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10月13日,陈鉴堃(经贸院数量经济学系)
发布时间:2022-10-07   发布人:zs   点击数:2906

【喜迎二十大・学术讲座】2022年10月13日(周四)下午1:30-3:00 陈鉴堃(经贸院数量经济学系)

讲座系列:院内青年教师讲座第3场

讲座人:陈鉴堃(国际经济贸易学院数量经济学系)

时间:2022年10月13日(周四)下午1:30-3:00

地点:博学楼1222

讲座题目:  Estimation of the Spatial Autoregressive Panel Data Models with Interrelated Networks

讲座摘要: This paper considers estimation of spatial autoregressive (SAR) models for panel data with both individual and time fixed effects. The model allows for interrelated spatial or social networks of different sizes. A leading empirical example is price competition between retail chain stores. The model captures unit-generated network dependence, e.g., spillovers, at group level and allows for group heterogeneity. To estimate the system, we extend the QMLE method considered in Lee and Yu (2010) and the GMM estimation considered in Wang, Lee and Bao (2018) to the current model. For the GMM estimation, we utilize approximations to the optimal instruments implied by the reduced form model towards constructing the moment conditions. This procedure is motivated by the LIVE and the FIVE estimations for a simultaneous equation SAR model that considered in our working paper. Our GMM estimator remains computationally feasible with large networks and robust to heteroskedasticity of unknown form. Monte Carlo results show that our GMM estimators exhibit good finite sample properties, especially under weak IV scenarios. Possible empirical applications with spatial/social network models of the same class will also be discussed.

讲座人简介:陈鉴堃,经贸学院数量经济学系讲师,于2022年在美国马里兰大学经济学系获得经济学博士学位。研究领域包括空间计量经济模型的理论以及其在产业网络、社会网络上的实证应用。

讲座人主页:

http://site.uibe.edu.cn/actionszdw/ViewTeacher.aspx?NewsID=713

 

 

 

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