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Chen Ye |
Enrolled in 2009, Chen Ye is currently in her fourth year of the PhD in Economics programme. Her research advisors are Professor Jun Yu and Associate Professor Anthony Tay, both from the School of Economics. Her research interests lie in econometric theory, applied econometrics, and forecasting. Ye’s primary research is about non-stationary time series. In her first paper co-authored with Professor Yu, “Optimal Jackknife for Discrete Time and Continuous Time Unit Root Models”, she proposed an optimal jackknife estimator that minimises the variance and works both in the discrete time unit root model as well as in the continuous time unit root model. This method provides an effective way of addressing the estimation problem of severe finite sample bias in maximum-likelihood estimation of the persistence parameter in the discrete time-unit root model. Other ongoing projects Ye is undertaking involve the restricted maximum-likelihood estimation method. This method not only produces a less-biased estimator but also helps improve the test performance. |
