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主讲人 |
张荣茂 |
简介 |
<p>Current forecast evaluation tests can only assess forecasts generated at the same frequency. However, in real-world scenarios, predictions for the same economic variable may be made at different frequencies. The existing literature lacks statistical tests for evaluating such forecasts. This talk introduces a new evaluation test for comparing these forecasts. We propose a two-sample t-type test designed to test the equality of means between two potentially correlated time series that are sampled at different frequencies. No current estimator can compute the variance needed to studentize the difference in the sample means, given the potential temporal and cross-correlations, alongside the mixed-frequency nature of the related data. To address this, we propose a block-average-based variance estimator for this purpose. We derive the asymptotic null distribution of our new two-sample t statistic and analyze the test's local power. Through extensive Monte Carlo simulations, our two-sample test demonstrates favorable size and power characteristics in finite samples. Notably, in cases with small sample sizes, our approach outperforms existing heuristic methods, which involve discarding data to align forecasts and applying conventional tests. Additionally, we uncover interesting connections with relevant methods in the literature. </p> |
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主讲人简介 |
<p>张荣茂，浙江工商大学特聘教授，现为浙江省现场统计研究会副理事长，多元分析应用专业委员会副理事长，全国概率统计学会理事。曾任浙江大学数学科学学院教授、数据科学中心兼职教授，闽江学者讲座教授。2004年博士毕业于浙江大学，2004年7月至2006年6月在北京大学从事博士后研究，2006年2024年6月在浙江大学工作，多次访问香港科大、香港中文大学和伦敦政治经济学院。主要从事非平稳时间序列与高维时空数据的理论与应用研究，已在<em>Annals of Statistics (AOS)，Journal of the American Statistical Association (JASA)，Journal of Econometrics (JOE)，Econometric Theory (ET), Journal of Business and Economic Statistics (JBES)</em>等统计与计量经济的重要期刊发表SSCI/SCI论文60多篇。2015年获浙江省杰出青年基金，主持多项国家自然科学基金与省部级基金项目。2021年作为第一申报人获得浙江省自然科学奖（二等奖）和第一届统计学科学技术进步奖（三等奖）。兼任<em>J. Korean Stat. Soc.</em>等杂志编委。 </p> |
期数 |
高级计量经济学与统计学系列讲座2026年春季学期第五讲（总198讲） |
