Estimation and inference in large heterogeneous panels with stochastic time-varying coefficients

15:30-17:00, Friday, June 18, 2021

Tencent Meeting (Meeting ID: 658 952 832)

Dr. Yu BAI is the researcher at the BAFFI CAREFIN Center of Bocconi University, Italy. He was a visiting scholar at King's School of Business. His research fields cover Time Series, Panel Data and Forecasting. His work has been published in Journal of Statistical Computation and Simulati

In this paper, we develop kernel-based non-parametric estimation and inferential theory for large heterogeneous panel data models with stochastic time-varying coefficients. We propose mean group and pooled estimators, derive the asymptotic distributions, and show the uniform consistency and asymptotic normality of the coefficients paths of the model. Then, we extend the procedures to the case with possibly endogenous regressors and propose a time-varying version of the Hausman exogeneity test. The features of proposed estimators are investigated through an extensive Monte Carlo study. We also present two empirical applications. The first explores the time-varying price elasticity of U.S. gasoline demand functions with state-level data. The second estimates the panel version of time-varying backward looking and forward looking Phillips curve.

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.

QQ Group

WeChat Group (OR code is valid until 6/18/2021)