A Spatial Panel Quantile Model with Unobserved Heterogeneity


15:30-17:00, Friday, April 23, 2021


Tencent Meeting (Meeting ID: 694 435 591)


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Dr. Kunpeng LI, is now a professor and the dean of the International School of Economics and Management, Capital University of Economics and Business. He obtained his Ph.D. in Economics from Tsinghua University in 2011. His research interests are High Dimensional Factor Analysis, Panel Data Models with Interactive Effects, Factor-augmented Regression Models, Time Series Analysis, Spatial Econometrics, Structural Change and Threshold Models, Empirical Process and its applications. His work has been published in Annals of Statistics, Journal of Econometrics, Review of Economics and Statistics, among others. He has received grants from National Natural Science Foundation of China, Humanity and Social Science Fund of Ministry of Education, China.


This paper introduces a spatial panel quantile model with unobserved heterogeneity. The proposed model is capable of capturing high-dimensional cross-sectional dependence and allows heterogeneous regression coefficients. For estimating model parameters, a new estimation procedure is proposed. When both the time and cross-sectional dimensions of the panel go to infinity, the uniform consistency and the asymptotic normality of the estimated parameters are established. In order to determine the dimension of the interactive fixed effects, we propose a new information criterion. It is shown that the criterion asymptotically selects the true dimension. Monte Carlo simulations document the satisfactory performance of the proposed method. Finally, the method is applied to study the quantile co-movement structure of the U.S. stock market by taking into account the input-output linkages as firms are connected through the input-output production network.

For more information of the seminar, scan the following QR code(s) to join Tencent QQ group (904 544 292) or WeChat group named "IAER Seminar (2)", please.


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QQ Group


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WeChat Group (QR code is valid until 4/27/2021)


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