【统计学论坛】Introduction to Nonlinear Cointegrating Regression

Time (时间): Dec 14 – 15 2015, 1pm – 3pm

Title (题目): Introduction to Nonlinear Cointegrating Regression

Location (地点): 伟清楼209 (Center for Statistical Science, Tsinghua University)

Speaker (报告人): Qiying Wang, University of Sydney

Abstract (摘要):

The past decade has witnessed great progress in the development of nonlinear cointegrating regression. Unlike linear cointegration and nonlinear regression with stationarity where the traditional and classical methods are widely used in practice, estimation and inference theory in nonlinear cointegrating regression produce new mechanisms involving local time, a mixture of normal distributions and stochastic integrals. This lecture aims to introduce the machinery of the theoretical developments in nonlinear cointegrating regression, providing up-to-date results on convergence to local time, extended martingale limit theorems and weak convergence to stochastic integrals for econometric applications.

About the speaker (报告人介绍)
Qiying Wang is an Associate Professor in School of Mathematics and Statistics, University of Sydney, Australia. His interest focuses on Nonstationary time series econometrics, Financial Econometrics, Nonparametric statistics, Econometric theory and Self-normalized limit theory. Professor Wang has achieved many important results in Statistics, Probability theory and Econometrics and published a series of papers in top journals, such as Econometrica, Journal of Econometrics, Econometric Theory, Annals of Statistics, Annals of Probability, etc.