bat365官网登录入口学术报告[2023] 108号

(高水平大学建设系列报告880号)

报告题目: Bootstrapping trending time-varying coefficient panel models with missing observations

报告人：林逸聪助理教授（阿姆斯特丹自由大学）

报告时间：2023年12月26日15:30-16:30

报告地点：科技楼514

报告内容：We study a class of trending panel regression models with time-varying coefficients that incorporate cross-sectional and serial dependence, as well as heteroskedasticity. Our models also allow for missing observations in the dependent variable. We introduce a local linear dummy variable estimator capable of handling missing observations and derive its asymptotic properties. A key ingredient in our theoretical framework is a generic uniform convergence result for near-epoch processes in kernel estimation for large panels (N, T→ ∞). The resulting limiting distribution reflects the pattern of missing values and depends on various nuisance parameters. An autoregressive wild bootstrap (AWB) is proposed to construct confidence intervals and bands. The AWB accommodates missing observations and automatically replicates all the nuisance parameters, demonstrating good finite sample performance. We apply our methods to investigate (i) the relationship between PM2.5 and mortality and (ii) common trends in atmospheric ethane emissions in the Northern Hemisphere. Both examples yield statistical evidence for time variation.

报告人简介：林逸聪2013年本科毕业于bat365官网登录入口，2021年博士毕业于荷兰马斯特里赫特大学并获计量经济学博士学位。现于荷兰阿姆斯特丹自由大学担任助理教授及丁伯根研究所候选研究员。研究方向包括非线性，非平稳模型中的估计与推断方法以及信息论在机器学习中的应用。文章发表于Journal of Econometrics，Econometric Reviews。担任包括Journal of the American Statistical Association等多个杂志审稿人。

欢迎师生参加！

邀请人：姚念

bat365官网登录入口

2023年12月26日