个人简历

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。
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

研究领域

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"

近期论文

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/10.1080/07350015.2016.1166118
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/S0304407618301040
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/10.1080/07474938.2017.1365428
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/S0304407619300272, https://papers.ssrn.com/sol3/papers.cfm?abstract_id=2872084, and https://arxiv.org/abs/1611.06217
6. Measuring Granger Causality in Quantiles (with Abderrahim Taamouti), Journal of Business & Economic Statistics, Online, https://amstat.tandfonline.com/doi/full/10.1080/07350015.2020.1739531
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=3258551 and 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=3564679 and 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/338356251_Testing_Symmetry_in_Tail_Risk_and_Opportunity and https://www.researchgate.net/publication/335833799_Detecting_Asymmetry_in_Tail_Risk_and_Opportunity
17. Adaptive estimation of near-stationary autoregression with time-varying variances (with Jilin Wu and Zhijie Xiao), 2020
18. Semiparametric estimation of recurrent diffusion models (with Bin Wang), 2020