当前位置:首页 > 学术交流 打印页面】【关闭
2019年3月20日英国约克大学陈佳教授讲座预告
( 来源:   发布日期:2019-03-15 阅读:次)

讲座题目:Estimating Latent Group Structure in Time-Varying Coefficient Panel Data Models

主讲人:陈 佳   英国约克大学

讲座时间:2019月3月20日(周三)下午15:30-16:30

讲座地点:综合楼601会议室

主讲人简介:陈佳,博士,现为英国约克大学经济系副教授,2008年获浙江大学理学博士学位,曾在澳大利亚阿德莱德大学经济系和莫纳什大学商学院从事博士后研究,并在2011-2013在澳大利亚昆士兰大学数学系任助理教授。主要从事计量经济学研究,研究方向包括非参数半参数计量方法,面板数据建模,高维数据分析。学术论文曾发表于国际知名统计学和计量经济学刊物,如Annals of StatisticsJournal of the American Statistical AssociationJournal of Econometrics等。2011年获昆士兰大学青年研究员基金。 

内容摘要:This paper studies the estimation of latent group structures in heterogeneous time-varying coefficient panel data models. While allowing the coefficient functions to vary over cross sections provides a good way to model cross-sectional heterogeneity, it reduces the degree of freedom and leads to poor estimation accuracy when the time-series length is short. On the other hand, in a lot of empirical studies, it is not uncommon to find that heterogeneous coefficients exhibit group structures where coefficients belonging to the same group are  similar or identical. This paper aims to provide an easy and straightforward approach for estimating the underlying latent groups. This approach is based on the hierarchical agglomerative clustering (HAC) of kernel estimates of the heterogeneous time-varying coefficients when the number of groups is known. We establish the consistency of this clustering method and also propose a generalised information criterion for estimating the number of groups when it is unknown. Simulation studies are carried out to examine the finite sample properties of the proposed clustering method as well as the post-clustering estimation of the group-specific time-varying coefficients. The simulation results show that our methods give comparable performance as the penalised-sieve-estimation-based classifier-LASSO approach by Su et al. (2018), but are computationally easier. An application to a panel study of economic growth is also provided.


上一条: 2019年4月11日台湾政治大學吳柏林教授讲座预告 2019-04-03
下一条: 2019年2月28日中山大学郭先平教授来我院讲座预告 2019-02-24