SMU SOE Seminar (October 27, 2022): 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.
		PRESENTER Qiying Wang The University of Sydney
		RESEARCH FIELDS Nonstationary Time Series Econometrics Financial Econometrics Nonparametric Statistics Econometric Theory Self-normalized Limit Theory
		DATE: 27 October 2022 (Thursday)
		TIME: 2pm - 3.30pm
		VENUE: Meeting Room 5.1, Level 5 School of Economics Singapore Management University 90 Stamford Road Singapore 178903