第189期和第190期“華南經(jīng)濟(jì)論壇”通知
第一場
題目：The Tragedy of Trust
主講人：姜樹廣博士(浙江財(cái)經(jīng)大學(xué))
時(shí)間：2016年10月13日（周四）下午2：00-3:30
地點(diǎn)：文三棟MBA中心501課室
姜樹廣，浙江財(cái)經(jīng)大學(xué)杰出青年學(xué)者，深圳證券交易所博士后，山東大學(xué)經(jīng)濟(jì)學(xué)博士，法國國家科研中心訪問學(xué)者，研究領(lǐng)域?yàn)樾袨榻?jīng)濟(jì)學(xué)和實(shí)驗(yàn)經(jīng)濟(jì)學(xué)。已在《經(jīng)濟(jì)研究》等學(xué)術(shù)期刊發(fā)表文章十余篇，曾獲山東省社會科學(xué)優(yōu)秀成果獎(jiǎng)、山東省優(yōu)秀博士學(xué)位論文等多項(xiàng)獎(jiǎng)勵(lì)。
第二場
題目：A General Result on the Estimation Bias of ARMA Models
主講人：Bao Yong教授 澳門大學(xué)
時(shí)間：2016年10月13日下午3:30-5:00
地點(diǎn)：文三棟MBA中心501課室
摘要：I derive a general result on the finite-sample approximate bias of the Gaussian maximum likelihood estimator of the full vector of parameters in ARMA models when the error term may be nonnormally distributed and exogenous regressors may be included. It is found that there is typically estimation bias for parameters associated with the AR and MA terms and the bias depends only on these parameters themselves and the exogenous regressors. Parameters associated with the exogenous regressors are estimated approximately unbiased and the error variance is estimated with a downward bias, proportional to the number of exogenous regressors and the orders of AR and MA terms in the model. The distributional assumption on the error term does not affect the general bias result. A Monte Carlo study illustrates the effectiveness of using analytical bias for the purpose of bias correction.
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