题目：Fixed-effects dynamic spatial panel data models and impulse response analysis

报告人：Kunpeng Li (Associate Professor, ISEM/CUEB)

报告时间：2016年10月27日（周四） 1：30 pm

地点：国际经管学院会议室（诚明楼三层）
主办方：国际经济管理学院

Abstract:

Real data often have complicated correlations over cross section and time. Such correlations are of particular interests in empirical studies. This paper considers using high order spatial lags and high order time lags to model complicated correlations over cross section and time. We propose to use the quasi maximum likelihood (QML) method to estimate the model. We establish the asymptotic theory of the quasi maximum likelihood estimator (QMLE), including the consistency and limiting distribution, under large N and large T setup, where N denotes the number of individuals and T the number of time periods. We investigate the problem of estimating impulse response functions and the associated (1 − α)-confidence intervals. Average direct, indirect and total impacts are defined along the same spirits of LeSage and Pace (2009) under the dynamic spatial panel data setup. The estimation and inferential theory for the three impacts are studied. Model selection issue is also considered. Monte Carlo simulations confirm our theoretical results and show that the QMLE after bias correction has good finite sample performance..

Biography:

Kunepng Li is an Associate Professor of ISEM/CUEB. His research interests are in Econometrics, Factor Analysis. For more information, please refer to

http://isem.cueb.edu.cn/xyry/jxyj/amc/l/67875.htm