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学术讲座:Balanced Predictive Regressions with Cointegrated Regressors

讲座题目:Balanced Predictive Regressions with Cointegrated Regressors

主讲人: 易艳萍

时间:5月28日中午12:20-13:20

地点:博学925

主讲人简介

易艳萍,美国纽约大学经济学博士,上海财经大学经济学院常任副教授,博士生导师。研究兴趣主要是金融计量理论,时间序列,以及半参数估计。在国际学术期刊如 Annals of Statistics、Journal of Econometrics (2篇已发表,1篇 forthcoming)、Journal of Business & Economic Statistics、Economics Letters 、Economic Modelling 上共发表文章数篇。此外,她还是 Journal of Econometrics, Review of Economics and Statistics,  Journal of Financial Econometrics,   Journal of Business & Economic Statistics,   Journal of Machine Learning Research,  Journal of the Royal Statistical Society 等国际顶尖学术期刊的匿名审稿人。

讲座摘要

In the predictive regression, a less persistent return series is regressed on the first lag of some highly persistent predictors. Therefore, predictability could often be missed due to the persistence imbalance. This paper aims to balance the predictive regression by augmenting the regression with an additional lag of the predictors. This second lag generally reduces the persistence level in the right-hand side of the equation to achieve balance. We then propose a simple test procedure for the univariate and the multivariate predictive regressions, based on least squares estimation. Empirically, we reexamine the popular predictors in the literature, and find quite different results.