【主 题】Uniform and Lp Convergences for Nonparametric Continuous Time Regressions with Semiparametric Applications
【报告人】步瑞俊（副教授，英国利物浦大学）
【时 间】2023年12月28日周四13:30 - 15:00
【地 点】经济学院701会议室
【语 言】英文
【摘 要】We obtain uniform and Lp convergence rates of kernel type nonparametric estimators for the instantaneous conditional mean and variance functions of continuous time regressions, where the regressor is assumed to be a general recurrent diffusion. Our asymptotics are developed under a general set-up, with a shrinking sampling interval and an increasing time span, and without the stationarity assumption. Based on our convergence results, we develop a semiparametric inferential procedure for continuous time predictive regressions. In particular, a robust semiparametric likelihood ratio test for linear predictability is proposed, with its limit distribution established. We also apply our convergence results to obtain the asymptotics of a semiparametric maximum likelihood estimator of the drift of recurrent diffusions. In our simulation study, we examine the finite sample performance of our robust test against several existing tests in the literature. An empirical illustration is presented to test the predictability of the excess returns of two major stock indices using the commonly used dividend-price ratio and earnings-price ratio as the predictor.
【报告人简介】Ruijun Bu is a Reader in Econometrics at University of Liverpool Management School. His research interests include financial econometrics, non-/semi-parametric statistics, empirical finance, and energy economics. He has published in Journal of Econometrics, Journal of Financial Econometrics, European Journal of Operational Research, Econometrics Journal, International Journal of Forecasting, Journal of Time Series Analysis, Journal of Empirical Finance, International Journal of Financial Markets, Institutions and Money, Energy Economics, and so on. He is currently an Associate Editor of Economic Modelling. He has led several research projects funded by the UK’s British Academy (BA) and Economic and Social Research Council (ESRC).
