Xiaojun Song
Assistant Professor Business Statistics and Econometrics at Guanghua School of Management
Schools
- Guanghua School of Management
Links
Biography
Guanghua School of Management
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
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