时间：2021年10月15日（周五）10:00 AM -- 11:30 AM

主讲人：陈齐辉（香港中文大学（深圳））

题目：Semiparametric Conditional Factor Models: Estimation and Inference (with Nikolai Roussanov and Xiaoliang Wang) （半参数条件因子模型：估计和推断）

地点：经院107

主持人：（国发院）沈艳、黄卓、孙振庭、张俊妮

              （北大新结构经济学研究院）胡博

              （经济学院）王一鸣、王熙、刘蕴霆、王法

报告摘要：This paper introduces a simple and tractable sieve estimation for semiparametric conditional factor models, and develops a simple bootstrap procedure for inference on nullity of intercept function and linearity of intercept and factor loadings functions. We establish large-$N$-asymptotic properties of the estimators and the tests without requiring large $T$. We additionally provide two consistent estimators for the number of factors.  The results enable us to estimate conditional (dynamic) behavior of a large set of individual assets from a number of characteristics exhibiting nonlinearity without the need to pre-specify factors, while allowing us to disentangle the alpha versus beta explanations. We apply the methods to explain the cross-sectional differences of individual stock returns in the US market, and find strong evidence of nonzero pricing error and nonlinearity in both alpha and beta functions.

主讲人简介：

陈齐辉：香港中文大学（深圳）经管学院助理教授，加利福尼亚大学圣地亚哥分校经济学博士，新加坡管理大学经济学硕士，厦门大学经济学学士和硕士，以及厦门大学数学学士，近年来从事计量经济学理论和应用计量经济学的研究。