时间：2021年4月9日（周五）9:30-11：30 am

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会议 ID：833 106 836

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（线下）形式：经济学院107

主持人： （国发院）沈艳、黄卓、孙振庭、张俊妮、胡博

              （经济学院）王一鸣、王熙、刘蕴霆

主讲人：周前坤，路易斯安那州立大学经济学终身副教授

题目：短面板模型下交互效应和阈值效应的估计和统计推断(Estimation and Statistical Inference for Short Panel Models with both Interactive Effects and Threshold Effects)

报告摘要：In this paper, we consider the estimation and statistical inference for panel models with both interactive effects and threshold effects when the time periods T is short/fixed. We propose a transformed estimation of both the slope coefficients and threshold parameter, which does not need to know the dimension of the factor structure, nor it requires estimation and identification of the factor structure in the model with short time periods. Based on the transformed estimation, we also suggest a test of threshold effects in the model. Asymptotic properties of the proposed estimation and testing of linearity in slope parameters are also established in the paper. Monte Carlo simulations are conducted to examine the finite sample performance of the proposed estimation and testing procedure. Applications to how debt level could influence firm’s investment ability highlights the necessity of using our proposed estimation to control and analyze the threshold effects in practice.

主讲人简介：

周前坤，现任路易斯安那州立大学经济学终身副教授。他的主要研究方向是理论计量经济学和应用经济学，他的研究兴趣爱好广泛，研究主题包括但不限于面板数据模型，非参数半参数计量模型，金融计量经济学，项目评估和处理效应的分析等。从2015年博士毕业开始，他在国际知名期刊一共发表20余篇高水平论文，这些期刊包括Journal of Econometrics, Journal of Applied Econometrics, Econometric Theory, Journal of Financial Econometrics, Econometric Reviews, Oxford Bulletin of Economics and Statistics等。