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汉青贝博体育app网址第326期: 5月12日胡博助理教授
浏览次数: 次  | 发布时间:2021-05-07


本期主题: Econometric Analysis of Functional Dynamics in the Presence of Persistence


We introduce an autoregressive model for functional time series with unit roots. The autoregressive operator can be consistently estimated, but its convergence rate and limit distribution are different in different subspaces. In the unit root subspace, the convergence rate is fast and given by $T$, while the limit distribution is nonstandard and represented as functions of Brownian motions. Outside the unit root subspace, however, the limit distribution is Gaussian, although the convergence rate varies and is given by $\ sqrt{T}$ or a slower rate. The predictor based on the estimated autoregressive operator has a normal limit distribution with a reduced rate of convergence. We also provide the Beveridge-Nelson decomposition, which identifies the permanent and transitory components of functional time series with unit roots, representing persistent stochastic trends and stationary cyclical movements, respectively. Using our methodology and theory, we analyze the time series of yield curves and study the dynamics of the term structure of interest rates.

报告人:胡博助理教授, 北京大学新结构经济学研究院

时间:512日(周三 12:15