[ECON20141707]

數(shù)量經(jīng)濟(jì)學(xué)研討會(huì)

報(bào)告題目：Efficient Estimation of Heterogenous Coefficients in Panel Data Models with Common Shocks
報(bào)告人：李鯤鵬
報(bào)告時(shí)間：2014年05月29日下午12:30-13:30
報(bào)告地點(diǎn)：明德主樓729


內(nèi)容簡(jiǎn)介：
This paper investigates efficient estimation of heterogeneous coefficients in panel data models with common shocks, which have received much attention by recent theoretical and empirical literature. We propose a new two-step method to estimate the heterogeneous coefficients, in which the maximum likelihood method is first conducted to estimate the loadings and idiosyncratic variances, and the heterogeneous coefficients are then estimated by making use of the structural relations implied by the model. We establish the asymptotic theory of our estimator, including consistency, asymptotic representation and limiting distributions. The two-step estimator is asymptotically efficient in the sense that it has the same limiting distribution as the infeasible generalized least squares (GLS) estimator. Intensive Monte Carlo simulations show that the proposed estimator performs robustly in a variety of data setups.


關(guān)鍵詞：
Factor analysis; Block diagonal covariance; Panel data models; Common shocks; Maximum likelihood estimation; Heterogeneous coefficients; Inferential theory


報(bào)告人簡(jiǎn)介：
李鯤鵬，首都經(jīng)濟(jì)貿(mào)易大學(xué)國(guó)際經(jīng)管學(xué)院副教授，2011年博士畢業(yè)于清華大學(xué)經(jīng)管學(xué)院。到目前為止，他已經(jīng)在國(guó)內(nèi)外頂級(jí)期刊上發(fā)表10余篇文章，其中在Annals of Statistics上發(fā)表兩篇。他的主要研究方向?yàn)楦呔S因子分析、具有交互效應(yīng)的面板數(shù)據(jù)模型、時(shí)間序列分析以及非參數(shù)計(jì)量方法。 


數(shù)量經(jīng)濟(jì)教研室 運(yùn)籌學(xué)與數(shù)量經(jīng)濟(jì)研究所 中國(guó)人民大學(xué)經(jīng)濟(jì)學(xué)院 2014年05月

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