题   目：Estimating  Panel Data Models with Common Factors

嘉   宾：冯   曲, Associate Professor, Nanyang Technological University

主持人：黄雯馨，副教授，上海交通大学安泰经济与管理学院

时   间：2023年6月7日（周三）12:40-14:10

地   点：上海交通大学（徐汇校区）安泰经济与管理学院A403

内容简介：

Estimating  panel data models with common factors or interactive fixed effects has been  extensively investigated in the recent panel data econometrics literature. To  model the potential correlation between regressors and error factors and  loadings, we generalize Mundlak-type projection to the form of interactive  fixed effects. After the projection, the errors are serially correlated,  cross-sectionally dependent, and heteroskedastic. Thus, we consider robust  testing techniques and wild bootstrap procedures for inference. In addition,  we also consider the case of endogenous regressors by combining the  Mundlak-type projection with the control function approach. Finally, Monte  Carlo simulations are conducted to verify the properties of the proposed  estimators and compare them with existing estimators in the literature in  finite samples.

演讲人简介：

冯曲 FENG Qu is currently the head of Economics  Division, and Associate professor at School of Social Sciences, Nanyang  Technological University, Singapore （南洋理工大学）. His research interests include econometrics, Chinese  economy and financial markets. His research papers appear in top economics  journals, including Journal of Econometrics, Journal of Development Economics,  Journal of Applied Econometrics, Journal of Economic Behavior and  Organization, etc. He is currently also an associate editor of Singapore  Economic Review, a journal of the Economic Society of Singapore.

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