[ECON20141706]

數量經濟學研討會

報告題目：Estimation of Time-Invariant Effects in Static Panel Data Models
報告人：周前坤
報告時間：2014年05月26日下午12:30-13:30
報告地點：明德主樓728


內容簡介：
This paper proposes the Fixed-Effects Filtered (FEF) and Fixed-Effects Filtered instrumental variable (FEF-IV) estimators for estimating of time-invariant effects in static panel data models when N is large and T is fixed. It is shown that the FEF and FEF-IV estimators are -consistent, and asymptotically normally distributed. The FEF estimator is compared with the FEVD estimator proposed by Plumper and Troeger (2007) and conditions under which the two estimators are equivalent are established. It is also shown that the variance estimator proposed for FEVD estimator is inconsistent and its use could lead to misleading inference. Alternative variance estimators are proposed for both FEF and FEF-IV estimators which are shown to be consistent under fairly general regularity conditions. The FEF-IV estimator is also compared to the estimator proposed by Hausman and Taylor (1981). The theoretical results are illustrated by Monte Carlo experiments which show that the FEF estimators perform well in terms of bias, RMSE as well as size.


關鍵詞：
Static panel model, time-invariant effects, Fixed-Effects Filtered estimator, Fixed-Effects Filtered instrumental variables estimator


報告人簡介：
周前坤，南加州大學經濟系博士候選人，師從國際著名計量經濟學家Cheng Hsiao 和Hashem Pesaran。他的主要研究方向為計量經濟學理論以及面板數據模型等。 


數量經濟教研室 運籌學與數量經濟研究所 中國人民大學經濟學院 2014年05月



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