一、主題：Balanced Predictive Regressions with Cointegrated Regressors

二、主講人：易豔萍，上海财經大學經濟學院常任副教授，美國紐約大學經濟學博士。主要研究領域：時間序列、金融計量、計量理論等。在 Journal of Econometrics，Journal of Business & Economic Statistics等期刊上發表多篇論文。曾參加2017 Shanghai Econometrics Workshop、2017 China Meeting of the Econometric Society等會議。擔任Review of Economics and Statistics、Journal of Econometrics、Journal of Business and Economic Statistics、Journal of Financial Econometrics、Journal of the Royal Statistical Society等期刊審稿人。

三、時間：2018年5月29日（周二），12：30-13：30

四、地點：學院南路校區主教學樓913會議室

五、主持人：黃志剛，bevictor伟德官网副教授

論文摘要：In the predictive regression, a less persistent return series is regressed on the first lag of some highly persistent predictors. Therefore, predictability could often be missed due to the persistence imbalance. This paper aims to balance the predictive regression by augmenting the regression with an additional lag of the predictors. This second lag generally reduces the persistence level in the right-hand side of the equation to achieve balance. We then propose a simple test procedure for the univariate and the multivariate predictive regressions, based on least squares estimation. Empirically, we reexamine the popular predictors in the literature, and find quite different results.