On 31 August 2026, the Faculty of Finance at the City University of Macau hosted its inaugural Academic Salon for the 2026–27 academic year at the Golden Dragon Campus. The event featured Assistant Professor Yu Bai of the City University of Macau, who presented his research paper entitled “Series Estimation of Cointegrated Systems with Time-Varying Coefficients”.

This paper develops a series estimation framework for cointegrated systems with coefficients that evolve smoothly over time. After establishing the baseline limit theory, it advances an asymptotic efficiency theory for a broad class of series estimators. Building on this foundation, the paper introduces a series-based dynamic OLS estimator (SDOLS), which attains the efficiency bound while remaining straightforward to implement. Monte Carlo simulations demonstrate that the SDOLS estimator delivers satisfactory finite-sample performance and generally outperforms existing alternatives. An empirical application to the consumption–wealth ratio further shows that allowing for time variation in the cointegrating relationship often enhances equity-premium forecast accuracy compared with conventional fixed-coefficient specifications.

During the Academic Salon, Assistant Professor Bai shared his latest research findings with the Faculty of Finance, enriching the faculty’s academic horizons. The Faculty of Finance Academic Salon at the City University of Macau serves as a platform for exchanging ideas and fostering scholarly awareness. With a focus on finance and economics, the salon invites experts from academia and the financial industry to discuss cutting-edge research and industry trends, offering new perspectives and intellectual models to faculty and students alike. Through initiatives such as the Academic Salon, the Faculty aims to provide graduate students with a stronger academic platform while encouraging deeper exploration and research among both faculty and students.