Essays in Time Series Econometrics

This collection of essays investigates robust inference and modelling in time series econometrics. Chapter 1 considers the problem of deriving heteroskedasticity and autocorrelation robust (HAR) inference about a scalar parameter of interest. The main finding implies that, for a given sample size, one can only be confident about the efficiency of a valid HAR test if we are willing to make a priori assumptions about the persistence properties of the data. This chapter demonstrates that it is advantageous to allow for bias in long-run variance estimation and adjust the critical value to explicitly account for the maximum bias. Chapter 2, jointly with Ulrich Mueller, proposes a flexible asymptotic framework for the modelling of persistent time series, by generalizing the popular local-to-unity model. We establish the richness of the class of this generalized local-to-unity model, GLTU(p), in the sense that their limiting pro-cesses can well approximate a large class of stationary Gaussian processes in the total variation norm. This chapter also suggests a straightforward approximation to the limited-information asymptotic likelihood of the GLTU(p) model. Chapter 3 applies the econometric framework developed in Chapter 2 to examine and document the persistence properties of 9 macroeconomic time series over 17 advanced economies, based on the Jorda-Schularick-Taylor Macrohistory Database. It is found that allowing for the generality in modelling long-range dependence can substantially alter quantitative statements about the persistence of macroeconomic time series. Based on empirical evidence, this chapter recommends using an appropriately defined measure of the half-life in the GLTU(p) model to gauge the persistence of macroeconomic time series

Self-destroying expectations in financial market : a deterministic HAM approach

The involvement of human behaviors essentially differentiates socio-economic systems and physical systems. Prior to taking actions, individuals form expectations, and constantly update their strategies when outcomes are observed. However in reality, it is people’s aggregate actions rather than individual action that determine the observed outcome, especially in financial market, where people’s expectations and market’s realizations co-evolve with each other. While the self-fulfilling prophecy (the aggregate outcome is consistent with an individual’s expectation) is largely investigated, the self destroying prophecy (the aggregate outcome is inconsistent with an individual’s expectation) has not received the same level of academic scrutiny and acceptance. This paper investigates the self-destroying expectations in financial market using a modified deterministic heterogeneous agent model (HAM) based on Huang et al. (2010), in which agents have two strategies: fundamentalist and chartist. It is found that self-destroying expectations exist in both the general case and crisis scenarios. All simulations have shown the same pattern that a profitable strategy can become unprofitable and results in self-destroying phenomenon when more and more agents exploit it. Empirical evidence is also presented to justify the theoretical model. It is found that real data could reveal a similar pattern as in our simulations. Therefore, our model should at least capture correctly some, if not all, of the underlying self-destroying mechanisms in financial market.Bachelor of Art

Trial and error in influential social networks

In this paper, we introduce a trial-and-error model to study information diffusion in a social network. Specifically, in every discrete period, all individuals in the network concurrently try a new technology or product with certain respective probabilities. If it turns out that an individual observes a better utility, he will then adopt the trial; otherwise, the individual continues to choose his prior selection. We first demonstrate that the trial and error behavior of individuals characterizes certain global community structures of a social network, from which we are able to detect macro-communities through the observation of micro-behavior of individuals. We run simulations on classic bench-mark testing graphs, and quite surprisingly, the results show that the trial and error dynamics even outperforms the Lou-vain method (a popular modularity maximization approach) if individuals have dense connections within communities. This gives a solid justification of the model. We then study the influence maximization problem in the trial-and-error dynamics. We give a heuristic algorithm based on community detection and provide experiments on both testing and large scale collaboration networks. Simulation results show that our algorithm significantly outperforms several well-studied heuristics including degree centrality and distance centrality in almost all of the scenarios. Our results reveal the relation between the budget that an advertiser invests and marketing strategies, and indicate that the mixing parameter, a benchmark evaluating network community structures, plays a critical role for information diffusion

Cation Defect-Engineered Boost Fast Kinetics of Two-Dimensional Topological Bi2Se3 Cathode for High-Performance Aqueous Zn-Ion Batteries

The challenge with aqueous zinc-ion batteries (ZIBs) lies in finding suitable cathode materials that can provide high capacity and fast kinetics. Herein, two-dimensional topological Bi2Se3 with acceptable Bi-vacancies for ZIBs cathode (Cu-Bi2−xSe3) is constructed through one-step hydrothermal process accompanied by Cu heteroatom introduction. The cation-deficient Cu-Bi2−xSe3 nanosheets (≈4 nm) bring improved conductivity from large surface topological metal states contribution and enhanced bulk conductivity. Besides, the increased adsorption energy and reduced Zn2+ migration barrier demonstrated by density-functional theory (DFT) calculations illustrate the decreased Coulombic ion-lattice repulsion of Cu-Bi2−xSe3. Therefore, Cu-Bi2−xSe3 exhibits both enhanced ion and electron transport capability, leading to more carrier reversible insertion proved by in situ synchrotron X-ray diffraction (SXRD). These features endow Cu-Bi2−xSe3 with sufficient specific capacity (320 mA h g−1 at 0.1 A g−1), high-rate performance (97 mA h g−1 at 10 A g−1), and reliable cycling stability (70 mA h g−1 at 10 A g−1 after 4000 cycles). Furthermore, quasi-solid-state fiber-shaped ZIBs employing the Cu-Bi2−xSe3 cathode demonstrate respectable performance and superior flexibility even under high mass loading. This work implements a conceptually innovative strategy represented by cation defect design in topological insulator cathode for achieving high-performance battery electrochemistry