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■  時間：10月13日（周三）中午12:30-13:30

■  地點：明德主樓728

■  報告人：Liu Yanbo, School of Economics at Shandong University, assistant professor

■  主題：Robust Inference with Stochastic Local Unit Root Regressors in Predictive Regressions

This paper explores predictive regression models with stochastic unit root (STUR) components and robust inference procedures that encompass a wide class of persistent and time-varying stochastically nonstationary regressors.

The paper extends the mechanism of endogenously generated instrumentation known as IVX, showing that these methods remain valid for short and long-horizon predictive regressions in which the predictors have STUR and local STUR (LSTUR) generating mechanisms. Both mean regression and quantile regression methods are considered.

The asymptotic distributions of the IVX estimators are new and require some new methods in their derivation.The distributions are compared to previous results and, as in earlier work, lead to pivotal limit distributions for Wald testing procedures that remain robust for both single and multiple regressors with various degrees of persistence and stochastic and fixed local departures from unit roots. Numerical experiments corroborate the asymptotic theory, and IVX testing shows good power and size control. The IVX methods are illustrated in an empirical application to evaluate the predictive capability of economic fundamentals in forecasting S&P 500 excess returns.

Liu Yanbo received his Ph.D. in economics with a specialization in econometrics from Singapore Management University in 2020. He then joined the School of Economics at Shandong University as an assistant professor.

His research focuses on asymptotic developments for empirical models in financial markets, such as return predictability and asset bubbles. His research also covers 1) causal inferences with social interactions; 2) uniform inferences for financial data.