题目: Limit Theory for Continuous Time Systems with Mildly Explosive Regressors
主讲人: 陈烨
时间：2015年12月9日（周三）下午1:30
地点：国际经管学院会议室（诚明楼三层）
主办方：国际经济管理学院
摘要:
Limit theory is developed for continuous co-moving systems with mildly explosive re- gressors. The theory uses double asymptotics with infill (as the sampling interval tends to zero) and large time span asymptotics. The limit theory explicitly involves initial conditions, allows for drift in the system, is provided for single and multiple explosive regressors, and is feasible to implement in practice. Simulations show that double as- ymptotics deliver a good approximation to the finite sample distribution, with both finite sample and asymptotic distributions showing sensitivity to initial conditions. The meth- ods are implemented in the US real estate market for an empirical application, illustrating the usefulness of double asymptotics in practical work.
主讲人简介：陈烨，国际经管学院助理教授，博士毕业于Singapore Management University，主要研究方向为金融计量
