宋晓军 - 北京大学 - 光华管理学院

个人简介

教育背景 2004 云南大学经济学学士 2009 厦门大学金融学硕士 2009 新加坡管理大学经济学硕士 2011 马德里卡洛斯三世大学经济学硕士 2014 马德里卡洛斯三世大学经济学博士职业经历 2014.10-2021.1 助理教授, 北京大学光华管理学院 2021.2-至今副教授, 北京大学光华管理学院

研究领域

计量经济学理论非参数与半参数方法模型设定检验自助方法时间序列分析

近期论文

查看导师新发文章（温馨提示：请注意重名现象，建议点开原文通过作者单位确认）

Measuring nonlinear Granger causality in mean (with Abderrahim Taamouti), Journal of Business & Economic Statistics, 2018, 36:2, 321-333, https://www.tandfonline.com/doi/abs/10.1080/07350015.2016.1166118 Nonparametric tests for conditional symmetry (with Miguel A. Delgado), Journal of Econometrics, 2018, 206:2, 447-471, https://www.sciencedirect.com/science/article/pii/S0304407618301040 A nonparametric specification test for the volatility functions of diffusion processes (with Qiang Chen and Meidi Hu), Econometric Reviews, 2019, 38:5, 557-576, https://www.tandfonline.com/doi/abs/10.1080/07474938.2017.1365428 A better understanding of Granger causality analysis: A Big data environment (with Abderrahim Taamouti), Oxford Bulletin of Economics and Statistics, 2019, 81:4, 911-936, https://onlinelibrary.wiley.com/doi/full/10.1111/obes.12288 Specification tests for the propensity score (with Pedro H.C. Sant'Anna), Journal of Econometrics, 2019, 210:2, 379-404, https://www.sciencedirect.com/science/article/pii/S0304407619300272, https://papers.ssrn.com/sol3/papers.cfm?abstract_id=2872084, and https://arxiv.org/abs/1611.06217 A nonparametric measure of heteroskedasticity (with Abderrahim Taamouti), Journal of Statistical Planning and Inference, 2021, 212, 45-68, https://www.sciencedirect.com/science/article/pii/S0378375820301105 and https://papers.ssrn.com/sol3/papers.cfm?abstract_id=3653053 Measuring Granger causality in quantiles (with Abderrahim Taamouti), Journal of Business & Economic Statistics, 2021, 39:4, 937-952, https://amstat.tandfonline.com/doi/full/10.1080/07350015.2020.1739531 On smooth tests for the equality of distributions (with Zhijie Xiao), Econometric Theory, 2022, 38:1, 194-208, https://doi.org/10.1017/S0266466620000596 Testing for asymmetric comovements (with O-Chia Chuang and Abderrahim Taamouti), Oxford Bulletin of Economics and Statistics, 2022, 84:5, 1153-1180, https://onlinelibrary.wiley.com/doi/10.1111/obes.12485 A non-parametric test for multi-variate trend functions (with Erhua Zhang and Jilin Wu), Journal of Time Series Analysis, 2022, 43:6, 856-871, https://onlinelibrary.wiley.com/doi/10.1111/jtsa.12641 Testing for trend specifications in panel data models (with Jilin Wu and Zhijie Xiao), Journal of Business & Economic Statistics, 2022, https://www.tandfonline.com/doi/full/10.1080/07350015.2022.2035227 Covariate distribution balance via propensity scores (with Pedro H.C. Sant'Anna and Qi Xu), Journal of Applied Econometrics, 2022, https://onlinelibrary.wiley.com/doi/abs/10.1002/jae.2909, https://papers.ssrn.com/sol3/papers.cfm?abstract_id=3258551 and https://arxiv.org/abs/1810.01370 Simultaneous confidence bands for conditional value-at-risk and expected shortfall (with Shuo Li and Liuhua Peng), Econometric Theory, 2022, https://doi.org/10.1017/S0266466622000275 Significance testing in nonparametric autoregression, 2014 Intergenerational top income and wealth mobility in Taiwan: A nonparametric approach (with O-Chia Chuang and Ming-Jen Lin), 2016, https://www.researchgate.net/publication/311886715_Intergenerational_Top_Income_and_Wealth_Mobility_in_Taiwan_A_Nonparametric_Approach Value-at-risk under measurement error (with Mohamed Doukali and Abderrahim Taamouti), 2019, R&R Testing semiparametric predictive regression model (with Haoxi Yang), 2019 Specification tests for generalized propensity scores using double projections (with Pedro H.C. Sant'Anna), 2020, R&R, https://papers.ssrn.com/sol3/papers.cfm?abstract_id=3564679 and https://arxiv.org/abs/2003.13803 A global nonparametric estimator for state pricing density (with Chenxu Li and Yating Wan), 2021, Submitted Adaptive estimation of near-stationary autoregression with time-varying variances (with Jilin Wu and Zhijie Xiao), 2021, R&R Nonparametric tests of conditional independence for time series (with Haoyu Wei), 2021, https://arxiv.org/abs/2110.04847 and https://www.researchgate.net/publication/343994766_Nonparametric_Tests_of_Conditional_Independence_for_Time_Series Smooth tests for normality in ANOVA (with Haoyu Wei), 2021, https://papers.ssrn.com/sol3/papers.cfm?abstract_id=3939957 and https://arxiv.org/abs/2110.04849 Testing impacts on inefficiency in a semiparametric stochastic frontier model (with Jen-Che Liao and Hung-Jen Wang), 2021, https://www.researchgate.net/publication/361162108_Testing_impacts_on_inefficiency_in_a_semiparametric_stochastic_frontier_model Trending time-varying coefficient spatial panel data models (with Hsuan-Yu Chang and Jihai Yu), 2022, https://papers.ssrn.com/sol3/papers.cfm?abstract_id=4072522, R&R A unified nonparametric test of transformations on distribution functions with nuisance parameters (with Xingyu Li and Zhenting Sun), 2022, http://arxiv.org/abs/2202.11031, R&R Efficient estimation of partially linear additive spatial autoregressive models (with Shiyuan Chen and Jihai Yu), 2022, Submitted Specification analysis of conditional distribution functions (with Shengtao Dai and Zhijie Xiao), 2022 Testing linearity in semi-functional partially linear regression models (with Yongzhen Feng and Jie Li), 2022, https://arxiv.org/abs/2212.00524, Submitted Testing conditional moment restriction models in reproducing kernel Hilbert spaces (with Yuhao Li), 2022 Checking the adequacy of quantile regression models (with Shengtao Dai and Zhijie Xiao), 2022 A new class of joint tests for conditional distributions (with Shengtao Dai and Jilin Wu), 2022 Testing conditional quantile independence with functional covariate (with Yongzhen Feng and Jie Li), 2023 Semiparametric estimation of recurrent diffusion models (with Bin Wang), Work in progress Nonparametric consistent tests for quantile regression models with endogeneity (with Jen-Che Liao), Work in progress House-purchase restriction and predictability reversal in China's house market (with Yuansheng Wang and Haoxi Yang), Work in progress