“正午阳光——青年学者论坛”是金融学院定期举办的以院内师生参与为主的学术交流活动，为全院专家学者之间、师生之间、南开金融与国际国内学术界之间提供了难得的交流机会。本学期“正午阳光”论坛初心不改，扬帆远航再出发，致力于营造学院学校科研氛围，推动师生学术科研水平不断提升！

2025年秋季学期 “正午阳光——青年学者论坛”第7期活动安排如下：

讲座题目：Factor-Augmented Regularized Models with Multiple Structural Breaks

主讲人：

王霞，现任中国人民大学经济学院吴玉章特聘教授、博士生导师，入选国家级人才计划。厦门大学王亚南经济研究院博士，新加坡管理大学经济学博士后。主要从事理论计量经济学以及宏观经济监测与预测等研究工作，在 International Economic Review, Journal of Econometrics, Journal of Business & Economic Statistics，Econometric Theory、《经济研究》等高水平期刊发表论文三十余篇，已完成的两项国家自然科学基金项目在结题后均获评“特优”。

讲座时间：2025年10月30日（周四）12:00-13:30

讲座地点：金融学院116教室

内容摘要

This paper introduces a factor-augmented regularized model with multiple structural breaks, designed to jointly capture common and idiosyncratic information while accommodating structural instability in high-dimensional dataset. To address the dual challenges of high dimensionality and instability, we propose a two-stage estimation procedure. In the first stage, we combine the split-sample technique with the adaptive group Lasso to achieve consistent variable selection in the presence of instability, while in the second stage, we employ the group fused Lasso to consistently identify both the number and locations of structural breaks. Two information criteria are provided to guide the selection of tuning parameters in the Lasso-type estimations. We derive the asymptotic distributions of the break fractions and the post-Lasso estimators. Monte Carlo simulations demonstrate the excellent finite-sample performance of the proposed estimators. In an application to forecasting the U.S. industrial production growth rate, our method outperforms competing approaches, highlighting the importance of accommodating idiosyncratic information and structural instability into economic models.