Speaker:Chen Bin(AssociateProfessor with Tenure , University of Rochester）
Course schedule (8 lessons in total):
Time: July 20th(Saturday) 8:00-12:00
1.Introduction tononparametric method, Density estimation
2.Nonparametricregression, Semiparametric method
Time: July 21th(Sunday) 8:00-12:00
3.Estimation andtesting with time-varying parameter model
4.Big data andmachine learning
Venue:
Shahe No.1 building room 201
References:
Chen, B.,& Hong, Y. (2012). Testing for smooth structural changes in time seriesmodels via nonparametric regression. Econometrica, 80(3), 1157-1183.
Chen, B., &Song, Z. (2013). Testing whether the underlying continuous-time process followsa diffusion: An infinitesimal operator-based approach. Journal of Econometrics,173(1), 83-107.
Chen, B., &Hong, Y. (2014). A unified approach to validating univariate and multivariateconditional distribution models in time series. Journal of Econometrics, 178,22-44.
Chen, B. (2015).Modeling and testing smooth structural changes with endogenous regressors.Journal of Econometrics, 185(1), 196-215.
Chen, B., &Hong, Y. (2016). Detecting for smooth structural changes in GARCH models.Econometric Theory, 32(3), 740-791.
