報告題目：Estimation for Double-Nonlinear Cointegration
報 告 人：姚琦偉教授 倫敦政治經濟學院
報告時間：2020年6月11日 16:00-17:00
報告地點：騰訊會議 ID：729 871 310
密碼: 0611
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校内聯系人：朱複康 fzhu@jlu.edu.cn
報告摘要：
In recent years statistical inference for nonlinear cointegration has attracted attention from both academics and practitioners. This paper proposes a new type of cointegration in the sense that two univariate time series y(t) and x(t) are cointegrated via two (unknown) smooth nonlinear transformations. More precisely, it holds that G(y(t), b)=g(x(t))+u(t), where $G(., beta)$ is strictly increasing and known up to an unknown parameter b, $g(.)$ is unknown and smooth, x(t) is I(1), and $u(t)$ is the stationary disturbance. This setting nests the nonlinear cointegration model of Wang and Phillips (2009) as a special case with G(y, b)=y. It extends the model of Lindon et al (2008) to the cases with a unit-root nonstationary regressor. Sieve approximations to the smooth nonparametric function g are applied, leading to an extremum estimator for b and a plugging-in estimator for g(.). Asymptotic properties of the estimators are established, revealing that both the convergence rates and the limiting distributions depend intimately on the properties of the two nonlinear transformation functions. Simulation studies demonstrate that the estimators perform well even with small samples. A real data example on the environmental Kuznets curve portraying the nonlinear impact of per-capita GDP on air-pollution illustrates the practical relevance of the proposed double-nonlinear cointegration. (Joint work with Yingqian Lin and Yundong Tu.)
報告人簡介：
姚琦偉教授，倫敦政治經濟學院 (London School of Economics and Political Sciences) 統計系教授，英國皇家統計學會會士，美國統計協會會士，數理統計學會會士，國際統計研究學會選舉會員。姚琦偉教授是國際知名的統計學家，一直從事統計學的教學和科研工作，主要研究領域為：時間序列分析、時空過程分析、金融計量經濟學。他在非線性和高維時間序列方面的研究國際領先。姚琦偉教授迄今已發表學術論文80多篇， 并獲得EPSRC, BBSRC等英國國家基金會支持的多項研究基金項目。其專著《非線性時間序列：非參數及參數方法》（與範劍青合著）于2003年由Springer出版，《計量金融簡要》（與範劍青合著）于2017年由劍橋出版社出版。姚琦偉教授已擔任包括Annals of Statistics、Journal of the American Statistics Association、Journal of the Royal Statistical Society Series B等多個頂級雜志副主編，并曾任 Statistica Sinica的聯合主編。姚琦偉教授還曾為巴克萊銀行、法國電力公司以及Winton資本等多家企業提供咨詢。
