題目：Adaptive Estimation of Functional-coefficient Cointegration Models with Nonstationary Volatility
主講人：涂云東 助理教授 （北京大學(xué)）
時間：2016年12月21日（周三）10:00-12:00
地點(diǎn)：主樓418會議室
主講人介紹：
涂云東，北京大學(xué)光華偉德國際1946bv官網(wǎng)商務(wù)統(tǒng)計(jì)與經(jīng)濟(jì)計(jì)量系和北京大學(xué)統(tǒng)計(jì)科學(xué)中心聯(lián)席助理教授，研究員。2012年獲美國加州大學(xué)河濱分校經(jīng)濟(jì)學(xué)博士學(xué)位，同年6月加入北大光華。學(xué)術(shù)論文發(fā)表在Journal of Econometrics, Econometric Reviews, Journal of Business and Economic Statistics, Statistica Sinica等國際一流專業(yè)雜志。理論研究領(lǐng)域涵蓋非參數(shù)/半?yún)?shù)計(jì)量經(jīng)濟(jì)模型，模型選擇和模型平均，網(wǎng)絡(luò)數(shù)據(jù)建模，金融計(jì)量，信息計(jì)量經(jīng)濟(jì)學(xué)，模型設(shè)定檢驗(yàn)等；應(yīng)用研究包含宏觀經(jīng)濟(jì)預(yù)測，價格指數(shù)建模，網(wǎng)絡(luò)數(shù)據(jù)分析，股票市場預(yù)測，生產(chǎn)率建模等。
內(nèi)容簡介：
This paper analyzes functional-coefficient cointegration models with nonstationary (unconditional) volatility of a general form. The kernel weighted least squares (KLS) estimator of Xiao (2009) is subject to potential efficiency loss, and can be improved by an adaptive kernel weighted least squares (AKLS) estimator that adapts to heteroscedasticity of unknown form. The AKLS estimator is shown to be as efficient as the generalized kernel weighted least squares estimator asymptotically, and can achieve significant efficiency gain relative to the KLS estimator in finite samples. An illustrative example is provided by investigating the purchasing power parity hypothesis.
（承辦：國際貿(mào)易與金融系，科研與學(xué)術(shù)交流中心）
