The course will be divided into two main blocks. First we introduce non-parametric estimation methods which are at the core of modern statistics. The aim of this course is to provide a short but self-contained introduction to the theory of non-parametric estimation, where we emphasis is on the construction of optimal estimators. This is a concise course where we introduce the fundamental concepts of the theory while maintaining the exposition suitable for a first approach in the field. Second, we introduce topics of Time Series econometrics that are relevant and novel which can be used to motivate other innovative research questions.

教师简介

Jun Yi Peng Zhou，高等经济研究院助理教授。2019年于西班牙马德里卡洛斯三世大学获得经济学博士学位。Jun Yi Peng Zhou博士的研究兴趣包括计量经济学理论、时间序列建模以及金融学。他目前采用两种方法研究具有单位根的阈值模型，一种是由随机单位根模型构成的单变量方法，其中单位根的随机性由其他经济变量驱动，另一种方法是从多变量的角度出发，在协整关系中引入阈值效应并允许存在多重均衡。主讲课程为高级计量经济学Ⅱ和计量经济学前沿讨论。

计量经济学前沿讨论Syllabus.pdf