学术讲座 | 商务统计与经济计量系讲座（2023-10-12）

Statistics Seminar

(2023-16）

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

Speaker: Liangjun Su, C.V. Starr Chair Professor, Tsinghua University 

Time: Thursday, October 12, 3:10 - 5:00 p.m. Beijing Time

Location: Room 217, Guanghua Building 2

Abstract 

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.

Introduction 

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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