辽宁大学经济学前沿高端讲座第一百零二讲 Nonparametric Network Vector Autoregression

来源：

学校官网

收录时间：

2025-11-12 11:49:18

时间：

2025-11-13 10:00:00

地点：

辽宁大学崇山校区五洲园一楼会议室

报告人：

杨子欣

学校：

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关键词：

Nonparametric, Network, Vector Autoregression, High-dimensional Time Series, Sieve Least Squares, Specification Test, Sina Weibo

简介：

This paper examines the nonlinear dynamics of a high-dimensional time series collected from the nodes of a large-scale network. We propose a first-order vector autoregressive model that incorporates nonlinear and nonparametric network and momentum effects. The model further accommodates node-level heterogeneity in the response functions. For estimation, we develop a sieve least squares estimator and establish its consistency and asymptotic normality under various asymptotic regimes. Furthermore, a specification test is proposed to examine the linearity of the nonparametric components. The test statistic has an asymptotically standard normal distribution under the null hypothesis and a sequence of Pitman local alternatives. The usefulness of the proposed model is illustrated through a user activity analysis on Sina Weibo, China's largest Twitter-like social media platform.

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