北京大學(xué)國(guó)家發(fā)展研究院研究生導(dǎo)師介紹：朱家祥

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現(xiàn)任職務(wù)

北京大學(xué)國(guó)家發(fā)展研究院/中國(guó)經(jīng)濟(jì)研究中心經(jīng)濟(jì)學(xué)教授

北京大學(xué)國(guó)家發(fā)展研究院學(xué)術(shù)委員會(huì)主任

《經(jīng)濟(jì)學(xué)季刊》副主編

北大國(guó)際（BiMBA）教授（MBA）

研究范圍

計(jì)量經(jīng)濟(jì)學(xué)理論

時(shí)間序列分析

財(cái)務(wù)金融實(shí)證

教育背景

臺(tái)灣東吳大學(xué)經(jīng)濟(jì)學(xué)學(xué)士（1980年）

臺(tái)灣大學(xué)經(jīng)濟(jì)學(xué)碩士（1982年）

美國(guó)加州大學(xué)（圣地亞哥分校）經(jīng)濟(jì)學(xué)博士（1990年）

工作經(jīng)歷

1990-2000，美國(guó)南卡萊羅納大學(xué)經(jīng)濟(jì)學(xué)院，副教授

1997-2000，Econometrician, NeuralNet R&D Associates.

2001-2006，臺(tái)灣大學(xué)經(jīng)濟(jì)學(xué)院，教授

2006年至今，北京大學(xué)經(jīng)濟(jì)研究中心，教授

學(xué)術(shù)成果

英文論文

(1)Chu, C.S. James and Halbert White (1992): "A Direct Test for Changing Trend",Journal of Business and Economics Statistics 10, 289 299.

(2)Chu, C.S. James (1994): "Segmentation of Piecewise Autoregressive Models: Asymptotic Properties of Sliding Window Approach", Proceedings of 3rd Annual Conference on Fuzzy Theory.

(3)Chu, C.S. James, K. Hornik and C.M. Kuan (1995): "A Moving Estimates Test for Parameter Instability", Econometric Theory 11, 699 720.

(4)Chu, C.S. James (1995): "Detecting Parameter Shift in GARCH Models", Econometric Reviews 14, 241 266.

(5)Chu, C.S. James (1995): "Time Series Segmentation: A Sliding Window Approach", Information Sciences, 1 28.

(6)Chu, C.S. James, K. Hornik and C.M. Kuan (1995), "MOSUM Test for Parameter Constancy", Biometrika 82, No 3, 603-617.

(7)Chu,C.S. James, M. Stinchcombe and H. White (1996), "Monitoring Structural Change", Econometrica 64, 1045-1066.

(8)Chu, C.S. James and Tung Liu (1996), "Stock Market Volatility: a Markov Switch Model", Proceedings of the 4th Annual Informatics Conference.

(9)Chu, C.S. James and Tung Liu (1996), "The Different Regimes of Stock Return and Volatility", Information Sciences 94, 179-190.

(10)Chu,C.S. James (1997), "Multiple Hypothesis Test for Parameter Constancy based on Recursive Residuals", Econometric Reviews 16, 353-360

(11)Levin, A., C.F. Lin and C.S. Chu (2002), “Panel Unit Root Test.” Journal of Econometrics 108, 1-24. .

(12)Chia-Shang James Chu, Tung Liu, and R.S. Rathinasamy, (2004), "Robust Test of the January Effect in Stock Market using Markov-Switchiong Model,"  Journal of Financial Management and Analysis 17, No. 1.

(13)Chia-Shang J. Chu and Hsinmin Lu (2005),"Random Walk Hypothesis in Exchange Rate Reconsidered,” Journal of Forecasting, Jul 2006. Vol. 25, Iss. 4; p. 275

工作論文

(14)"Control Type and Corporate Growth in the 30's".

(15)"Ranking Major League Baseball Pitchers: Bayesian Hierarchical Approach". (with Sung-Jin In. Under review.)

(16)"Predicting Stock returns with Different Regimes in Volatility". (with Sung-Jin In. Under review.)

(17)Testing for Mixtures of Distribution Hypothesis for Daily Stock Returns: A Bayesian Approach (with Sung-Jin In)

項(xiàng)目

(18)“Structural Change in Information Arrival Rate and The Mixture Distributions Hypothesis in Stock Markets”.

(19)“The Stability of Model Selection Process and Data Snooping”.

(20)“Gilbrat’s Law Revisited: Panel Unit Root Test with Cross Sectional Dependence.”

(21)“Evaluation of the Event forcast accuracy.”

(22)“Robust Market Timing Test.”