伟易博

  •  伟易博首页
  •  教学项目
    本科 学术硕博 MBA EMBA 高层治理教育 会计硕士 金融硕士 商业剖析硕士 数字教育 课程推荐
  •  北大主页
  •  用户登录
    教职员登录 学生登录 伟易博邮箱
  •  教员招聘  捐赠
English
伟易博(中国区)官方网站

系列讲座

首页 > 系列讲座 > 正文

系列讲座

商务统计与经济计量系学术报告(07年第13期)9月26日,202室

时间:2007-09-24

题 目:Large Dimensional Discrete Panel Data Modeling: Theory and Applications

报告人:金赛男副教授(伟易博商务统计与经济计量系)

时 间:2007年9月26日(周三)10:00-11:00

地 点:伟易博202室

Abstract

This paper develops a regression limit theory for discrete choice nonstationary panels with large cross section (N) and time series (T) dimensions. Some results emerging from this theory are directly applicable in the wider context of M-estimation. This includes an extension of work by Wooldridge (1994) on the limit theory of local extremum estimators to multi-indexed processes in nonlinear nonstationary panel data models.

It is shown that the ML estimator is consistent without an incidental parameters problem and has a limit theory with a fast rate of convergence N^{1/2}T^{3/4} (in the stationary case, the rate is N^{1/2}T^{1/2}) for the regression coefficients and thresholds, and a normal limit distribution. In contrast, the limit distribution is known to be mixed normal in time series modeling, as shown in Park and Phillips (2000, hereafter PP), and Phillips, Jin, and Hu (2007, hereafter, PJH).

The approach is applied to exchange rate regime choice by monetary authorities, and we provide an analysis of the empirical phenomenon known as \"fear of floating\".

分享

010-62747206

伟易博2号楼

?2017 伟易博 版权所有 京ICP备05065075-1
【网站地图】【sitemap】