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Varying-Coefficient Spatial Dynamic Panel Data Models with Fixed Effects: Theory and Application

作者: 发布时间:2024-04-20 点击数:
主讲人:Qi Li
主讲人简介:

Professor Qi Li is a tenured chair professor at Texas A&M University in the United States. His main research field is econometrics. He has made significant contributions to theoretical econometrics, and his main contributions include econometric model testing and nonparametric/semiparametric model estimation. Since 1991, Professor Li has published more than 150 papers on international journals of economics and statistics, including Econometrica, Review of Economics and Statistics, Journal of Economic Theory, Journal of Econometrics, Economtric Theory, Journal of the American Statistical Association, Annals of Statistics, and Journal of Multivariate Analysis, etc. His book "Nonparametric Econometrics" has become a standard textbook in the field of nonparametric econometrics. In the past few years, he has also served as an editor or associate editor of several academic journals such as Journal of Econometrics, Econometric Theory, Econometrics Journal, Econometric Reviews, Economics Letters, Journal of Nonparametric Statistics, etc.

主持人:Guannan Liu
讲座简介:

This paper considers a varying-coefficient spatial dynamic panel data model with fixed effects. We show that a conventional kernel-based nonparametric instrumental variable approach poses a weak IV problem. We propose a robust modified estimator that overcomes this identification problem and derive its asymptotic theory. We also extend our analysis to a partially linear varying-coefficient specification and establish the asymptotic normality results for both finite and infinite dimensional parameter estimators. Simulation results show that our proposed methods work well in finite samples. We apply the partially linear varying-coefficient model to study how the sales of a liquor producer respond to those of neighboring competitors in China. We find significant spatial dependence among liquor markets and show that the spatial effect varies with competition intensity.

时间:2024-05-08 (Wednesday) 16:40-18:00
地点:Room N302, Economics Building
讲座语言:English
主办单位:威尼斯37266、王亚南经济研究院、邹至庄经济研究院
承办单位:
期数:高级计量经济学与统计学系列讲座2024年春季学期第五讲(总170讲)
联系人信息:许老师,电话:0592-2182991,邮箱:ysxu@xmu.edu.cn
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