Robust Quantile Factor Models
报告人： 陈松年 (浙江大学)
时间：2023-10-26 15:10-17:00
地点：Room 217, Guanghua Building 2
Abstract:
In factor model analysis strong factors are commonly assumed. There has some progress made in the literature in allowing for weaker factors/loadings, in which case some specific structure is imposed on the strength of the factors/loadings. In this paper we consider quantile regression of factor models with possibly very weak factors, without imposing a similar structure. We establish large sample properties of our estimator, which performs well in finite samples.
About the Speaker:
陈松年，世界计量经济学会院士，浙江大学青山讲席教授、经济学院教授，主要从事理论与应用微观计量学研究工作。1994年毕业于普林斯顿大学（Princeton University）经济学系，获经济学博士学位（Ph.D. Economics）。曾任新加坡国立大学经济学系讲席教授、香港科技大学经济系讲席教授。陈教授是计量经济学领域享有盛誉的国际知名学者，特别是在微观计量经济学领域具有突出成绩，在截断删失回归、分位数回归、样本选择模型等领域的研究享誉国际。已在Econometrica, Review of Economic Studies, Journal of Econometrics等国际学术期刊发表论文40余篇。陈教授在计量经济学顶刊Journal of Econometrics长期担任副主编，是该期刊的荣誉会员。
Your participation is warmly welcomed!
欢迎扫码关注北大统计科学中心公众号，了解更多讲座信息!
