Specification Tests for Time-Varying Coefficient Models
报告人： Xia Wang, Renmin University of China
时间：2021-10-14 14:00 - 15:30
地点：Room 217, Guanghua Building 2
Time-varying coefficient models have been widely used to model changing relationships of economic and financial variables. The existing literature usually specifies the time-varying coefficient vector as a stochastic stationary process, a deterministic function of time, or a unit root process. In this paper, we propose two tests to distinguish these three specifications. Both test statistics follow asymptotic normal distributions under the respective null hypotheses and diverge to infinity in probability under the corresponding alternatives. To improve the finite sample performance of the tests, we propose a dependent wild bootstrap (DWB) to obtain the bootstrapped critical value or p-value and establish its asymptotic validity. Simulations show that our bootstrap-based tests perform reasonably well in finite samples. We apply the proposed tests to the time-varying specifications of the equity return's predictive model, Taylor rule, and inflation persistence. The results suggest that a unit root process is favored for the first application, while a deterministic function of time should be adopted for the last two applications.
About the Speaker:
王霞，经济学博士，中国人民大学经济学院，副教授，主要从事计量经济学理论及其在经济金融中的应用等研究工作，研究领域包括非线性时间序列分析、宏观经济监测与预测等。多篇文章发表在International Economic Review、Journal of Econometrics、Journal of Business & Economic Statistics、Econometric Theory等国际主流期刊和《经济研究》等国内顶级期刊上，曾主持国家自然科学基金青年项目、面上项目、教育部人文社科研究青年项目等多项国家和省部级课题。
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