A Simple Test for Explosive Behavior with Strongly Dependent Errors
| 主讲人 |
Xiaohu Wang |
简介 |
<p>Right-tailed unit root tests based on the LS statistics of the autoregressive (AR) root have been widely applied to detect explosive behavior in financial time series. The conventional asymptotic theory for the AR regression with a fractionally integrated error sequence of order d ∈ (−1/2, 1/2) undergoes a drastic change when d crosses from one side of zero to the other. Hence, a small misspecification of the differencing order may lead to opposite testing conclusions. This paper first introduces a local fractional process by setting d = θ/log(T), where θ is a constant and T denotes the sample size. In this setup, we develop a new asymptotic theory for the LS estimator of the AR root. The derived asymptotic distribution is a function of θ, which varies continuously as θ moves across zero and includes the conventional Dickey-Fuller distribution as a special case when θ = 0. We then propose a revised LS statistic whose asymptotic distribution is free from any nuisance parameter. The proposed statistic provides great convenience for conducting right-tailed unit root tests against explosive behavior. Extensive simulation studies have been conducted to examine the finite sample performance of the proposed test. In empirical studies, the proposed test successfully detects explosive behaviors in the time series data for the 10-year U.S. Treasury yield and the S&P 500 index. </p> |
| 时间 |
2026-05-20 (Wednesday) 16:40-18:00 |
地点 |
Room N302, Economics Building |
| 讲座语言 |
English |
主办单位 |
厦门大学经济学院、王亚南经济研究院、邹至庄经济研究院 |
| 承办单位 |
厦门大学经济学院、王亚南经济研究院、邹至庄经济研究院 |
类型 |
系列讲座 |
| 联系人信息 |
林老师 2180723 yurenlin@xmu.edu.cn |
主持人 |
Nianqing Liu |
| 专题网站 |
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专题 |
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| 主讲人简介 |
<p>Xiaohu Wang is Professor and Doctoral Supervisor at the School of Economics, Fudan University, and Director of the Fudan-Allianz Research Center for Finance and Insurance. He is a recipient of the National Outstanding Young Talent Program, Shanghai Dawn Scholar Program, and Shanghai Pujiang Talent Program. His research focuses primarily on financial econometrics and financial asset pricing. He has published extensively in leading academic journals, including <em>Journal of Econometrics, The Econometrics Journal, Econometric Reviews, Journal of International Money and Finance</em>, and <em>Economics Letters</em>. He currently serves as an Editor of <em>World Economic Papers</em>.</p> |
期数 |
高级计量经济学与统计学系列讲座2026年春季学期第十讲（总203讲） |
