【能源经济与管理学术论坛】

澳大利亚莫纳什大学Prof. Heather Anderson特邀报告

题目：High-Dimensional Predictive Regression in the Presence of Cointegration

主讲人：Prof. Heather Anderson，澳大利亚莫纳什大学

主持人：范英教授

时间：2017年12月11日15:00-16:00

地点：北航新主楼A座618

摘要：

We propose a Least Absolute Shrinkage and Selection Operator (LASSO) estimator of a predictive regression in which stock returns are conditioned on a large set of lagged covariates, some of which are highly persistent and potentially cointegrated. We establish the asymptotic properties of the proposed LASSO estimator and validate our theoretical findings using simulation studies. The application of this proposed LASSO approach to forecasting stock returns suggests that a cointegrating relationship among the persistent predictors leads to a significant improvement in the prediction of stock returns over various competing forecasting methods with respect to mean squared error.

主讲人简介：

Heather M. Anderson holds the Maureen Brunt Chair in Economics and Econometrics at Monash University in Melbourne Australia, and is an Elected Fellow of the Academy of the Social Sciences in Australia. She wrote her PhD thesis under the supervision of Clive Granger (who later received the Nobel Prize in economics) at the University of California in San Diego, and has held academic positions at the University of Texas at Austin, Texas A and M University, the Australian National University and Monash University. Her research interests include financial econometrics, nonlinear time series, macro-econometrics and forecasting. Her work has been published in theReview of Economics and Statistics, theJournal of Econometrics, theJournal of Applied Econometricsand theJournal of Business and Economic Statistics. She was coeditor ofEmpirical Economicsfrom 2006 until 2015 and is currently on the editorial board of several journals, including theJournal of Applied Econometrics.

澳大利亚莫纳什大学Prof.Farshid Vahid特邀报告

题目： Global Temperatures and

主讲人：Prof. Farshid Vahid

澳大利亚莫纳什大学

主持人：范英 教授

时间：2017年12月11日16:00-17:00

地点：北航新主楼A座618

摘要：

Despite the difficulty in determining the exact nature of trend in global temperatures, we can establish that the trend in global temperatures and green house gases is common. We then estimate the long-run relationship between global temperatures and green house gases and provide theoretically justified measures of confidence in our estimates. We explore the direction of causation in this relationship and compare our results with the existing results in the literature.

主讲人简介：

Farshid Vahid is a Professor of Econometrics at the Department of Econometrics and Business Statistics at Monash University. He is a Fellow of the Academy of Social Sciences in Australia. He has published in many areas including time series, macroeconomics, energy, development, learning and decision theory. He is currently associate editor of Macroeconomic Dynamics, Empirical Economics and Australian and New Zealand Journal of Statistics. Professor Vahid has a master degree from London School of Economics and a PhD from University of California, San Diego.