统计与数据科学系系列学术报告之四百八十八期

时间： 2025年10月24日（周五）10:00-11:00

主持人：复旦大学管理学院统计与数据科学系蒋斐宇副教授

地点：史带楼802室

报告人：张新雨研究员

中国科学院数学与系统科学研究院

题目：Synthetic Control Method with Mixed Frequency Data

摘要：Mixed-frequency data, where variables are observed at different temporal resolutions, commonly occur in economic and financial studies. Classical synthetic control methods (SCM) are ill-suited for such data, often necessitating aggregation or prefiltering that may discard valuable information. This paper proposes a novel Mixed-Frequency Synthetic Control Method (MF-SCM) to integrate mixed-frequency data into the synthetic control framework effectively. We develop a flexible estimation procedure to construct synthetic control weights under mixed-frequency settings and establish the theoretical properties of the MF-SCM estimator. Specifically, we first prove that the estimator achieves asymptotic optimality, in the sense that it achieves the lowest possible squared prediction error among all potential treatment effect estimators from averaging outcomes of control units. We then derive the asymptotic distribution of the average treatment effect (ATE) estimator using projection theory and construct confidence intervals for the ATE estimator. The method’s effectiveness is demonstrated through numerical simulations and two empirical applications on air pollution alerts and policy study on Tax Cuts and jobs Act of 2017.

个人简介：张新雨，中国科学院数学与系统科学研究院研究员。长期从事统计和计量经济学理论与应用方面的研究工作，与合作者解决了模型平均研究中的多个难题，并将模型平均与迁移学习、随机森林等融合提出了新方法，同时将所提出的预测方法应用于实际问题为相关部门的决策提供了参考依据。先后主持国家自然科学基金委杰出青年基金及其延续项目等，曾获中国青年科技奖。