Photo_Yongmiao Hong.jpg

Prof. Dr. HONG Yongmiao

Member of the CDA Scientific Advisory Board

Education

1993, Ph.D. in Economics, University of California, San Diego, U.S.A

1988, M.A. in Economics, Xiamen University, China

1985, B.S. in Physics, Xiamen University, China

Positions

  • December 2020-present: Distinguished Research Fellow, Academy of Mathematics and Systems Science and Center for Focasting Science, Chinese Academy of Sciences

  • December 2020-present: Distinguished Professor, School of Economics and Management, University of Chinese Academy of Sciences

  • January 2021- present: Ernest S. Liu Professor of Economics and International Studies Emeritus, Department of Economics, Cornell University

  • December 2010-December 2020: Ernest S. Liu Professor of Economics and International Studies, Department of Economics, Cornell University

  • May 2007: Visiting Chair Professor, Department of Economics, National University of Singapore

  • May 2003- December 2020: Member in Field of Applied Mathematics, Center of Applied Mathematics, Cornell University

  • July 2001- December 2020: Professor, Department of Economics and Department of Statistical Science, Cornell University

  • January 1999-January 2000: Visiting Associate Professor, Department of Economics, Hong Kong University of Science and Technology

  • July 1998-June 2001: Associate Professor (with tenure), Department of Economics and Department of Statistical Science, Cornell University

  • July 1997-June 1998: Assistant Professor and Member in Field of Statistics, Department of Statistical Science, Cornell University

  • July 1993-June 1998: Assistant Professor, Department of Economics, Cornell University

Awards & Honors

  • September 2020:Senior Fellow, Rimini Centre for Economic Analysis (RCEA)

  • November 2019: Fellow, International Association for Applied Econometrics

  • November 2018: Fellow, The Econometric Society

  • August 2018: Top 40 Most Influential Chinese Overseas Students of the Past Four Decades, by The China Press and Eastday.com

  • June 2018: Elsevier Awards for the Best Papers for the paper entitled as “Do China’s High-speed-rail Projects Promote Local Economy? New Evidence From a Panel Data Approach,” coauthored with X. Ke, H. Chen and C. Hsiao, China Economic Review (2017).

  • November 2015: Fellow, The World Academy of Science (TWAS) for Advance of Sciences in Developing Countries

  • 2014-2020: Annual Most Cited Chinese Scholars in Economics by Elsevier

  • March 2006: Tjalling C. Koopmans Econometric Theory Prize 2006 for the paper entitled as “Diagnostic Checking for the Adequacy of Nonlinear Time Series Models,” coauthored with T.H. Lee, Econometric Theory (2003), Volume 19, 1065-1121.

Professional Experience and Service

  • July 2019-present: Independent Non-executive Director, China Everbright Bank

  • January 2018- present: Vice Chairperson, Steering Committee for Guidance in Economics Teaching in Higher Education Institutions 2018-2022, Chinese Ministry of Education

  • March 2016-present: Senior Editor, Journal of Management Science and Engineering, in the Area of Social and Economic Modelling

  • August 2013: Member, Visiting Committee to Department of Economics, Chinese University of Hong Kong

  • April 2013-December 2017: Vice Chairperson, Steering Committee for Guidance in Economics Teaching in Higher Education Institutions 2013-2017, Chinese Ministry of Education

  • August 2012-April 2019: Independent Non-executive Director, Industrial and Commercial Bank of China

  • July 2012-July 2013: Member, Panel Review Committee for Grants in Econometrics and Financial Engineering, Division of Management Science, National Science Foundation of China

  • December 2009-December 2020: Director, Key Laboratory of Econometrics (Xiamen University), Chinese Ministry of Education

  • September 2009-August 2010: President, Chinese Economists Society in North America

  • June2008-August 2009: President-Elect, Chinese Economists Society in North America

  • May 2007-May 2014: Member, Panel Review Committee for Tier 2 Grants in Business, Humanities and Social Sciences, Ministry of Education, Singapore

  • August 2006:  Member, External Review Committee to Department of Economics, National University of Singapore

  • January 2006-December 2006: Vice President, Chinese Economists Society in North America

  • July 2005-December 2020: Founding Director, Wang Yanan Institute for Studies in Economics (WISE), Xiamen University

  • December 2012-present:  Member of Editorial Broad, Economic Research Journal, Chinese Academy of Social Sciences

  • May 2007-December 2012:  Associate Editor, Econometric Journal

  • January 2007-December 2012: Associate Editor, Econometric Reviews

  • January 2005-December 2011: Associate Editor, Econometric Theory

  • January 2004-April 2010: Associate Editor, Journal of Econometrics

  • January 2002-December 2006: Associate Editor, Journal of Business and Economic Statistics

  • July 2003-June 2012: Co-Editor, China Journal of Economics, Tsinghua University

  • May 2001-present: Member, Academic Advisory Broad, China Economic Quarterly, Peking University

  • January 2000-present: Co-Editor, Annals of Economics and Finance, Peking University

  • August 2019-June 2021: Program Committee Co-Chair, 2021 Asian Meeting of Econometric Society (AMES) (June 2021, Malaysia)

  • August 2018-June 2019: Program Committee Chair, 2019 Asian Meeting of Econometric Society (AMES) (June 2019, Xiamen)

  • August 2018-June 2019:  Program Committee Member, 2019 International Symposium on Econometric Theory and Applications (SETA) (June 2019, Osaka)

  • August 2017-June 2018: Program Committee Chair, Annual Conference of the Society for Economic Measurement (SEM) (June 2018, Xiamen)

  • August 2013-June 2014:  Program Committee Chair, 2014 Econometric Society China Meeting (July 2014, Xiamen)

  • January 2017-August 2017: Program Committee Member, Asian Econometric Society Meeting (August 2017, Hong Kong)

  • January 2016-August 2016:  Program Committee Member, Asian Econometric Society Meeting (August 2016, Kyoto)

  • January 2014-June 2014:  Program Committee Member, Far Eastern Econometric Society Meeting (June 2014, Taipei)

  • January 2014-June 2014:  Program Committee Member, Symposium on Econometric Theory and Applications (SETA) (May 2014, Taipei)

  • January 2013-June 2013: Program Committee Member, Symposium on Econometric Theory and Applications (SETA) (June 2013, Seoul)

  • January 2013-June 2013: Program Committee Member, Far Eastern Econometric Society Meeting (June 2013, Singapore)

  • September 2007-July 2008: Program Committee Member, Far Eastern Econometric Society Meeting (July 2008, Singapore)

  • July 2006-July 2007: Program Committee Member, Far Eastern Econometric Society Meeting (July 2007, Taipei)

  • July 2005-July 2006: Program Co-Chair, Far Eastern Econometric Society Meeting (July 2006, Beijing)

  • May 2005-April 2006: Program Co-Chair, Symposium on Econometric Theory and Application (SETA) (April 2006, Xiamen)

  • May 2004-May 2005: Program Co-Chair, First Symposium on Econometric Theory and Application (SETA) (May 2005, Taipei)

Selected Publications

  1. “Forecasting crude oil price intervals and return volatility via autoregressive conditional interval models,” with Y. He, A. Han, Y. Sun and S. Wang, Econometric Review, 40.6 (2021), 584-606.

  2. “Policy assessments for the carbon emission flows and sustainability of Bitcoin blockchain operation in China,” with S. Jiang, Y. Li, Q. Lu, D. Guan, Y. Xiong and S. Wang, Nature Communications 12, (2021).

  3. “Solving Euler equations via two-stage nonparametric penalized splines,” with L. Cui and Y. Li, Journal of Econometrics 222.2 (2021), 1024-1056.

  4. “Time-varying model averaging,” with T. Lee, Y. Sun, S. Wang and X. Zhang, Journal of Econometrics 222.2, (2021), 974-992.

  5. “A model-free consistent test for structural change in regression possibly with endogeneity,” with Z. Fu, Journal of Econometrics 211 (2019), 206-242.

  6. “Threshold autoregressive models for interval-valued time series data,” with Y. Sun, A. Han, and S. Wang, Journal of Econometrics 206 (2018), 414-446.

  7. “Characteristic function-based testing for conditional independence via a nonparametric regression approach,” with X. Wang, Econometric Theory 34 (2018), 815-849.

  8. “Testing strict stationarity with applications to macroeconomic time series,” with X. Wang and S. Wang, International Economic Review 58 (2017), 1227-1277.

  9. “A general approach to testing volatility models in time series,’’ with Y.J. Lee, Journal of Management Science and Engineering 2 (2017), 1-33.

  10. “An efficient integrated nonparametric entropy estimator of serial dependence,” with X. Wang, W. Zhang and S. Wang, Econometric Reviews 36 (2017), 728–780.

  11. “Do China’s high-speed-rail projects promote local economy? New evidence from a panel data approach,” with X. Ke, H. Chen and C. Hsiao, China Economic Review 44 (2017), 203-226.

  12. “A vector autoregressive moving average model for interval-valued time series data,” with A. Han, S. Wang and X. Yun, Advances in Econometrics 36 (2016), edited by R. Hill, G. Gonzalez-Rivera and T. Lee, pp.417-460.

  13. “Detecting for smooth structural changes in GARCH models,” with B. Chen, Econometric Theory 32 (2016), 740-791.

  14. “Time-varying Granger causality tests for applications in global crude oil markets,” with F. Lu, S. Wang, K. Lai and J. Liu, Energy Economics. 42 (2014), 289-298.

  15. “A unified approach to validating univariate and multivariate conditional distribution models in time series,” with B. Chen, Journal of Econometrics 178 (2014), 22-44.

  16. “A loss function approach to model specification testing and its relative efficiency,” with Y. Lee, Annals of Statistics 41 (2013), 1166-1203.

  17. “Testing for smooth structural changes in time series models via nonparametric regression,” with B. Chen, Econometrica 80 (2012), 1157-1183.

  18. “Testing for the Markov property in time series,” with B. Chen, Econometric Theory 28 (2012), 130-178.

  19. “Are corporate bond market returns predictable?” with H. Lin and C. Wu, Journal of Banking and Finance 36 (2012), 2216-2232.

  20. “Testing the structure of conditional correlations in multivariate GARCH models: A generalized cross-spectrum approach,” with N. McCloud, International Economic Review 52 (2011), 991-1037.

  21. “Generalized spectral testing for multivariate continuous-time models,” with B. Chen, Journal of Econometrics 164 (2011), 268-293.

  22. “Detecting misspecifications in autoregressive conditional duration models and non-negative time-series processes,” with Y.-J. Lee, Journal of Time Series Analysis 32 (2011), 1-32.

  23. “Characteristic function-based testing for multifactor continuous-time Markov models via nonparametric regression,” with B. Chen, Econometric Theory 26 (2010), 1115-1179.

  24. “Modeling the dynamics of Chinese spot interest rates,” with H. Lin and S. Wang, Journal of Banking and Finance 34 (2010), 1047-1061.

  25. “Granger causality in risk and detection of extreme risk spillover between financial markets,” with Y. Liu and S. Wang, Journal of Econometrics 150 (2009), 271–287.

  26. “Central limit theorems for generalized U-statistics with applications in nonparametric specification,” with J. Gao, Journal of Nonparametric Statistics 20 (2008), 61-76.

  27. “Serial correlation and serial dependence,” The New Palgrave Dictionary in Economics, 2008, 2nd Edition, ed. Steven Durlauf.

  28. “Model-free evaluation of directional predictability in foreign exchange markets,” with J. Chung, Journal of Applied Econometrics 22 (2007), 855-889.

  29. “Asymmetries in stock returns: Statistical tests and economic evaluation,” with J. Tu and G. Zhuo, Review of Financial Studies 20 (2007), 1547-1581.

  30. “Can the random walk model be beaten in out-of-sample density forecasts? Evidence from intraday foreign exchange rates,” with H. Li and F. Zhao, Journal of Econometrics 141 (2007), 736-776.

  31. “An improved generalized spectral test for time series models with conditional heteroskedasticity of unknown form,” with Y. Lee, Econometric Theory 23 (2007), 106-154.

  32. “Validating forecasts of the joint probability density of bond yields: Can affine term structure models beat random walk?” with A. Egorov and H. Li, Journal of Econometrics 135 (2006), 255-284.

  33. “Asymptotic distribution theory for nonparametric entropy measures of serial dependence,” with H. White, Econometrica 73 (2005), 837-901.

  34. “Generalized spectral testing for conditional mean models in time series with conditional heteroskedasticity of unknown form,” with Y. Lee, Review of Economic Studies 72 (2005), 499-541.

  35. “Nonparametric specification testing for continuous-time models with applications to spot interest rates,” with H. Li, Review of Financial Studies 18 (2005), 37-84.

  36. “Wavelet-Based testing for serial correlation of unknown form in panel models,” with C. Kao, Econometrica 72 (2004), 1519-1563.

  37. “Out-of-sample performance of discrete-time short-term interest models,” with H. Li and F. Zhao, Journal of Business and Economic Statistics 22 (2004), 457-473.

  38. “Inference on predictability of exchange rates via generalized spectrum and nonlinear time series models,” with T. H. Lee, Review of Economics and Statistics, 85 (2003), 1048-1062.

  39. “Diagnostic checking for the adequacy of nonlinear time series models,” with T.H. Lee, Econometric Theory 19 (2003), 1065-1121.

  40. “Nonparametric methods if continuous-time finance: A selective review,” with Z. Cai, in Recent Advances and Trends in Nonparametric Statistics, (eds.) M. Akritas and D. Politis, Elsevier: New York, 2003, pp.283-302.

  41. “One-sided testing for ARCH effects using wavelets,” with J. Lee, Econometric Theory 17 (2001), 1051-1081.

  42. “A test for volatility spillover with application to exchange rates,” Journal of Econometrics 103 (2001), 183-224.

  43. “Testing serial correlation of unknown form via wavelet methods,” with J. Lee, Econometric Theory 17 (2001), 386-423.

  44. “Generalized spectral tests for serial dependence,” Journal of Royal Statistical Society, Series B (Statistical Methodology) 62 (2000), 557-574.

  45. “Hypothesis testing in time series via the empirical characteristic function: A generalized spectral density approach,” Journal of American Statistical Association 94 (1999), 1201-1220.

  46. “M-testing using finite and infinite dimensional parameter estimators,” with H. White, in Cointegration, Causality, and Forecasting: A Festschrift in Honour of Clive W. J. Granger, (eds.) R. F. Engle and H. White, London: Oxford University Press, 1999, pp.326-365.

  47. “A new test for ARCH effects and its finite-sample performance,” with R. Shehadeh, Journal of Business and Economic Statistics 17 (1999), 91-108.

  48. “Testing for pairwise serial independence via the empirical distribution function,” Journal of Royal Statistical Society Series B (Statistical Methodology) 60 (1998), 429-453.

  49. “One-sided testing for autoregressive conditional heteroskedasticity in time series models,” Journal of Time Series Analysis 18 (1997), 253-277.

  50. “Testing for independence between two covariance stationary time series,” Biometrika 83 (1996), 615-625.

  51. “Consistent testing for serial correlation of unknown form,” Econometrica 64 (1996), 837-864.

  52. “Consistent specification testing via nonparametric series regressions,” with H. White, Econometrica 63 (1995), 1133-1159.

  53. “China’s evolving managerial labor market,” with T. Groves, J. McMillan and B. Naughton, Journal of Political Economy 103 (1995), 873-892.

  54. “Productivity growth in Chinese state-run industry,” with T. Groves, J. McMillan and B. Naughton, in Studies on China’s State-owned Enterprise System Reforms, (eds.) F. Dong, Z. Tang and H. Du, Beijing: People’s Press, 1995.

  55. “Autonomy and incentives in Chinese state enterprises,” with T. Groves, J. McMillan and B. Naughton, Quarterly Journal of Economics CIX (1994), 183-203.

Books

  1. Probability and Statistics for Economists (2nd Edition), China Statistics Publisher, 2021, Beijing. [In Chinese]

  2. Foundations of Modern Econometrics: A Unified Approach, World Scientific Publishing Company, 2020, Singapore.

  3. Probability and Statistics for Economists, World Scientific Publishing Company, 2017, Singapore.

  4. Information Spillover Effect and Autoregressive Conditional Duration Models, with X. Liu, Y. Liu, and S. Wang, Routledge Publisher, 2015.

  5. China’s Economics Education Transform: The Tale of Xiamen University, Xiamen University Press, 2014, Xiamen. [In Chinese]

  6. Advanced Econometrics, China Higher Education Publisher, 2011, Beijing. [In Chinese]

  7. Microstructures of the Chinese Futures Market, with X. Liu and S. Wang, China Science Publisher, 2010, Beijing. [In Chinese]