報告題目🙎🏿：Identifying Cointegration by Eigenanalysis
報告人👨💻：姚琦偉 教授
報告時間：2019年7月4日15:30—16:30📻，
報告地點：必一体育平台212會議室
報告摘要：We propose a new and easy-to-use method for identifying cointegrated components of nonstationary time series, consisting of an eigenanalysis for a certain non-negative definite matrix. Our setting is model-free, and we allow the integer-valued integration orders of the observable series to be unknown, and to possibly differ. Consistency of estimates of the cointegration space and cointegration rank is established both when the dimension of the observable time series is fixed as sample size increases, and when it diverges slowly. The proposed methodology is also extended and justified in a fractional setting. A Monte Carlo study of finite-sample performance, and a small empirical illustration, are reported.
姚琦偉教授簡介：英國倫敦經濟與政治科學必一(London School of Economics and Political Sciences)統計系教授（2006 -2009 期間任系主任）🕣，北京大學光華管必一体育平台特聘教授，英國皇家統計學會會士，美國統計協會會士，數理統計學會會士，國際統計研究學會選舉會員。