珞珈金融论坛(第50期)
发布日期:2016-10-13 16:30:25  点击量:

    题目:New Distribution Theory for the Estimation of Structural Break Point in Mean

  报告人:Jun Yu(余俊),教授, 新加坡管理大学经济学院和李光前商学院

  时间:2016年10月20日(周四) 16:00 ~ 17:00

  地点:经管院B251

  报告摘要如下:

  Based on the Girsanov theorem, this paper obtains the exact distribution of the maximum likelihood estimator of structural break point in a continuous time model. The exact distribution is asymmetric and tri-modal, indicating that the estimator is biased. These two properties are also found in the finite sample distribution of the least squares (LS) estimator of structural break point in the discrete time model, suggesting the classical long-span asymptotic theory is inadequate. The paper then builds a continuous time approximation to the discrete time model and develops an in-fill asymptotic theory for the LS estimator. The in-fill asymptotic distribution is asymmetric and tri-modal and delivers good approximations to the finite sample distribution. To reduce the bias in the estimation of both the continuous time and the discrete time models, a simulation-based method based on the indirect estimation (IE) approach is proposed. Monte Carlo studies show that IE achieves substantial bias reductions.

  报告人简介:

  余俊教授(Jun Yu)现就职于新加坡管理大学 (Singapore Management University), 是经济学院经济学教授和李光前商学院金融学教授,同时担任国际权威学术期刊 -- 计量经济学理论 (Econometric Theory)和金融计量学(Journal of Financial Econometrics) -- 的副主编。余俊教授于1990年获得武汉大学学士学位,并于1998年获得加拿大西安大略大学经济学博士学位。他的研究领域涉及金融市场、计量经济学理论、资本定价、宏观经济学等多个方面。