经济学院2019年第五十一次学术讲座

——计量经济学讲座（十一）

主讲嘉宾:  张新雨 研究员

单 位：中科院系统所/预测中心

主讲题目：Prediction using many samples with models containing partially shared parameters

时 间：2019年10月14日（周一）下午16:00

地 点：经济学院105教室

 论文摘要：When a model of main research interest shares partial parameters with several other models, it is of benefit to incorporate the information contained in these other models to improve the estimation and prediction for the main model of interest. Various methods are possible to make use of the additional models as well as the additional observations related to these models. We propose an optimal strategy of doing so in terms of prediction. We develop the model averaging methodology and obtain the optimal weights. We also establish theory to support the method and show its desirable properties both when the main model is correct and when it is incorrect. Numerical experiments including simulation studies and data analysis are conducted to demonstrate the superior performance of our methods.

Joint work with Yizheng Wei and Yanyuan Ma.

嘉宾简介：张新雨，中科院系统所/预测中心研究员。主要研究方向为模型平均、模型选择和组合预测方法，发表论文50余篇，其中统计学四大期刊和计量经济学期刊Journal of Econometrics发表论文十余篇。曾主持国家自然科学基金青年、面上和优青项目。目前担任《JSSC》、《SADM》、《系统科学与数学》、《应用概率统计》副主编或编委、以及《Econometrics》的客座主编。