学术报告题目：A Multi-Kink Quantile Regression Model with Common Structure for Panel Data Analysis

报告人： 钟威 教授（厦门大学）

报告时间：2021年12月22日（周三）上午10：00

报告地点：腾讯会议 205-718-623

报告摘要：

Stimulated by the analysis of a data set on financial portfolio returns, we propose a multi-kink quantile regression (MKQR) model with latent homogeneous structure for panel data analysis. The proposed model accounts for both homogeneity and heterogeneity among individuals and parameters in panel data analysis. From statistical modelling point of view, it well balances the risk of misspecification and the model parsimony. From practical point of view, it is able to reveal not only the impacts of covariates in the global sense, but also individual attributes. An estimation procedure is presented to estimate both the unknown parameters and the latent homogeneous structure in the proposed model. Computational issues with the implementation of the estimation procedure are also discussed. Asymptotic theory of the estimators is established. It shows the necessity of taking into account both homogeneity and heterogeneity in panel data analysis. Monte Carlo simulation studies are conducted to demonstrate the finite sample performance of the proposed estimation and the risk of ignoring the homogeneity or heterogeneity among individuals. Finally, we apply the proposed model and the estimation procedure to the data set which stimulates this work and reveal some interesting findings.

报告人简介：钟威，现任厦门大学王亚南经济研究院、经济学院统计学与数据科学系教授，博士生导师。2012年获得美国宾夕法尼亚州立大学统计学博士学位，2014年和2017年分别破格晋升副教授和教授，2018年入选厦门大学“南强青年拔尖人才”（A类），国家自然科学基金优秀青年基金获得者（2019），福建省杰出青年基金获得者（2019）。主要从事高维数据统计分析、非线性统计建模、计量经济学、统计学和数据科学的应用等研究。担任学术期刊《Statistical Analysis and Data Mining》和《Canadian Journal of Statistics》的编委（AE），在The Annals of Statistics, Journal of the American Statistical Association, Biometrika, Journal of Business & Economic Statistics, Annals of Applied Statistics, Statistica Sinica，中国科学数学等国内外统计学权威期刊发表（含接收）20多篇论文，其中入选ESI前1%高被引论文2篇。2016年获得厦门大学第五届英语教学比赛一等奖，2020年获得厦门大学第十五届青年教师技能比赛特等奖，2020年获得厦门大学“我最喜爱的十位老师”称号，2021年获得厦门大学教学创新大赛一等奖。