题 目：Testing for the Markov Property in Time Series

报告人：Prof.Yongmiao Hong

Dept of Economics, Cornell University

Wang Yanan Institute for Studies in Economics, Xiamen University

时 间：2007年12月3日（周一）上午10：00-11：00

地 点：成人直播120教室

The Markov property is a fundamental property often assumed in economic and finance. Examples include sequential decision making under uncertainty, continuous-time modelling, credit risk management, and price formation theory in market microstructure. In this paper, we develop a test for the Markov property using the conditional characteristic function embedded in a frequency domain approach, which checks the implication of the Markov property in every conditional moment (if exist) and over many lags. The proposed test is applicable to both univariate and multivariate time series with discrete or continuous distributions. Simulation studies show that with the use of a smoothed nonparametric transition density-based bootstrap procedure, the proposed test has reasonable sizes and all-around power against non-Markov alternatives in finite samples. We apply the test to a number of high-frequency financial time series and document strong evidence against the Markov property.

洪永淼Hong，Yongmiao简介：

美国加州大学圣地亚哥校区经济学博士（1993），美国康奈尔大学经济学及统计学教授，王亚南经济研究院院长、博士生导师。主要研究领域包括计量经济学理论，时间序列分析及应用，金融计量经济学，与中国经济和金融市场实证研究计量经济学理论及应用。现为Journal of Business and Economic Statistics，Journal of Econometrics，Econometric Theory等英文杂志编委，《经济学〈季刊〉》学术委员会委员，《经济学报》联合主编。在最近的对全球计量经济学家基于2000-2005年学术研究成果的排名中，名列全球第八。