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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
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汉青贝博体育app网址第326期:512胡博助理教授

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

摘要:

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

地点:明德主楼307


报告人简介:

胡博,北京大学新结构经济学研究院助理教授。美国印第安纳大学经济学博士,主要研究兴趣是计量经济学和宏观经济学,主要研究方向是时间序列和泛函数据分析以及它们在宏观经济学和金融学中的应用。