[ECON20141707]

数量经济学研讨会

报告题目：Efficient Estimation of Heterogenous Coefficients in Panel Data Models with Common Shocks
报告人：李鲲鹏
报告时间：2014年05月29日下午12:30-13:30
报告地点：明德主楼729


内容简介：
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.


关键词：
Factor analysis; Block diagonal covariance; Panel data models; Common shocks; Maximum likelihood estimation; Heterogeneous coefficients; Inferential theory


报告人简介：
李鲲鹏，首都经济贸易大学国际经管学院副教授，2011年博士毕业于清华大学经管学院。到目前为止，他已经在国内外顶级期刊上发表10余篇文章，其中在Annals of Statistics上发表两篇。他的主要研究方向为高维因子分析、具有交互效应的面板数据模型、时间序列分析以及非参数计量方法。 


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

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