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SMU SOE Seminar (October 27, 2022): Self-weighted LS Estimation for Nonlinear Cointegrating Regression
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TOPIC:
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SELF-WEIGHTED LS ESTIMATION FOR NONLINEAR COINTEGRATING REGRESSION
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ABSTRACT
This paper establishes a new framework on self-weighted least squares estimation that is easy to apply for various nonlinear regression models with heteroscedasticity. This paper explores the applications of this framework to various nonlinear cointegrating regression models.
Click here to view the CV.
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PRESENTER
Qiying Wang
The University of Sydney
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RESEARCH FIELDS
Nonstationary Time Series Econometrics
Financial Econometrics
Nonparametric Statistics
Econometric Theory
Self-normalized Limit Theory
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DATE:
27 October 2022 (Thursday)
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TIME:
2pm - 3.30pm
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VENUE:
Meeting Room 5.1, Level 5
School of Economics
Singapore Management University
90 Stamford Road
Singapore 178903
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