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IAER Seminar 2021-8:白羽

报告题目:Estimation and inference in large heterogeneous panels with stochastic time-varying coefficients

报 告 人:白羽

报告时间: 2021年06月18日(周五)15:30-17:00

报告地点:腾讯会议(会议ID:658 952 832)

主办单位:高等经济研究院

【报告人简介】

白羽,意大利博科尼大学BAFFI CAREFIN中心研究员、伦敦国王商学院访问学者。研究领域涵盖时间序列、面板数据、经济预测等。曾在Journal of Statistical Computation and Simulation 期刊发表文章。

【内容摘要】

In this paper, we develop kernel-based non-parametric estimation and inferential theory for large heterogeneous panel data models with stochastic time-varying coefficients. We propose mean group and pooled estimators, derive the asymptotic distributions, and show the uniform consistency and asymptotic normality of the coefficients paths of the model. Then, we extend the procedures to the case with possibly endogenous regressors and propose a time-varying version of the Hausman exogeneity test. The features of proposed estimators are investigated through an extensive Monte Carlo study. We also present two empirical applications. The first explores the time-varying price elasticity of U.S. gasoline demand functions with state-level data. The second estimates the panel version of time-varying backward looking and forward looking Phillips curve.  

【参会方式】

腾讯会议  会议ID:658 952 832

方式一:下载“腾讯会议”客户端,输入“会议ID”加入会议

方式二:点击参会链接加入会议

https://meeting.tencent.com/s/nj6baryPOTV5

【更多信息】

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撰稿:边韵煦 审核:齐鹰飞 单位:高等经济研究院

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