时间：2019年10月15日（星期二），15:00-16:30

地点：北京师范大学后主楼1610

报告人：刘彦伯（新加坡管理大学经济学院博士研究生）

报告题目：Sieve Inference for Functional Local-to-unity Process with Applications in China’s Real Estate Market

Abstract：This paper discusses a nonparametric model with functional deviations from unit roots. The autoregressive coefficients are modeled by smooth functions varying over time. We propose a sieve procedure based on orthogonal trigonometric polynomials. The consistency of the estimator is obtained with a novel asymptotic theory. A Wald-type specification test against stable parameter model is established based on panel autoregressions. Monte Carlo simulations demonstrate the excellent finite sample behaviors. Finally, we apply the model specification tests to China’s real estate market and obtain significant evidence for time-varying annual growth rates.

报告人简介

刘彦伯，新加坡管理大学经济学院博士候选人，博士导师为Peter C.B. Phillips和Jun Yu教授。刘彦伯于2012年及2015年在北京师范大学文学院获得文学学士、文学硕士学位；于2015年在北京大学中国经济研究中心获得经济学学士学位。他的主要研究方向为金融计量经济学、非参数计量经济学和机器学习方法。