Speaker: Zixin Yang, Assistant Research Fellow (School of Statistics and Data Science, Shanghai University of Finance and Economics)

Host: Lan Lan, Assistant Professor (Li Anmin Institute of Economics, Liaoning University)

Guest Introduction: Minghai Mao, Assistant Professor (Li Anmin Institute of Economics, Liaoning University)

Date: Thursday, November 13, 2025

Time: 10:00 AM - 11:30 AM (Beijing Time)

Venue: First-floor Meeting Room, Wuzhou Garden, Chongshan Campus, Liaoning University

Online Access: Tencent Meeting ID 730-281-8924

Language: Chinese/English

Abstract:

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.

Speaker Profile

Zixin Yang is an assistant research fellow at the School of Statistics and Data Science, Shanghai University of Finance and Economics. Her main research areas include spatial econometrics, network econometrics, and nonparametric and semiparametric methods. Her research papers have been published in academic journals such as the Journal of Econometrics and the Journal of Business & Economic Statistics.