研究生workshop由首都经济贸易大学国际经济管理学院主办。主要内容：一是研究生报告前沿或经典文献，二是研究生报告自己的研究或研究设想。论坛宗旨是：为学院师生搭建一个学术交流平台，营造浓厚学术氛围；通过对经典论著或前沿文献的研讨，拓宽研究生的理论视野，提升研究生的前沿方法运用能力，帮助研究生提高论文写作质量。

本期workshop

报告人：崔同玮（博士二年级）

导师：牛毅

报告题目：《On the city size distribution: A finite mixture interpretation》，Journal of Urban Economics，2020

报告摘要：

Previous studies have shown that city size is lognormally distributed but have not reached a consensus on the shape of the upper tail. Using three datasets of U.S. cities and empirical distribution function statistics, I show that (1) the entire city size distribution is not lognormally distributed; (2) Zipf's law does not hold generally; and (3) the power-law tail is robust. I then provide an alternative explanation for the observed fat tail: A mixture of lognormal distributions can generate a power law tail. In fact, this fat tail has its statistical origin in Shaked's theorem. Finally, I provide an urban growth theory to explain how heterogeneous growth factors form a mixture that shapes the aggregate city size distribution.

既往研究表明城市规模呈对数正态分布，但对上限尾部的形状尚无共识。利用三个美国城市的数据集和经验分布函数统计数据，我发现：（1）整个城市规模分布并非对数正态分布；（2）齐普夫定律不普遍适用；（3）幂律尾部是稳健的。然后，我提出了对观察到的厚尾现象的另一种解释：对数正态分布的混合可以生成幂律尾部。实际上，这种厚尾具有其统计学来源于Shaked定理。最后，我提供了一个城市增长理论，以解释异质增长因素如何形成混合并塑造了城市规模总体分布。

报告人：梁华宇（博士二年级）

导师：李鲲鹏

报告题目：《Asset Pricing with Spatial Interaction》 Proof of Theorem 1，Management Science，2017

报告摘要：

We propose a spatial capital asset pricing model and a spatial arbitrage pricing theory (S-APT) that extend the classical asset pricing models by incorporating spatial interaction. We then apply the S-APT to study the comovements of eurozone stock indices (by extending the Fama–French factor model to regional stock indices) and the futures contracts on S&P/Case–Shiller Home Price Indices; in both cases, spatial interaction is significant and plays an important role in explaining cross-sectional correlation.

我们提出了一种空间资本资产定价模型和空间套利定价理论（S-APT），通过纳入空间交互来扩展经典资产定价模型。然后，我们将S-APT应用于研究欧元区股票指数的共同波动（通过将Fama-French因子模型扩展到区域股票指数）以及S&P/Case-Shiller房价指数期货合约；在这两种情况下，空间交互都是显著的，并在解释横截面相关性方面发挥重要作用。

报告人：郑雅璇（博士二年级）

导师：李鲲鹏

报告题目：《Recursive and Sequential Tests of the Unit-Root and Trend-Break Hypotheses: Theory and International Evidence》, Journal of Business and Economic Statistics, 1992

报告摘要：

This article investigates the possibility, raised by Perron and by Rappoport and Reichlin, that aggregate economic time series can be characterized as being stationary around broken trend lines. Unlike those authors, we treat the break date as unknown a priori. Asymptotic distributions are developed for recursive, rolling, and sequential tests for unit roots and/or changing coefficients in time series regressions. The recursive and rolling tests are based on changing subsamples of the data. The sequential statistics are computed using the full data set and a sequence of regressors indexed by a "break" date. When applied to data on real postwar output from seven Organization for Economic Cooperation and Development countries, these techniques fail to reject the unit-root hypothesis for five countries (including the United States) but suggest stationarity around a shifted trend for Japan.

本文研究了Perron、Rappoport和Reichlin提出的可能性，即总体经济时间序列可以被表征为围绕断裂趋势线处于稳定状态。与那些作者不同的是，我们将断裂日期视为先验未知。我们为单位根测试和/或时间序列回归中的变化系数开发了递归、滚动和顺序测试的渐近分布。递归和滚动测试基于数据的不同子样本。顺序统计是使用完整数据集和由“断裂”日期索引的一系列回归器计算的。当应用于七个经济合作与发展组织成员国的实际战后产出数据时，这些技术未能拒绝五个国家（包括美国）的单位根假设，但表明日本围绕一个偏移的趋势具有稳定性。