数量经济学研讨会

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

主讲人：王莹博士 奥克兰大学博士后

时间：2019年12月24日下午14:00-15:00

地点：明德主楼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).

主讲人简介：

王莹，2017年博士毕业于北京大学光华管理学院商务统计与经济计量系，随后在奥克兰大学师从Peter Phillips进行博士后工作。她的主要研究兴趣为理论计量、应用计量和金融计量。她的研究工作已经发表在Econometric Reviews和Oxford Bulletin of Economics and Statistics等期刊上，且有多篇论文在计量经济学期刊Journal of Econometrics的修改过程中。

数量经济教研室

中国人民大学经济学院

2019年12月

供稿：章永辉；编辑：杨菲