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IAER Seminar 2021-14:费毅捷

报告题目:Testing Predictability in the Presence of Level Shifts

报 告 人:费毅捷

报告时间: 2021年11月12日(周五)15:30-17:00

报告地点:腾讯会议(会议ID:936 838 920)

主办单位:高等经济研究院

【报告人简介】

费毅捷,湖南大学金融与统计学院助理教授,2020年获新加坡管理大学经济学博士学位。主要研究方向为金融计量经济学和时间序列分析。曾在Economics Letters期刊发表文章。

【内容摘要】

This paper explores the impact of level shifts on inference concerning predictability. The limit distribution of the least-squares-based t-statistic that is commonly used for testing predictability is shown to depend on the magnitude of the shifts as well as the degree of persistence in the predictors. The usual t-statistic has a standard limiting normal distribution only when the predictors are stationary. Asymptotic theory for instrumental-variable-based tests is derived and shown to be non-standard unless all shifts in the predicted variable shrink to zero fast enough. The results point to the risks of spurious outcomes in predictability testing when level shifts are present and ignored. To mitigate this weakness in existing tests, a sample-splitting procedure is proposed for inference, which is shown to work well in simulations. Some finite sample issues introduced by moderate breaks are discussed. Empirical applications of the new procedures are implemented in predicting monthly and quarterly absolute US stock returns and quarterly growth in a US house price index.

【参会方式】

腾讯会议  会议ID:936 838 920

方式一:下载“腾讯会议”客户端,输入“会议ID”加入会议

方式二:点击参会链接加入会议

https://meeting.tencent.com/dm/h5awQnkgh1fZ

【更多信息】

获取更多信息,请扫描下方二维码加入“IAER Seminar”腾讯QQ群(群号:904 544 292)或微信群,可同时关注高等经济研究院网站:http://iaer.dufe.edu.cn。

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撰稿:高姝涵 审核:齐鹰飞 单位:高等经济研究院

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