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    上傳時間:  2019-05-07      瀏覽次數:  

      報告題目:Macroeconomic Forecasting Using Approximate Factor Models with Outliers

      報告人:周雨田  教授                  主持人:田茂茜

      報告時間:2019年5月10日(周五)     下午16:00-18:00


      內容提要: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 ?nite-sample performances. We also apply our method to predict important macroeconomic indicators in the U.S. and ?nd that it can deliver comparable performances as PCA method.

      報告人簡介:周雨田(Chou, Ray Yeutien),1988年畢業于加州大學圣迭戈分校(UCSD),師從美國著名計量經濟學家、2003年諾貝爾經濟學獎獲得者羅伯特•恩格爾(Robert F. Engle)。臺灣中央研究院經濟研究所研究員,臺灣交通大學管理學院合聘教授,西安交通大學金禾經濟研究中心客座教授,博士生導師。致力于金融計量,財務經濟,宏觀經濟等領域的研究。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, 等著名國際SSCI期刊發表論文40余篇,其中一篇論文“ARCH Modelling in Finance”被翻譯成法文并被廣為引用,在Google Scholar 有將近6000次的引用次數。周雨田博士還先后多次被邀國際學術會議,并擔任多個學術期刊的編輯,近年中多次名列經濟學名人錄“Who’s Who in Economics”。