题目：A simple solution of the spurious regression problem
主讲人：王馨徽，台湾新竹清华大学 教授
时间：12月15日（星期四）上午10：00
地点：新主楼A1038
主持人：杨继平 教授
报告摘要:
This paper develops a new estimator for cointegrating and spurious regressions by applying a two-stage generalized Cochrane-Orcutt transformation based on an autoregressive approximation framework, even though the exact form of the error term is unknown in practice. We prove that our estimator is consistent for a wide class of regressions. We further show that a convergent usual t-statistic based on our new estimator can be constructed for the spurious regression cases analyzed by Granger and Newbold (1974) and Granger et al. (2001). The implementation of our estimator is easy since it does not necessitate estimation of the long-run variance. Simulation results indicate that the finite sample performance of the new estimator is strong even in sample sizes as small as 50 observations and in a more general framework including multiple regressors and endogeneity.
报告人简介：
王馨徽(Shin-Huei Wang)，现任台湾清华大学计量财务金融学系副教授，美国南加州大学经济博士，获财团法人杰出人才基金会“年轻学者创新奖”，曾在伦敦政治经济学院、伊利诺伊大学香槟分校、南加州大学、比利时新鲁汶大学等大学访问和工作。研究方向为时间序列分析、投资组合管理、资产定价。研究主题灵感主要来自于从事交易员工作时的实际操盘经验，深知设计即时金融危机追踪机制和相应的资产配置调整的重要性。发表论文主要通过计量模型和统计方法，设计即时追踪和预测系统以便测试资料的即时变化，相关论文已在Journal of Econometrics，Journal of Time Series Econometrics等国际顶级期刊发表。近年来也关注人民币是否被低估及各国货币关系两大问题，相关研究结果也已在国际期刊发表。
437必赢会员中心科研办
2016-12-07
