[Lecture] Jiti Gao：Nonlinear and Nonstationary Time Series and Panel Data Models: A Personal Journey
Time: 14:00-15:30pm, Dec. 28th, 2020, Monday
Venue: Zoom ID：681 7365 7833
Spreker: Jiti Gao, Professor, Econometrics and Economic Statistics at Monash University
Abstract:Using a number of examples, the speaker will discuss a wide class of nonlinear and nonstationary time series and panel data models as well as non- and semi-parametric methods employed in model building, estimation and specification testing.
The datasets involved in the discussion include 1) time series data with trending behavior; and nonlinear co-integration; 2) panel data with cross-sectional dependence; and nonstationarity; and 3) high-dimensional time series and panel data associated with time-varyingness and co-movements.
Speaker’s Bio:Jiti Gao is a professor of Department of Econometrics and Business Statistics at Monash University. He is also the Donald Cochrane Chair of Business and Economics. Since 2000, he has published 2 monographs and 2 book chapters as well as 100 journal articles by leading international journals in economics, econometrics, finance and statistics, with 60 of them by top A*/A** journals. Professor Gao is among the top 5% authors for all years and the top 3% authors for last 10 years in the field of economics. As a chief investigator, he has received about $2,400,000 research funds from the ARC Discovery Grants Program since 2002. In addition, his research has also been supported by the National Science Foundation of China, and the Research Grants Council of the Hong Kong Government since 2002. He has been an Associate Editor of Journal of Econometrics (A**) since 2012, Econometric Theory (A*) since 2014 and Journal of Business and Economic Statistics (A*) since 2019.
