经济学院2018年第一次学术讲座

讲座题目：Theory and Practice on Semiparametric Model Averaging for Nonlinear Time Series Forecasting

主讲人：卢祖帝 英国南安普顿大学 数学科学学院和南安普顿统计科学研究所教授

讲座时间：2018年1月15日（周一）下午4：00—5：30

讲座地点：经济学院106教室

内容摘要:In this talk, I will review some recent progress in theory and practice on semiparametric model averaging schemes for nonlinear dynamictime series regression modelling with a very large number of covariatesincluding exogenous regressors and autoregressive lags. Our objective is to obtain more accurate estimates and forecasts of time series by usinga large number of conditioning information variables in a nonparametric way. We have proposed several semiparametric penalized methods of Model Averaging MArginal Regression (MAMAR) for the regressors and autoregressors either through an initial screening procedure to screen out theregressors whose marginal contributions are not signicant in estimating the joint multivariate regression function or by imposing an approximatefactor modelling structure on the ultrahigh dimensional exogenous regressors with principal component analysis used to estimate the latent common factors. In either case, we construct the optimal combination of the signicant marginal regression and autoregression functions to approximate the objective joint multivariate regression function. Asymptotic properties for these schemes are derived under some regularity conditions.Empirical applications of the proposed methodology to forecasting the economic risk, such as inflation risk in the UK, will be demonstrated.

主讲人简介：卢祖帝教授，现为英国南安普顿大学数学科学学院和南安普顿统计科学研究所统计学讲席(CHAIR)教授、博士生导师。他的研究主要包括非线性时间序列和空间数据的统计分析和计量经济建模问题的理论研究和应用研究。主持过欧盟研究基金1项，澳大利亚国家基金委(ARC)研究项目3项，主持或共同主持过中国国家自然科学基金研究项目3项。他是国际上非线性空间和时空数据分析的先锋研究者之一。由于他的杰出研究工作，他先后荣获2010年度澳洲国家基金委（ARC）相应于中国国家自然科学基金委杰出青年基金的澳洲‘未来’（Australian future fellowship）研究基金项目和2013年度的欧盟居里夫人人员(people)研究项目，并获1999年度中国国家自然科学基金委管理学部的重点项目。他已在国际统计学和计量经济学的主要杂志包括顶级期刊Annals of Statistics，Journal of American Statistician Association, Journal of Royal Statistical Society series B, Journal of Econometrics, Econometric Theory等发表80多篇学术论文。