首页 |  新网站|  English|  bimba 

[5月20日]"计量经济学和金融计量" Workshop


 发布日期:2015-5-18 8:11:00 来源:本站         浏览:         字体:       打印
"计量经济学和金融计量" Workshop通知
讲座时间:5月20日(星期三)中午12:05-14:00
讲座地点:国家发展研究院万众楼一楼小教室
主讲人: 涂云东教授
题目: Nonparametric and Semiparametric  Regressions Subject to Monotonicity Constraints: Estimation and Forecasting
主讲人简介:涂云东博士,现任北京大学光华管理学院助理教授。研究方向计量经济学和金融计量。 在Journal of Econometrics, Journal of Business and Economic Statistics 等英文权威期刊发表多篇论文。

Abstract:
This paper considers nonparametric and semiparametric regression models subject to monotonicity constraint. We use bagging as an alternative approach to Hall and Huang (2001). Asymptotic properties of our proposed estimators and forecasts are established. Monte Carlo simulation is conducted to show their finite sample performance. An application to predicting equity premium is taken for illustration. We introduce a new forecasting evaluation criterion based on the second order stochastic dominance in the size of forecast errors and compare models over different sizes of forecast errors. Imposing monotonicity constraint can mitigate the chance of making large size forecast errors.
 
国发院研究生校友

 
 ;
Copyright© 1994-2012 北京大学 国家发展研究院 版权所有,京ICP备05005746
保留所有权利,不经允许请勿挪用,有任何问题与建议请联络:webmaster@nsd.pku.edu.cn