一、报告题目：

 Estimation and Inference for Dynamic Semiparametric Famma-French Factor Model

二、报告人：

尤进红教授，上海财经大学统计与管理学院

三、报告时间：

2019年3月18日 （周一） 上午10:00-11:50

四、报告地点：

知新楼B321

五、报告人简介：

尤进红教授， 加拿大女皇大学（University of Regina）统计学博士，美国北卡罗纳教堂山分校博士后，上海财经大学统计与管理学院tenured常任轨教授、博士生导师和副院长，全国工业统计学教学研究会第九届理事会副会长，曾任Quality Technology and Quantitative Management (QTQM), special issue: Mathematical and Statistical Finance的客座编委（Guest Editor）。 尤进红教授有十余年的北美学习、工作经历。长期从事计量经济学、数理统计以及生物统计的科学研究； 在半参数、非参数回归建模，估计与检验及其在经济学、金融学和生物医学方面的应用开展了许多有价值的研究工作；在国际和国内著名的统计和经济学杂志（包括Journal of the American Statistical Association，Journal of Econometrics等）上发表学术论文六十余篇，其中三大检索论文四十余篇，被SCI他引几百余次；主持和参与过多个国家自科基金项目；为国际著名统计和计量经济杂志Annals of Statistics, Journal of the American Statistical Association , Biometrika和Journal of Econometrics的论文评审人。

六、 报告摘要：
In this paper, we propose a novel Famma-French factor model, namely dynamic semiparametric Famma-French factor model which could accommodate both the nonlinear effect of Famma-French factors and the time effect. By combining the spline and local polynomial techniques we develop a spline backfitted local polynomial method to estimate the unknown functions. In addition, the factor loadings are estimated across individuals by the least square method. The large sample properties of the proposed estimators are derived as well. Moreover, we propose generalized likelihood ratio tests to check whether the effect of the factors is dependent of time and whether the individuals share a common time trend. It is shown that these tests are consistent. Several simulation studies and a real data analysis are conducted to investigate the finite sample performance of the estimation and testing method.

七、主办单位：

龙门客栈资料库