數(shù)量經(jīng)濟(jì)學(xué)研討會(huì)

【201308】

報(bào)告題目：Limit Theory of Restricted Maximum Likelihood Ratio Test in Predictive Regression

報(bào)告人：陳燁

報(bào)告時(shí)間：2013年12月31日下午12:30-13:30

報(bào)告地點(diǎn)：明德主樓729

內(nèi)容簡介：

Chen et al. (2013) provide the limit distribution of quasi restricted maximum likelihood ratio test (QRLRT), based on the weighted least squares approximation of the restricted likelihood (WLSRL). Their result shows that the limit distribution of QRLRT is well approximated by λ?(1) when the predictor follows a stationary, local to unity, mildly unit root or unit root process. In this paper, we first provide the limit distribution of restricted maximum likelihood ratio test (RLRT) based on its Taylor series expansion. This expansion formula also helps to develop the limit distribution of RLRT in more general cases, such as multivariate predictors. Further, we explore the role of intercept term in predictive regression for both estimation and inference. It is worthy noticing that the RLRT by Chen and Deo (2009) fails if the true data generating process of the predictor has an intercept. We provide an explanation for this point based on the localizing drift specification (Phillips et al. 2013).

報(bào)告人簡介：

陳燁，新加坡管理大學(xué)經(jīng)濟(jì)學(xué)博士候選人。她的主要研究方向?yàn)?span style="FONT-FAMILY: `Times New Roman`; FONT-SIZE: 12pt; mso-spacerun: `yes`">Financial Econometrics, Econometric Theory 和 Forecasting.

中國人民大學(xué)經(jīng)濟(jì)學(xué)院數(shù)量經(jīng)濟(jì)教研室

中國人民大學(xué)運(yùn)籌學(xué)與數(shù)量經(jīng)濟(jì)研究所

2013年12月

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