严雅毅

姓　　名：严雅毅

职　　称：副教授
研究方向：时间序列与面板数据计量经济学，实证金融    

教授课程：高级计量经济学，金融随机分析，数理统计                

E - mail：yanyayi@mail.shufe.edu.cn, yanyayi0812@gmail.com

电话：021-35304767             

研究项目

多元时间序列，宏观动态因果效应，宏观经济预测，面板数据稳健推断，高维因子模型，股票收益预测，复杂网络与风险传染，基金绩效评估

2019.07-2022.09，Monash University, Monash Business School，计量经济学博士

2017.09-2019.06，南开大学，金融学院，金融工程硕士

2013.09-2017.06，华中科技大学，经济学院，金融工程学士

2024.07-至今    上海财经大学统计与数据科学学院 副教授

2022.10-2024.06  上海财经大学统计与管理学院 助理教授

Working Papers:

“Factor Models of Matrix-Valued Time Series: Nonstationarity and Cointegration”, R&R at Journal of Econometrics (with Degui Li and Qiwei Yao)

“Panel Data Estimation and Inference: Homogeneity versus Heterogeneity”,R&R at Econometric Theory (with Jiti Gao, Fei Liu and Bin Peng)

Publications:

20. “Robust Estimation and Inference for High-Dimensional Panel Data Models”, (with Jiti Gao, Fei Liu and Bin Peng), Journal of Econometrics, 258, 106342, 2026

19. “An Adaptive Residual-Based Test for Factor Structure”, (with Yufeng Mao), Journal of Business & Economic Statistics, 44 (2), 691-702, 2026

18. “Generalized Impulse Response Analysis for Time-Varying VAR Models”, (with Li Tan, Shibo Bian and Zhiming Hu), Economic Modelling, 155, 107452, 2026

17. “A Robust Residual-Based Test for Structural Changes in Factor Models”, (with Bin Peng and Liangjun Su), Journal of Econometrics, 251, 106042, 2025

16. “Time-Varying Vector Error-Correction Models: Estimation and Inference”, (with Jiti Gao and Bin Peng), Journal of Econometrics, 251, 106035, 2025

15. “Asymptotics for Time-Varying Vector MA(∞) Process”, (with Jiti Gao and Bin Peng), Econometric Theory, 41 (3), 584-616, 2025

14. “Nonparametric Predictive Regressions for Stock Return Prediction”, (with Tingting Cheng, Jiti Gao and Oliver Linton), Econometric Reviews, 44 (10), 1462-1493, 2025

13. “A System of Time-Varying Models for Predictive Regressions”, (with Deshui Yu), Journal of Empirical Finance, 82, 101622, 2025

12. “Examining Chinese Volume–Volatility Nexus: A Regime-Switching Perspective”, (with Zhenxin Wang, Shaoping Wang and Yingcun Xia), Economic Modelling, 225, 106983, 2025

11. “Time-Varying Multivariate Causal Processes”, (with Jiti Gao, Bin Peng and Wei Biao Wu), Journal of Econometrics, 240 (1), 105671, 2024

10. “Estimation, Inference and Empirical Analysis for Time-Varying VAR Models”, (with Jiti Gao and Bin Peng), Journal of Business & Economic Statistics, 42 (1), 310-321, 2024

9. “Higher-order Expansions and Inference for Panel Data Models”, (with Jiti Gao and Bin Peng), Journal of the American Statistical Association (Theory and Methods), 119, 2760-2771, 2024

8. “Sieve Bootstrap for Fixed-b Phillips–Perron Unit Root Test”, (with Zhenxin Wang and Shaoping Wang), Computational Economics, 64, 3181-3205, 2024

7. “Binary Response Models for Heterogeneous Panel Data with Interactive Fixed Effects”, (with Jiti Gao, Fei Liu and Bin Peng), Journal of Econometrics, 235 (2), 1654-1679, 2023

6. “Joint Dynamics of Stock Returns and Cash Flows: A Time-Varying Present-Value Framework”, (with Deshui Yu), Financial Management, 52(3), 513-541, 2023

5. “De facto Time-Varying Indices-Based Benchmarks for Mutual Fund Returns”, (with Tingting Cheng and Cheng Yan), Journal of Financial Research, 46(2), 469-496, 2023

4. “Factor-Augmented Forecasting Regressions with Threshold Effects”, (with Tingting Cheng), Econometrics Journal, 25 (1), 134-154, 2022

3. “Improved Inference for Fund Alphas using High-Dimensional Cross-Sectional Tests”, (with Tingting Cheng and Cheng Yan), Journal of Empirical Finance, 61, 57-81, 2021

2. “Regime Switching Panel Data Models with Interactive Fixed Effects”, (with Tingting Cheng and Jiti Gao), Economics Letters, 177, 45--51, 2019

1. “A New Regime Switching Model with State-Varying Endogeneity”, (with Tingting Cheng and Jiti Gao), Journal of Management Science and Engineering, 3(4), 214-231, 2018

1.入选上海市“晨光计划”项目（2025）

2.入选上海市领军人才（海外）青年项目（2023）

3.博士论文获“2022 Vice Chancellor’s Commendation Award for Thesis Excellence”