Time-Varying Regression with Long Memory

15:30-17:00, Wednesday, June 21, 2023

I-206, Boxue Building, DUFE

Dr. Shuyao KE is now an assistant professor at Jinan University. He received his Ph.D. in Economics from Singapore Management University in 2022. His research fields are econometric theory, panel data econometrics, time series econometrics, long memory models, frequency domain analysis, financial econometrics.

In this paper we consider a time-varying time series regression model where both the regressors and error term are locally stationary long memory processes with time-varying memory parameters. A frequency domain least squares estimator is adopted with kernelized discrete Fourier transform. We derive its pointwise asymptotic normality and uniform convergence rate. We also propose a specification test on the constancy of coefficients and a frequency domain bootstrap to estimate the asymptotic covariance and improve the finite sample performance of the test. For the ease of implementation, a self-normalized inference scheme is provided. Monte Carlo simulations show that both the estimator and test perform well in finite samples. As an empirical illustration, we apply the proposed model to study the relation between implied and realized volatility.

For more information of the seminar, scan the following QR code(s) to join Tencent QQ group (904 544 292) or WeChat group named "IAER Seminar (4)", please.

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(QR code is valid until 21/6/2023)