题 目：Limit theorems for nonlinear cointegrating regression

报告人：Professor Qiying Wang

(澳大利亚，悉尼大学教授)

摘要

The past decade has witnessed great progress in the development of nonlinear cointegrating regression. Unlike linear cointegration and nonlinear regression with stationarity where the traditional and classical methods are widely used in practice, estimation and inference theory in nonlinear cointegrating regression produce new mechanisms involving local time, a mixture of normal distributions and stochastic integrals. This talk aims to introduce the machinery of the theoretical developments in nonlinear cointegrating regression, providing up-to-date results on convergence to local time, extended martingale limit theorems and weak convergence to stochastic integrals for econometric applications.

时间：2015年12月3日（周四）下午15:30开始

地点：数学系致远楼102会议室

欢迎广大师生前来参加