Xiaojun Song

Research Areas

• Econometric Theory
• Nonparametric and Semiparametric Methods
• Specification Testing
• Bootstrap Methods
• Time Series Analysis

Education Background

• 2004 Yunnan University Economics
  
• 2009 Xiamen University Finance
• 2009 Singapore Management University Economics
  
• 2011 Universidad Carlos III de Madrid Economic Analysis
  
• 2014 Universidad Carlos III de Madrid Candidate in Economics
  

Research Results

• Measuring Nonlinear Granger Causality in Mean (with Abderrahim Taamouti), Journal of Business & Economic Statistics, 2018, 36:2, 321-333,
• Nonparametric Tests for Conditional Symmetry (with Miguel A. Delgado), Journal of Econometrics, 2018, 206:2, 447-471,
• A Nonparametric Specification Test for the Volatility Functions of Diffusion Processes (with Qiang Chen and Meidi Hu), Econometric Reviews, 2019, 38:5, 557-576,
• 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,
• Specification Tests for the Propensity Score (with Pedro H.C. Sant'Anna), Journal of Econometrics, 2019, 210:2, 379-404,
• Measuring Granger Causality in Quantiles (with Abderrahim Taamouti), Journal of Business & Economic Statistics, 2020, Online,
• A Nonparametric Measure of Heteroskedasticity (with Abderrahim Taamouti), Journal of Statistical Planning and Inference, 2020, Accepted,
• 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,
• Nonparametric Tests of Conditional Independence for Time Series, 2018,
• Covariate Distribution Balance via Propensity Scores (with Pedro H.C. Sant'Anna and Qi Xu), 2019, R&R,
• Value-at-Risk under Measurement Error (with Mohamed Doukali and Abderrahim Taamouti), 2019, Submitted
• On Smooth Tests for the Equality of Distributions (with Zhijie Xiao), 2019, R&R
• Testing Semiparametric Predictive Regression Model (with Haoxi Yang), 2019
• Testing for Asymmetric Comovements (with O-Chia Chuang and Abderrahim Taamouti), 2019, R&R
• Testing for Trend Specifications in Panel Data Models (with Jilin Wu and Zhijie Xiao), 2020, Submitted
• Specification Tests for Generalized Propensity Scores Using Double Projections (with Pedro H.C. Sant'Anna), 2020, R&R,
• Testing Symmetry in Tail Risk and Opportunity (with Shuo Li and Liuhua Peng), 2020, Submitted,
• Adaptive estimation of near-stationary autoregression with time-varying variances (with Jilin Wu and Zhijie Xiao), 2020, Submitted
• Semiparametric estimation of recurrent diffusion models (with Bin Wang), 2020