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清華大學統計學研究所
國立清華大學統計學研究所
2018-04-13(五),主講人:Prof. Peter Robinson(Tooke Professor of Economic Science and Statistics, London School of Economics)

清華大學、交通大學

統 計 學 研 究 所

專 題 演 講

 


講 題: Inference on Trending Panel Data
演講者: Prof. Peter Robinson(Tooke Professor of Economic Science and Statistics, London School of Economics)
時 間: 107年04月13日(星期五)10:40 - 12:00(10:20 - 10:40am 茶會於統計所821室舉行)
地 點: 綜合三館837室
摘 要:

Semiparametric panel data modelling and statistical inference with fractional stochastic trends, nonparametrically time-trending individual effects, and general cross-sectional correlation and heteroscedasticity in innovations is developed. The fractional stochastic trends allow for a wide range of nonstationarity, indexed by a memory parameter, nesting the familiar I(1) case and allowing for parametric short-memory. The individual effects can nonparametrically vary simultaneously across time and across units. The cross-sectional covariance matrix is also nonparametric. The main focus is on estimation of the time series parameters. Two methods are considered, both of which entail an only approximate differencing out of the individual effects, leaving an error which has to be taken account of in our theory. In both cases, we obtain standard asymptotics, with a central limit theorem, over a wide range of possible parameter values, unlike the nonstandard asymptotics for autoregressive parameter estimates at a unit root. For statistical inference, consistent estimation of the limiting covariance matrix of the parameter estimates requires consistent estimation of a functional of the cross-sectional covariance matrix. We examine efficiency loss due to cross-sectional correlation in a spatial model example. A Monte Carlo study of finite-sample performance is included. (This is joint work with and Carlos Velasco.)

 

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