个人简介
钱行是MATLAB计量经济学工具箱首席工程师，居住在马萨诸塞州纳蒂克，工作重点是搭建前沿统计理论与实用软件工程之间的桥梁。
2012 年获得爱荷华州立大学经济学博士学位，主要研究兴趣包括贝叶斯统计、计算金融，以及为海量数据集开发高效的计算算法。
2007 年获得复旦大学金融学硕士学位。
2004 年获得北京外国语大学学士学位。
教材专著
Bayesian Econometric Modelling for Big Data
(大数据贝叶斯计量经济学建模)
Chapman and Hall/CRC
- 出版日期: 2025年6月19日 (486页)
- ISBN: 9781032915258
- DOI: 10.1201/9781003564027
论文代表作
-
Bayesian Estimation of Fixed Effects Models with Large Datasets,
Oxford Bulletin of Economics and Statistics, 2025 -
Bayesian Inference in Common Microeconometric Models with Massive Datasets by Double Marginalized Subsampling,
Journal of Business & Economic Statistics, 2022 -
Estimating MIDAS Regressions via OLS with Polynomial Parameter Profiling (with Eric Ghysels),
Econometrics and Statistics, 2019 -
Inequality Constrained State Space Models,
Journal of Business & Economic Statistics, 2019 -
Big Data Bayesian Linear Regression and Variable Selection by Normal-Inverse-Gamma Summation,
Bayesian Analysis, 2018 -
A Computationally Efficient Method for Vector Autoregression with Mixed Frequency Data,
Journal of Econometrics, 2016