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  • 统计与管理学院2018年学术报告第37期

    【主 题】 Estimation and Inference in Semiparametric Quantile Factor Models

    【报告人】 马舒洁  副教授

                University of California - Riverside

    【时 间】 2018年07月20日(星期五)16:00-17:00

    【地 点】 上海财经大学统计与管理学院大楼1208会议室

    摘 要】In this talk, I will introduce an estimation methodology for a semiparametric quantile factor panel model. I will also talk about our proposed tools for inference that are robust to the existence of moments and to the form of weak cross-sectional dependence in the idiosyncratic error term. Specifically, we use sieve techniques to obtain preliminary estimators of the nonparametric beta functions, and use these to estimate the factor return vector at each time period. We then update the loading functions and factor returns sequentially. We derive the limiting properties of our estimated factor returns and factor loading functions under weak conditions on cross-section and temporal dependence. Lastly, I will talk about applications of our method to daily stock return data.

    嘉宾简介】Shujie Ma is an associate professor in Department of Statistics at University of California-Riverside. Her current research interests include precision medicine, large-scale data analysis, factor models and inference of high-dimensional data and nonlinear time series data. She is currently serving on the editorial boards for JSPI, Statistica Sinica and The American Statistican.