Recently, Zhang Yinglin, a teacher from International School of Economics and Management of CUEB, published a paper titled Long Memory Factor Model: On Estimation of Factor Memories in Journal of Business & Economic Statistics, an international Class A+ academic Journal.

This article considers the estimation of the integration orders of the latent factors in an approximate factor model, while the common factors and idiosyncratic error terms are potentially nonstationary fractionally integrated processes. Toward this end, this article proposes a two-stage approach: first use the principal of component analysis to assess the factor, and then use the method of fully-extended local Whittle estimator to estimate the fractional integration order. Finally, this article shows the consistency and asymptotic normality of the proposed estimator.

Zhang Yinglin is a Tenure-Track Associate Professor of International School of Economics and Management. He graduated from Goethe University Frankfurt and acquired PhD of Finance in 2019. At the same year, Zhang Yinglin was employed at International School of Economics and Management of CUEB.  His research interests lie in estimated theories of high-dimensional factor model and time-series model, and some research has already been published in international academic journals like Journal of Business & Economic Statistics and Economics Letters.

As a top-class international journal in the field of Econometrics, Journal of Business & Economic Statistics publishes a range of articles, primarily applied statistical analyses of microeconomic, macroeconomic, forecasting, business, and finance related topics. The impact factor of this journal is 6.565.