题目：Testing the Predictability of U.S. Housing Price Index Returns Based on an IVX-AR Model
报告人：杨炳铎中山大学岭南学院
时间：2019年6月3日上午10:00 -12:00
地点：博萃楼阳光房
报告摘要：We use ten common macroeconomic variables to test for the predictability of the quarterly growth rate of house price index (HPI) in the United States during 1975:Q1 -- 2018:Q2. We extend the instrumental variable based Wald statistic (IVX-KMS) proposed by Kostakis, Magdalinos and Stamatogiannis (2015) to a new instrumental variable based Wald statistic (IVX-AR) which accounts for serial correlation and heteroskedasticity in the error terms of the linear predictive regression model. Simulation results show that the proposed IVX-AR exhibits excellent size control regardless of the degree of serial correlation in the error terms and the persistence in the predictive variables, while IVX-KMS displays severe size distortions. The empirical results indicate that the percentage of residential fixed investment in GDP is fairly a robust predictor of the growth rate of HPI. However, other macroeconomic variables' strong predictive ability detected by IVX-KMS is likely to be driven by the highly correlated error terms in the predictive regressions and thus becomes insignificant when the proposed IVX-AR method is implemented.
报告人简介：杨炳铎博士，2012年在美国北卡大学（夏洛特）数学与统计系获得博士学位，现为中山大学岭南学院特聘副研究员，主要从事金融计量经济学理论与方法研究工作，论文发表于Journal of Econometrics，Journal of Banking and Finance，《系统工程理论与实践》等。主持过国家自然科学基金一项，教育部人才社科一项，省级课题两项。同时担任Journal of Econometrics, Journal of Business & Economic Statistics, Econometric Review等刊物的匿名审稿人。
代表性论文：
1) Liu, X., Yang, B., Cai, Z. and Peng, L.(2019). A unified test for predictability of asset returns regardless of properties of predicting variables. Journal of Econometrics. 208:141-159.
2) Cai, Z., Juhl, T. and Yang, B. (2015). Functional index coefficient models with variable selection. Journal of Econometrics.189:272-284.
3) Cai, Z, Ren, Y. and Yang, B. (2015). A semiparametric conditional capital asset pricing model. Journal of Banking and Finance. 61:117-126.
