Song, Xiaojun
Business Statistics and Econometrics
Associate Professor
TEL:86-10-62754839
Email:sxj@gsm.pku.edu.cn
Xiaojun Song currently is the Associate Professor of Business Statistics and Econometrics at Guanghua School of Management of Peking University. Xiaojun has a PhD in Economics from Universidad Carlos III de Madrid in Spain. His fields of specialization are theoretical and applied econometrics.
Research Areas
Econometric Theory
Nonparametric and Semiparametric Methods
Specification Testing
Bootstrap Methods
Time Series Analysis
Education
2014 |
Ph.D. |
Candidate in Economics |
Universidad Carlos III de Madrid |
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2011 |
MSc |
Economic Analysis |
Universidad Carlos III de Madrid |
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2009 |
MSc |
Economics |
Singapore Management University |
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2009 |
MA |
Finance |
Xiamen University |
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2004 |
BA |
Economics |
Yunnan University |
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Professional Experiences
2014.10-2021.1 Assistant Professor, Guanghua School of Management, Peking University
2021.2-present Associate Professor, Guanghua School of Management, Peking University
• 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
• 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
• 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
• 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
• 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
• A nonparametric measure of heteroskedasticity (with Abderrahim Taamouti), Journal of Statistical Planning and Inference, 2021, 212, 45-68, https://www.sciencedirect.com/science/article/pii/S0378375820301105 and https://papers.ssrn.com/sol3/papers.cfm?abstract_id=3653053
• Measuring Granger causality in quantiles (with Abderrahim Taamouti), Journal of Business & Economic Statistics, 2021, 39:4, 937-952, https://amstat.tandfonline.com/doi/full/10.1080/07350015.2020.1739531
• On smooth tests for the equality of distributions (with Zhijie Xiao), Econometric Theory, 2022, 38:1, 194-208, https://doi.org/10.1017/S0266466620000596
• Testing for asymmetric comovements (with O-Chia Chuang and Abderrahim Taamouti), Oxford Bulletin of Economics and Statistics, 2022, 84:5, 1153-1180, https://onlinelibrary.wiley.com/doi/10.1111/obes.12485
• A non-parametric test for multi-variate trend functions (with Erhua Zhang and Jilin Wu), Journal of Time Series Analysis, 2022, 43:6, 856-871, https://onlinelibrary.wiley.com/doi/10.1111/jtsa.12641
• Testing for trend specifications in panel data models (with Jilin Wu and Zhijie Xiao), Journal of Business & Economic Statistics, 2022, https://www.tandfonline.com/doi/full/10.1080/07350015.2022.2035227
• Covariate distribution balance via propensity scores (with Pedro H.C. Sant'Anna and Qi Xu), Journal of Applied Econometrics, 2022, https://onlinelibrary.wiley.com/doi/abs/10.1002/jae.2909, https://papers.ssrn.com/sol3/papers.cfm?abstract_id=3258551 and https://arxiv.org/abs/1810.01370
• Simultaneous confidence bands for conditional value-at-risk and expected shortfall (with Shuo Li and Liuhua Peng), Econometric Theory, 2022, https://doi.org/10.1017/S0266466622000275
• 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, https://www.researchgate.net/publication/311886715_Intergenerational_Top_Income_and_Wealth_Mobility_in_Taiwan_A_Nonparametric_Approach
• Value-at-risk under measurement error (with Mohamed Doukali and Abderrahim Taamouti), 2019, 2nd R&R
• Testing semiparametric predictive regression model (with Haoxi Yang), 2019
• Specification tests for generalized propensity scores using double projections (with Pedro H.C. Sant'Anna), 2020, R&R, https://papers.ssrn.com/sol3/papers.cfm?abstract_id=3564679 and https://arxiv.org/abs/2003.13803
• A global nonparametric estimator for state pricing density (with Chenxu Li and Yating Wan), 2021, Submitted
• Adaptive estimation of near-stationary autoregression with time-varying variances (with Jilin Wu and Zhijie Xiao), 2021, R&R
• Nonparametric tests of conditional independence for time series (with Haoyu Wei), 2021, https://arxiv.org/abs/2110.04847 and https://www.researchgate.net/publication/343994766_Nonparametric_Tests_of_Conditional_Independence_for_Time_Series
• Smooth tests for normality in ANOVA (with Haoyu Wei), 2021, https://papers.ssrn.com/sol3/papers.cfm?abstract_id=3939957 and https://arxiv.org/abs/2110.04849
• Testing impacts on inefficiency in a semiparametric stochastic frontier model (with Jen-Che Liao and Hung-Jen Wang), 2021, https://www.researchgate.net/publication/361162108_Testing_impacts_on_inefficiency_in_a_semiparametric_stochastic_frontier_model
• Trending time-varying coefficient spatial panel data models (with Hsuan-Yu Chang and Jihai Yu), 2021, https://papers.ssrn.com/sol3/papers.cfm?abstract_id=4072522, Submitted
• A unified nonparametric test of transformations on distribution functions with nuisance parameters (with Xingyu Li and Zhenting Sun), 2022, http://arxiv.org/abs/2202.11031, R&R
• Efficient estimation of partially linear additive spatial autoregressive models (with Shiyuan Chen and Jihai Yu), 2022, Submitted
• Specification analysis of conditional distribution functions (with Shengtao Dai and Zhijie Xiao), 2022, Submitted
• Testing linearity in semi-functional partially linear regression models (with Yongzhen Feng and Jie Li), 2022, https://arxiv.org/abs/2212.00524, Submitted
• Testing conditional moment restriction models in reproducing kernel Hilbert spaces (with Yuhao Li), 2022
• Checking the adequacy of quantile regression models (with Shengtao Dai and Zhijie Xiao), Work in progress
• Semiparametric estimation of recurrent diffusion models (with Bin Wang), Work in progress
• Nonparametric consistent tests for quantile regression models with endogeneity (with Jen-Che Liao), Work in progress
• A new class of joint tests for conditional distributions (with Shengtao Dai and Jilin Wu), Work in progress
• Testing conditional quantile independence with functional covariate (with Yongzhen Feng and Jie Li), Work in progress
• House-purchase restriction and predictability reversal in China's house market (with Yuansheng Wang and Haoxi Yang), Work in progress
中文发表:
张轩瑜, 宋晓军, 虞吉海, 2020. 时空效应下PM2.5的环境库兹涅茨曲线—基于动态空间面板视角, 环境科学学报,第40卷第1期,315-324.
宋晓军, 李曦纳, 虞吉海, 2020. 空间动态短面板的估计及中国城市经济增长收敛性的分析,经济学报,第7卷第1期,38-59.
Working papers:
1. Significance testing in nonparametric autoregression, 2014.
2. Nonparametric tests of conditional independence for weakly dependent data, 2014.
3. Measuring Granger Causality in Quantiles, (with Abderrahim Taamouti), 2016, R&R.
4. Intergenerational Top Income and Wealth Mobility in Taiwan (with O-Chia Chuang and Ming-Jen Lin), 2016.
5. Testing Asymmetric Dependence: A Stochastic Process Approach (with O-Chia Chung and Abderrahim Taamouti), 2017.
6. Testing Semiparametric Predictive Regression Model (with Haoxi Yang), 2018.
7. Covariate Distribution Balance via Propensity Scores (with Pedro Sant'Anna), 2018, submitted.
https://papers.ssrn.com/sol3/papers.cfm?abstract_id=3258551
8. Nonparametric Estimation and Testing for Heteroskedasticity in Sample Selection Models (with Le-Yu Chen and Jen-Che Liao), 2018.
9. Measuring and Testing Local Heteroskedasticity (with Abderrahim Taamouti), 2018, submitted.
10. A Nonparametric Test of Heteroskedasticity in Stock Returns in the Presence of Measurement Errors (with Abderrahim Taamouti), 2018, work in progress.
Applied Econometrics
Econometrics
Advanced Econometrics
Asymptotic Statistics