报告题目： Testing for the martingale difference hypothesis in multivariate time series models

主 讲 人：王国长，暨南大学

报告时间：2022年2月24日（周四）16:00-17:00

报告地点：腾讯会议 ID：887-724-267

点击链接入会：https://meeting.tencent.com/dm/YNRCtD7YfOSE

报告摘要：

This paper proposes a general class of tests to examine whether the error term is a martingale difference sequence in a multivariate time series model with parametric conditional mean. These new tests are formed based on recently developed martingale difference divergence matrix (MDDM), and they provide formal tools to test the multivariate martingale hypothesis in the literature for the first time. Under suitable conditions, the asymptotic null distributions of these MDDM-based tests are established. Moreover, these MDDM-based tests are consistent to detect a broad class of fixed alternatives, and have nontrivial power against local alternatives of order $n^{-1/2}$, where $n$ is the sample size. Since the asymptotic null distributions depend on the data generating process and the parameter estimation, a wild bootstrap procedure is further proposed to approximate the critical values of these MDDM-based tests, and its theoretical validity is justified. Finally, the usefulness of these MDDM-based tests is illustrated by simulation studies and one real data example.

This talk is based on joint work with Zhu Ke and Shao Xiaofeng.

主讲人简介：

王国长，暨南大学经济学院统计学系教授、博士生导师。2012年毕业于东北师范大学数学与统计学院统计系，并取得统计学博士学位，2012-2014年在中国科学院应用所从事博士后研究工作，2017-2018年赴香港大学统计与精算系学术访问1年。主要研究方向为函数型数据分析、时间序列、充分性降维等，迄今为止在Journal of Econometrics, Journal of the Business & Economic Statistics, Statistica Sinica, Scandinavian Journal of Statistics等重要学术期刊接收和发表论文20余篇。主持国家社科基金一般项目和国家自然科学基金青年基金项目各1项，主持博士后面上项目和广东省自然科学基金面上项目各1项。 任中国现场统计研究会资源与环境统计分会常务理事；中国旅游大数据协会，理事，副秘书长；广东省现场统计协会常务理事，副秘书长。

邀请人：王汉超

欢迎各位老师同学积极参加！