讲座时间:2021年5月6日下午14:00
讲座地点:800全讯白菜官方网站(6号楼)313会议室
主讲人:吴吉林 教授
主持人:王正新 教授
讲座主题:A Nonparametric Test for Instantaneous Causality with Time-varying Variances
摘要:This paper proposes a consistent U-statistic test with good sampling properties to detect instantaneous causality between vector autoregressive (VAR) variables with time-varying variances. We show that the test has a limiting standard normal distribution under the null, and is powerful against various alternatives that deviate from the null. Specifically, the test has an asymptotic unit power against local alternatives approaching the null. We also propose a wild bootstrap procedure to better approximate the finite sample null distribution of the test statistic. Monte Carlo experiments are conducted to highlight the merits of the proposed test relative to other popular tests in finite samples. Finally, we apply this new test to investigate the instantaneous causality relationship between the money supply and the inflation rates in the USA.
主讲人简介:吴吉林,男,1979年生,浙江安吉人,中国民建党党员, 2010年博士毕业于厦门大学王亚南经济研究院,现为厦门大学800全讯白菜官方网站金融系、王亚南经济研究院教授,博士生导师,“闽江学者奖励计划”特聘教授,曾任山东大学教授,博士生导师,并曾入选山东大学齐鲁青年学者。主要研究领域为金融计量理论与实证应用。在 Journal of Time Series Analysis 、 Econometrics Journal、 Economics Letters 、《经济学季刊》、《世界经济》、《数量经济技术经济研究》、《统计研究》、《管理科学学报》、《系统工程理论与实践》等国内外重要期刊上发表论文多篇。作为项目负责人主持包括国家自然科学基金、教育部人文社科基金等在内的多项课题。