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[数量经济学研讨会]Semiparametric Estimation of Panel Count Data Models with Fixed Effects and Dynamic Linear Feedback
发布日期:2018-12-19
数量经济学研讨会
[20181220]

报告题目:Semiparametric Estimation of Panel Count Data Models with Fixed Effects and Dynamic Linear Feedback
报告人:魏杰 (华中科技大学经济学院)
报告时间:2018年12月20日12:30-13:30
报告地点:明德主楼729

内容简介:In this paper, we consider a semiparametric dynamic panel count data model, where the lagged dependent variable enters the model linearly, and the sequentially exogenous covariates together with the individual fixed effect enter the exponential part. Based on the conditional moment restrictions, we propose a two-stage procedure to estimate the model. In the first stage, we consider the simple nonlinear sieve estimation for both the parametric coefficients and the unknown nonparametric function. In the second stage, we improve the estimation for the nonparametric function based on the empirical solution to a nonlinear integral equation. We establish the asymptotic properties for these estimators when N tends to infinity while T is fixed. We also propose a specification test for the linearity for the unknown nonparametric function. The asymptotic properties of the test statistic such as asymptotic distributions under the null hypotheses and local alternatives and global consistency have been established. A small set of Monte Carlo simulations is carried out to investigate the finite sample performance of our proposed model and specification test. Lastly, we apply our model to a health care demand data set and find that the logarithmic income has a significant nonlinear impact on the number of doctor visits for women but not for men. 

报告人简介:魏杰博士现为华中科技大学经济学院助理教授,美国加州大学河滨分校经济学博士,浙江大学经济学硕士,厦门大学经济学学士。主要研究方向包括半参数计量经济学,面板数据模型以及微观计量经济学。 

数量经济教研室
运筹学与数量经济研究所
中国人民大学经济学院

2018年12月

人大经济论坛 rdjjlt.org 人大经济论坛 bbs.econ.ruc.edu.cn