[数量经济学研讨会]To pool or not to pool: Do we really need to make a choice
发文时间:2014-05-16

[ECON20141705]


数量经济学研讨会


     
 
  报告题目:To pool or not to pool: Do we really need to make a choice 
  报告人:王文墩  
  报告时间:2014年05月20日下午12:30-13:30  
  报告地点:明德主楼734  
   
 
  内容简介:  
  This paper revisits an old econometric issue “to pool or not to pool a panel” from a new perspective and proposes a pooling averaging estimator. To implement the pooling averaging technique, we provide a preliminary screening procedure (prior to averaging) to rule out the poorly specified models, which not only facilitates the computation and also improves the estimation accuracy. We examine the asymptotic property of a pooling averaging estimator based on the Mallows criterion and derive the upper bound of its risk. A variety of panel data estimators are compared in extensive simulation designs. We find that there does not exist a uniformly best estimator, and the performance of an estimator depends on the degree of heterogeneity, the sample size, and noises in the model. This explains, to some extent, the discrepancy between the theoretical justification of non-pooling methods and empirical evidence that advocates pooling.  
 
 
 
 
  报告人简介:  
  王文墩,鹿特丹伊拉斯莫大学计量经济学研究院助理教授,2013年获得荷兰蒂尔堡大学经济学博士。他的主要研究方向为计量经济学,模型加权以及预测。 他的更多信息可见http://wendunwang.weebly.com/.  
 
 
      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               2014年05月      
 
 
 
      为了加强与国内外高水平数量经济学学者的交流和合作,更好地促进数量经济学与院内其他学科之间的合作交流,数量经济学教研室将举办数量经济学研讨会。研讨会侧重于理论计量经济学、应用计量经济学及数理经济学的最新研究成果,欢迎各位学者参加或报告。如果您有研究成果想要报告,请与数量经济学教研室章永辉博士联系(yonghui.zhang@hotmail.com)。