Linlin Niu

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We propose the use of a local autoregressive (LAR) model for adaptive estimation and forecasting of three of China's key macroeconomic variables: GDP growth, inflation and the 7-day interbank lending rate. The approach takes into account possible structural changes in the data-generating process to select a local homogeneous interval for model estimation,(More)
Our proposed local vector autoregressive (LVAR) model has time-varying parameters that allow it to be safely used in both stationary and non-stationary situations. The estimation is conducted over an interval of local homogeneity where the parameters are approximately constant. The local interval is identified in a sequential testing procedure. Numerical(More)
This paper studies the economic integration of East Asian economies among one another and with the US using co-movement of stock market prices. Both time-varying correlations and regressions are employed. We have traced the increased integration from 1980 to 2011 among the NIEs of Korea, Hong Kong, Taiwan and Singapore, the increase in integration of China(More)
This paper proposes a term structure model with macro VAR in a stochastic volatility setting. The speci…c feature of this model is that the risk premium of yields is directly driven by the time-varying variance-covariance of the VAR innovations, which is modeled by a Wishart Autoregressive process. Extending the essentially a¢ ne term structure model, this(More)
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