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Prof. Oliver Linton:Estimationin Semiparametric Quantile Factor Models

Publish Date: 2017/11/21 08:51:34    Hits:

On17thNovember, 2017, we welcome Prof. Oliver Linton to our serieslecture on “Economics and Business”, as well as his speech on Estimation inSemiparametric Quantile Factor Models. Prof. Linton serves Professor ofPolitical Economy, a Fellow of Trinity College at University of Cambridge, andalso as Co-Editor of Journal of Econometrics. The lecture was hosted by Prof. YingFAN, Dean of School of Economics and Management at Beihang University.

Inthe following lecture, Prof. Linton showed us his latest frontier researches onan estimation methodology for a semiparametric quantile factor panel model. Thetools for inference are robust to the existence ofmoments and to the form of weak cross-sectional dependence in the idiosyncraticerror term and are applied to CRSP daily data.

Duringand after the lecture, more than 50 scholars and students from the SEM discussedthe key points of the researches, and also raised quite a few methodologicaland empirical questions that provoke further thinking on the issue from bothparties.