作者： 信息来源： 浏览次数： 发布时间：2019-05-07
报告题目：Macroeconomic Forecasting Using Approximate Factor Models with Outliers
报告人：周雨田 教授 主持人：田茂茜
报告时间：2019年5月10日（周五） 下午16:00-18:00
报告地点：经管园林大楼C315会议室
内容提要：In this paper we consider estimating an approximate factor model in which candidate predictors are subject to sharp spikes such as outliers or jumps. Given that those sharp spikes are assumed to be rare, we formulate the estimation problem as a penalized least squares problem by imposing a norm penalty function on those sharp spikes. Such a formulation allows us to simultaneously disentangle and estimate the sharp spikes from the common components. Numerical values of the estimates can be obtained by iteratively solving a principal component analysis (PCA) problem and a one dimensional shrinkage estimation problem. In addition, it is easy to incorporate methods for selecting the number of common components in the iterations. We then compare our method and PCA method by conducting simulation experiments to examine their finite-sample performances. We also apply our method to predict important macroeconomic indicators in the U.S. and find that it can deliver comparable performances as PCA method.
报告人简介：周雨田(Chou, Ray Yeutien)，1988年毕业于加州大学圣迭戈分校(UCSD)，师从美国著名计量经济学家、2003年诺贝尔经济学奖获得者罗伯特•恩格尔(Robert F. Engle)。台湾中央研究院经济研究所研究员，台湾交通大学管理学院合聘教授，西安交通大学金禾经济研究中心客座教授，博士生导师。致力于金融计量，财务经济，宏观经济等领域的研究。先后在Journal of Econometrics, Journal of Money, Credit and Banking, Journal of Banking and Finance, Journal of Applied Econometrics, Journal of Economics Dynamics and Control, Journal of International Forecasting, Oxford Bulletin of Economics and Statistics, 等著名国际SSCI期刊发表论文40余篇，其中一篇论文“ARCH Modelling in Finance”被翻译成法文并被广为引用，在Google Scholar 有将近6000次的引用次数。周雨田博士还先后多次被邀国际学术会议，并担任多个学术期刊的编辑，近年中多次名列经济学名人录“Who’s Who in Economics”。
