我院教师论文被国际权威经济学期刊接收发表

2020年9月18日

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我院助理教授吕耀廉与浙江大学管理学院副教授肖炜麟,新加坡管理大学经济学院、李光前商学院李光前经济金融学教授余俊合作的论文“Mildly Explosive Autoregression with Anti-persistent Errors”被经济学领域权威期刊 Oxford Bulletin of Economics and Statistics 接收发表。

该文章旨在探讨Least Squares (LS)估计量在一阶自回归(AR(1))模型下, 当AR参数为中度爆炸性(mildly explosive)且误差项为反持久(anti-persistent)的极限分布。 尽管样本矩的极限取决于Hurst参数,标准化的LS估计量的极限为柯西分布。 最后此极限分布被应用在纳斯达克指数,以确定时间序列数据在dot-com泡沫期间的爆炸性。


Assistant Professor Yiu Lim LUI's Paper Published in Oxford Bulletin of Economics and Statistics

September 18, 2020

Yiu Lim LUI, IAER Assistant Professor, published his paper in Oxford Bulletin of Economics and Statistics on August 30, 2020. Entitled "Mildly Explosive Autoregression with Anti-persistent Errors", the paper was co-authored with Weilin XIAO, associate professor at Zhejiang University, and Jun YU, Lee Kong Chian Professor of Economics and Finance at Singapore Management University. 

In this paper, an asymptotic distribution is derived for the least squares (LS) estimate of a first-order autoregression with a mildly explosive root and anti-persistent errors. While the sample moments depend on the Hurst parameter asymptotically, the Cauchy limiting distribution theory remains valid for the LS estimates in the model without intercept and a model with an asymptotically negligible intercept. Monte Carlo studies are designed to check the precision of the Cauchy distribution in finite samples. An empirical study based on the monthly NASDAQ index highlights the usefulness of the model and the new limiting distribution.