报告题目：Estimation for Double-Nonlinear Cointegration

报 告 人：姚琦伟教授 伦敦政治经济学院

报告时间：2020年6月11日 16:00-17:00

报告地点：腾讯会议 ID：729 871 310

密码: 0611

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校内联系人：朱复康 fzhu@jlu.edu.cn

报告摘要：

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.)

报告人简介：

姚琦伟教授，伦敦政治经济学院 (London School of Economics and Political Sciences) 统计系教授，英国皇家统计学会会士，美国统计协会会士，数理统计学会会士，国际统计研究学会选举会员。姚琦伟教授是国际知名的统计学家，一直从事统计学的教学和科研工作，主要研究领域为：时间序列分析、时空过程分析、金融计量经济学。他在非线性和高维时间序列方面的研究国际领先。姚琦伟教授迄今已发表学术论文80多篇， 并获得EPSRC, BBSRC等英国国家基金会支持的多项研究基金项目。其专著《非线性时间序列：非参数及参数方法》（与范剑青合著）于2003年由Springer出版，《计量金融简要》（与范剑青合著）于2017年由剑桥出版社出版。姚琦伟教授已担任包括Annals of Statistics、Journal of the American Statistics Association、Journal of the Royal Statistical Society Series B等多个顶级杂志副主编，并曾任 Statistica Sinica的联合主编。姚琦伟教授还曾为巴克莱银行、法国电力公司以及Winton资本等多家企业提供咨询。