[数量经济学研讨会​]Spatial panel data models with structural changes

报告人:李鲲鹏 首都经济贸易大学 国际经济管理学院
时间:5月30日 中午12:00-13:30
Title: Spatial panel data models with structural changes
Abstract: Spatial panel data models are widely used in empirical studies. The existing theories of spatial models so far have largely confine the analysis under the assump- tion of parameters stabilities. This is unduely restrictive, since a large number of studies have well documented the presence of structural changes in the relationship of economic variables. This paper proposes and studies spatial panel data models with structural change. We consider using the quasi maximum likelihood method to estimate the model. Static and dynamic models are both considered. Large-T and fixed-T setups are both considered. We provide a relatively complete asymptotic theory for the maximum likelihood estimators, including consistency, convergence rates and limiting distributions of the regression coefficients, the timing of structural change and variance of errors. We study the hypothesis testing for the presence of structural change. The three super-type statistics are proposed. The Monte Carlo simulation results are consistent with our theoretical results and show that the maximum likelihood estimators have good finite sample performance.

李鲲鹏为首都经济贸易大学国际经济管理学院教授,清华大学经济学博士,研究成果发表于权威计量经济学与统计学国际期刊如 Journal of Econometrics, Review of Economics and Statistics, Annals of Statistics, Journal of Business and Economic Statistics

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