【2023 年 11 月 10 日（周五）经济系学术讲座】

题    目：Three-Dimensional Heterogeneous Panel Data Models with Multi-level Interactive Fixed Effects

嘉    宾：苏良军 讲席教授 清华大学

主持人：钱军辉 教授 上海交通大学安泰经济与管理学院

时   间：2023 年 11 月 10 日（周五）14:00-15:30

地   点：上海交通大学（徐汇校区）安泰楼 B207 教室

内容简介：

We consider a three-dimensional (3D) panel data model with heterogeneous slope coefficients and multi-level interactive fixed effects consisting of latent global factors and two types of local factors. Our model nests many commonly used 3D panel data models. We propose an iterative estimation procedure that relies on initial consistent estimators obtained through a novel de-factored approach. We study the asymptotic properties of our estimators and show that our iterative estimators of the slope coefficients are "oracle efficient" in the sense that they are asymptotically equivalent to those when the factors were known. Some specification testing issues are also considered. Monte Carlo simulations demonstrate that our estimators and tests perform well in finite samples. We apply our new method to the international trade dataset.

演讲人简介：

Liangjun Su is C.V. Starr Chair Professor of Economics in the School of Economics and Management, Tsinghua University. Professor Su’s main research interests include econometric theory, nonparametric econometrics, panel data models, factor models, big data analysis, and machine learning. He has published more than 90 papers in top international economics, statistics and informatics journals such as Econometrica, Econometric Theory, IEEE Transactions on Information Theory, Journal of Applied Econometrics, Journal of Econometrics, Journal of Machine Learning Research, Journal of the American Statistical Association, Journal of Business & Economic Statistics, Quantitative Economics, and Review of Economics and Statistics. His works have been cited in various textbooks, including Professor Hsiao’s Panel Data Analysis. Currently, Professor Su is a co-editor for Econometric Theory and an associate editor for Journal of Econometrics, Econometric Reviews, Journal of Systems Science and Complexity, and Journal of Quantitative and Technical Economics (Chinese).

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