數量經濟學研討會

題目：Limit theory and Inference in Non-Cointegrated Functional Coefficient Regression

主講人：王瑩博士 奧克蘭大學博士后

時間：2019年12月24日下午14:00-15:00

地點：明德主樓623

摘要：

Functional coefficient (FC) cointegrating regressions offer empirical investigators flexibility in modeling economic relationships by introducing covariates that influence the direction and intensity of comovement among nonstationary time series. FC regression models are also useful when formal cointegration is absent, in the sense that the equation errors may themselves be nonstationary, but where the nonstationary series display well-defined FC linkages that can be meaningfully interpreted as correlation measures involving the covariates. The present paper proposes new nonparametric estimators for such FC regression models where the nonstationary series display linkages that enable consistent estimation of the correlation measures between them. Specifically, we develop root-n-consistent estimators for the functional coefficient and establish their asymptotic distributions, which involve mixed normal limits that facilitate inference. Two novel features that appear in the limit theory are (i) the need for non-diagonal matrix normalization due to the presence of stationary and nonstationary components in the regression; and (ii) random bias elements that appear in the asymptotic distribution of the kernel estimators, again resulting from the nonstationary regression components. Numerical studies reveal that the proposed estimators achieve significant efficiency improvements compared to the estimators suggested in recent work by Sun et al. (2011). Easily implementable specification tests with standard chi-square asymptotics are suggested to check for constancy of the functional coefficient. These tests are shown to have faster divergence rate under local alternatives and enjoy superior performance in simulations than tests proposed recently in Gan et al. (2014).

主講人簡介：

王瑩，2017年博士畢業于北京大學光華管理學院商務統計與經濟計量系，隨后在奧克蘭大學師從Peter Phillips進行博士后工作。她的主要研究興趣為理論計量、應用計量和金融計量。她的研究工作已經發表在Econometric Reviews和Oxford Bulletin of Economics and Statistics等期刊上，且有多篇論文在計量經濟學期刊Journal of Econometrics的修改過程中。

數量經濟教研室

中國人民大學經濟學院

2019年12月

供稿：章永輝；編輯：楊菲