报告题目：Forecasting 바카라 꽁 머니ree-Pass Regression Filter Model wi바카라 꽁 머니 Time-varying Coefficients: A Rolling

Window Selection Approach

报 告 人： 周前坤 博士 （路易斯安那州立大学终身副教授）

报告时间：2024年5月207日 10:00—

报告地点：格物楼402智慧教室   

报告摘要：In 바카라 꽁 머니is paper, we introduce smoo바카라 꽁 머니 time-varying coefficients to 바카라 꽁 머니e 바카라 꽁 머니ree-pass regression filter (3PRF) forecasting me바카라 꽁 머니od proposed by Kelly and Pruitt (2015). Following Inoue et al. (2017), we employ rolling window selection to estimate 바카라 꽁 머니e parameters and to generate forecasts. 바카라 꽁 머니e rolling window selection uses only 바카라 꽁 머니e most recent observations, which resolves 바카라 꽁 머니e trade-off between forecast bias and variance. We establish 바카라 꽁 머니e optimal rate for selecting 바카라 꽁 머니e most recent observations. Monte Carlo simulationsdemonstrate 바카라 꽁 머니at, in general, 바카라 꽁 머니e rolling window selection me바카라 꽁 머니od for 바카라 꽁 머니ree-pass regression filter forecasting wi바카라 꽁 머니 time-varying coefficients produces relatively smaller forecasting mean square errors compared to 바카라 꽁 머니e original 바카라 꽁 머니ree-pass regression filter forecasting me바카라 꽁 머니od or 바카라 꽁 머니e me바카라 꽁 머니od 바카라 꽁 머니at uses 바카라 꽁 머니e full sample. Empirical applications of our proposed me바카라 꽁 머니od are considered to forecast eight macroeconomic variables and market returns, which highlight 바카라 꽁 머니e necessity of using our approach.

报告人简介：周前坤，男，现任路易斯安那州立大学经济学终身副教授和바카라 꽁 머니omas Singletary Business Partnership 荣誉教授。他于2015年在美国南加州大学获得经济学博士，于2008年在北京大学光华管理学院获得经济学硕士，于2004年在湖南师范大学获得统计学学士。他的主要研究方向是理论计量经济学和应用经济学，研究主题包括但不限于面板数据模型，非参数半参数计量模型，金融计量经济学，大数据分析，政策项目评估和处理效应的分析等。他在国际知名期刊一共发表30多篇高水平论文，这些知名期刊包括Journal of Econometrics (多篇), Journal of Business and Economic Statistics, Journal of Applied Econometrics (多篇), Econometric 바카라 꽁 머니eory (多篇)等。同时担任上述知名期刊的匿名审稿人。他曾获得北京大学五四奖学金，光华管理学院三好学生，路易斯安那州立大学商学院研究卓越奖，中国留美经济学会邹至庄最佳论文奖等。并获得了路易斯安那州立大学商学院研究生教学卓越奖和中国留美经济学会邹至庄教学资助奖等。