学术校庆“名家讲坛”系列学术报告会—Additive nonparametric models with time variable and both stationary and nonstationary regressors 带时间变量的可加非参数模型以及平稳和非平稳状态的回归估计
通讯员:  发布人:沈彤  发布时间:2018-05-15   浏览次数:10

中南财经政法大学学术校庆名家讲坛系列学术报告会

讲座题目:Additive nonparametric models with time variable and both stationary and nonstationary regressors 带时间变量的可加非参数模型以及平稳和非平稳状态的回归估计
主讲人:董朝华(西南财经大学教授)

讲座时间:2018518日下午15:00-16:30

讲座地点:文波楼四楼统计与数学学院会议室


内容摘要: This paper considers nonparametric additive models that have a deterministic time trend and both stationary and integrated variables as components. The diverse nature of the regressors caters for applications in a variety of settings. In addition, we extend the analysis to allow the stationary regressor to be instead locally stationary, and we allow the models to include a linear form of the integrated variable. Heteroscedasticity is allowed for in all models. We propose an estimation strategy based on orthogonal series expansion that takes account of the different type of stationarity/nonstationarity possessed by each covariate. We establish pointwise asymptotic distribution theory jointly for all estimators of unknown functions and also show the conventional optimal convergence rates jointly in the L2 sense. In spite of the entanglement of different kinds of regressors, we can separate out the distribution theory for each estimator. We provide Monte Carlo simulations that establish the favourable properties of our procedures in moderate sized samples. Finally, we apply our techniques to the study of a pairs trading strategy. 


                                                                                            统计与数学学院

                                                                                              2018年5月15日

主讲人简介:

    董朝华博士,现为西南财经大学经济学院教授、博士生导师,2011年获澳大利亚阿德莱德大学经济学博士学位,2012年至2015年在澳大利亚莫纳什大学计量经济与商业统计系从事博士后研究。主要研究方向包括计量经济学,面板数据模型,时间序列分析,非参数与半参数方法,微观计量应用等。他是国际期刊Cogent Mathematics and Statistics 编辑,以及Annals of Statistics, Journal of time series analysisJournal of econometrics, Journal of nonparametric statistics, Journal of testing and evaluation等期刊的匿名审稿人。他在统计学和计量经济学的国际著名期刊Annals of StatisticsStatistica Sinica, Journal of Econometrics, Econometric TheoryEconometric Reviews等上发表多篇学术论文,此外他还出版1部专著《金融数学:衍生证券定价原理》和正在主持1项国家自然科学基金面上项目。