Non-linear cointegrating regression with endogeneity

具有内生性的非线性协整回归

• 批准号: DP170104385
• 负责人: Prof Qiying Wang
• 金额: $ 19.26万
• 依托单位: The University of Sydney
• 依托单位国家: 澳大利亚
• 项目类别: Discovery Projects
• 财政年份: 2017
• 资助国家: 澳大利亚
• 起止时间: 2017-01-01 至 2022-12-31
• 项目状态: 已结题
• 来源: https://dataportal.arc.gov.au/RGS/Web/Grants/DP170104385
• 关键词: Non; linear; cointegrating; regression; endogeneity

This project aims to develop the asymptotic theory of estimation and statistical inference in models concerned with non-linear co-integrating regression with endogeneity and long memory. This project will tackle a number of long-standing technical problems related to non-linear covariance functionals and non-linear transformation of nonstationary time series. This project is intended to provide technical tools for practitioners to study the long-run relationship of economic variables, and could apply to a range of statistical, empirical finance and economic models, enhancing national leadership in these areas.

该项目的目的是在与内生性和长期记忆的非线性协整回归有关的模型中开发估计和统计推断的渐近理论。该项目将解决许多与非线性协方差功能和非组织时间序列的非线性转换有关的长期技术问题。该项目旨在为从业人员提供技术工具，以研究经济变量的长期关系，并可以适用于一系列统计，经验金融和经济模型，从而提高了这些领域的国家领导。