Prices and Its Significance in Historical Analysis

We introduce the BLS method as a way to estimate structural breaks in time series of financial prices,review significant papers concerning finding turning points out of historical events using this method,and compare the viewpoints of traditional historians with the use of this method.The BLS method plays an important role in advancing historical research methodology,it not only frees historical analysis from transcendentalism to picture a more sophisticated vision of real history,makes the historical research more objective,but also "puts experiences back into past" because asset prices on capital market have covered the desires,consciousness and judgments of the market participants.The BLS method has a positive impact on historical research,and gives new angle to explain history.