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北航经商院 • 经济学双周论坛第一期

发布时间: 2017/09/27 16:57:46     点击次数:次   打印本页

   为促进学院经济学学科发展,经济与商学研究院于20179月正式启动“北航经商院经济学双周论坛”学术讨论活动,论坛第一期讨论将于本周四(9月28日)中午12:00-14:00举行,地点在新主楼A949

 

在此诚挚邀请您参与讨论,对学院青年老师的科研工作斧正指导。

 

论坛具体日程安排如下:

 

 

 

 

 

题目:   Nonparametric Conditional Quantile Function Estimation for

 

          Time Series Data

 

主讲人:Xirong Chen (陈悉榕)

 

摘要:

 

In this paper we consider the problem of forecasting a conditional quantile function in a nonparametric framework with time series data. We prove the consistency and asymptotic normality of our nonparametric conditional quantile estimator for absolutely regular processes (β-mixing) data generating processes. We derive the asymptotic distribution of our proposed estimator and conduct Monte Carlo experiments to compare the finite sample performance of our estimator and traditional check function based estimator. Simulation results show that our estimator outperforms the check function based estimator in terms of out-of-sample forecasting. We also apply the estimation method to forecast monthly U.S. housing return based on S&P/Case-Shiller House Price Indices and compare the forecasting results with those obtained by using a commonly used linear conditional quantile model and by using conventional check function based nonparametric conditional quantile estimator. Our estimator forecast well compared to these competitors, especially for data in the tail regions.

 

主讲人简介:

 

陈悉榕博士毕业于美国德州农工大学( Texas A&M University)经济学系,专注于研究应用微观计量经济学、金融计量经济学及理论计量经济学相关领域;曾获德州农工大学PERC夏季研究奖,并在2016INFORMS年会及201728POMS年会展示其优秀的学术研究成果。

 

 

 

 

   

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经济与商学研究院

 

2017927