经济学院经济系第130期Seminar通知

报告I

报告题目：ZD-GARCH model: a new way to study heteroscedasticity

报告人：朱柯

时间：2016年3月18日(周五)下午14：00-15：20

地点：经济学院(中惠楼)102

报告人简介：朱柯，统计学博士（香港科技大学），中科院应用数学所助理研究员，主要研究领域为计量经济和统计。在Journal of Econometrics，Annals of Statistics, Journal of the American Statistical Association, Journal of the Royal Statistical Society, Series B等顶级计量经济学和统计学期刊发表过多篇论文。

Abstract: This paper proposes a first-order zero-drift GARCH (ZD-GARCH(1, 1)) model to study conditional heteroscedasticity and heteroscedasticity together. Unlike the classical GARCH model, ZD-GARCH(1, 1) model is always non-stationary regardless of the sign of the Lyapunov exponent γ0, but interestingly when γ0 = 0, it is stable with its sample path oscillating randomly between zero and infinity over time. Furthermore, this paper studies the generalized quasi-maximum likelihood estimator (GQMLE) of ZD-GARCH(1, 1) model, and establishes its strong consistency and asymptotic normality. Based on the GQMLE, an estimator for γ0, a test for stability, and a portmanteau test for model checking are all constructed. Simulation studies are carried out to assess the finite sample performance of the proposed estimators and tests. Applications demonstrate that a stable ZD-GARCH(1, 1) model is more appropriate to capture heteroscedasticity than a non-stationary GARCH(1, 1) model, which suffers from an inconsistent QMLE of the drift term.

报告II

报告题目：Transition of household residential energy consumption in rural China: the role of rising wages

报告人：仇焕广

时间：2016年3月18日(周五)下午15：30-17：00

地点：经济学院(中惠楼)102

报告人简介：仇焕广，1976年生，中国人民大学农业与农村发展学院教授，博士生导师。主要研究领域包括：农业政策、农业资源与环境、农产品市场与贸易、空间一般均衡模型等。在《Proceeding of National Academy of Sciences》、《经济研究》、《经济学季刊》等国内外学术期刊发表学术论文100余篇。出版中英文著作8部。获国家自然科学基金委“优秀青年科学基金”和教育部“青年长江学者”资助。

Abstract: Traditional biomass energy, such as firewood, straw and other crop residues, is a major source of household residential energy consumption in rural China. However, household residential energy consumption is now undergoing a transition from biomass energy to modern commercial energies. As traditional biomass energy is mainly produced with family labor and is relatively labor intensive, an increase in wage rate would enhance opportunity costs of family labor. This therefore leads to a reduction in biomass energy production and consequently an increase in commercial energy consumption. This paper examines the impact of rising wage rate on energy choice and consumption in rural China. Using a unique panel data set collected from 409 families in 4 provinces, our results show that the wage rate at the village level has a significant negative impact on traditional biomass energy consumption. In addition, the consumption of electricity and renewable energy increase as local wage rate rises. Our analysis also finds that other factors, such as household wealth, access to markets, household size, average age of the household, and education level of household head, play an important role in explaining China’s rural household energy consumption.