Time: 15:00-16:30, October 15, 2019 (Tuesday) 

Venue: 1610, Rear Main Building, Beijing Normal University 

Speaker: Liu Yanbo (PhD candidate, School of Economics, Singapore Management University)

Topic：Sieve Inference for Functional Local-to-unity Process with Applications in China’s Real Estate Market

Abstract：This paper discusses a nonparametric model with functional deviations from unit roots. The autoregressive coefficients are modeled by smooth functions varying over time. We propose a sieve procedure based on orthogonal trigonometric polynomials. The consistency of the estimator is obtained with a novel asymptotic theory. A Wald-type specification test against stable parameter model is established based on panel autoregressions. Monte Carlo simulations demonstrate the excellent finite sample behaviors. Finally, we apply the model specification tests to China’s real estate market and obtain significant evidence for time-varying annual growth rates.

Introduction to the speaker 

Liu Yanbo is a PhD candidate at the School of Economics, Singapore Management University, supervised by Professors Peter C.B. Phillips and Jun Yu. Liu Yanbo received his bachelor of Arts and Master of Arts degrees from The College of Arts, Beijing Normal University in 2012 and 2015.  He received his bachelor's degree in Economics from The China Center for Economic Research at Peking University in 2015. His main research interests are financial econometrics, non-parametric econometrics, and machine learning methods.