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香港中文大学 Terence Tai-Leung Chong 教授:A New Threshold Regression Approach to Predict Currency Crises

西南财经大学 免费考研网/2015-12-22

光华讲坛——社会名流与企业家论坛第3358期


主 题:A New Threshold Regression Approach to Predict Currency Crises

主讲人:Terence Tai-Leung Chong 教授

主持人:西南财经大学经济与管理研究院副教授 杜在超

时 间:2014年6月6日下午2:30-4:00

地 点:柳林校区颐德楼H513

主办单位:经济与管理研究院 科研处
主讲人简介:

Terence Tai-Leung Chong 1995年获University of Rochester经济学博士学位,现为香港中文大学和南京大学教授,他的论文发表在Journal of Econometrics, Econometric Theory, Econometric Journals, Economics Letters, Journal of Time Series Analysis, Journal of Banking and Finance, Financial Management 等计量经济学和金融领域的顶尖期刊上。



内容提要:

本文建立了一种预测货币危机的新的门限回归方法。Conventional threshold models contain only one threshold variable. This paper provides the theoretical foundation for threshold models with multiple threshold variables. The new model is very different from a model with a single threshold variable as several novel problems arise from having an additional threshold variable. First, the model is not analogous to a change-point model. Second, the asymptotic joint distribution of the threshold estimators is difficult to obtain. Third, the estimation time increases exponentially with the number of threshold variables. This paper derives the consistency and the asymptotic joint distribution of the threshold estimators. A fast estimation algorithm to estimate the threshold values is proposed. We also develop tests for the number of threshold variables. The theoretical rsults are supported by simulation experiments. Our model is applied to the study of currency crises.

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