商务统计与经济计量系
助理教授
sxj@gsm.pku.edu.cn
简介:
宋晓军，北京大学光华管理学院商务统计与经济计量系助理教授。毕业于马德里卡洛斯三世大学经济系，获经济学博士学位。研究方向是理论计量经济学和应用计量经济学。

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
职业经历:
研究成果:
1. 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/**.2016.**
2. Nonparametric Tests for Conditional Symmetry (with Miguel A. Delgado), Journal of Econometrics, 2018, 206:2, 447-471
https://www.sciencedirect.com/science/article/pii/S1040
3. 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/**.2017.**
4. 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
5. 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/S0272
https://papers.ssrn.com/sol3/papers.cfm?abstract_id=**
https://arxiv.org/abs/1611.06217
6. Measuring Granger Causality in Quantiles (with Abderrahim Taamouti), Journal of Business & Economic Statistics, Forthcoming
https://amstat.tandfonline.com/doi/full/10.1080/**.2020.**
7. Significance Testing in Nonparametric Autoregression, 2014
8. Covariate Distribution Balance via Propensity Scores (with Pedro H.C. Sant'Anna and Qi Xu), 2019, Submitted
https://papers.ssrn.com/sol3/papers.cfm?abstract_id=**
https://arxiv.org/abs/1810.01370
9. Value-at-Risk under Market Microstructure Noise (with Mohamed Doukali and Abderrahim Taamouti), 2019, Submitted
10. On Smooth Tests for the Equality of Distributions (with Zhijie Xiao), 2019, R&R
11. Testing Semiparametric Predictive Regression Model (with Haoxi Yang), 2019
12. Testing for Asymmetric Comovements (with O-Chia Chuang and Abderrahim Taamouti), 2019, R&R
13. A Nonparametric Measure of Heteroskedasticity (with Abderrahim Taamouti), 2019, R&R
14. Testing for Trend Specifications in Panel Data Models (with Jilin Wu and Zhijie Xiao), 2020, Submitted
15. Specification Tests for Generalized Propensity Scores Using Double Projections (with Pedro H.C. Sant'Anna), 2020, Submitted
https://papers.ssrn.com/sol3/papers.cfm?abstract_id=**
https://arxiv.org/abs/2003.13803
16. Testing Symmetry in Tail Risk and Opportunity (with Shuo Li and Liuhua Peng), 2020, Submitted
https://www.researchgate.net/publication/_Testing_Symmetry_in_Tail_Risk_and_Opportunity
https://www.researchgate.net/publication/_Detecting_Asymmetry_in_Tail_Risk_and_Opportunity