报告题目：Nonparametric Dynamic Panel Data Models with Interactive Fixed Effects: Sieve Estimation and Specification Testing
摘要：In this paper we analyze nonparametric dynamic panel data models with interactive fixed effects, where the predetermined regressors enter the models nonparametrically and the common factors enter the models linearly but with inpidual-specific factor loadings. We study the issues of estimation and specification testing for the nonparametric function when both the cross-sectional dimension N and the time dimension T are large. We propose sieve estimation for the nonparametric function by extending Bai's (2009) and Moon and Weidner's (2013, 2014) linear panel with interactive fixed effects to our nonparametric framework. Based on the first order asymptotic theory of the least squares sieve estimation, we derive the convergence rate for the sieve estimator and establish its asymptotic normality. The sources of asymptotic biases are discussed and a bias-corrected estimator is proposed. We also provide a consistent nonparametric specification test for the linearity of the unknown function by comparing its linear estimator with the sieve estimators. We establish the asymptotic distributions of the test statistic under both the null hypothesis and a sequence of Pitman local alternatives. A bootstrap procedure is proposed to obtain the bootstrap p-values and its asymptotic validity is justified. Monte Carlo simulations are conducted to investigate the finite sample performance of our estimator and test. We apply our model to an economic growth data set to study the relationship between capital accumulation and real GDP growth rate.
时间：11月28日（周五）下午2:15
地点：7-108
报告人：章永辉博士
报告人简介：章永辉博士拥有新加坡管理大学经济学博士学位，北京大学光华管理学院统计学硕博，浙江大学数学本科，现为中国人民大学经济学院讲师。主要研究方向包括计量经济学理论、非参数/半参数计量经济学、高维面板数据模型、非线性面板数据模型、非线性非平稳时间序列等。主要研究成果发表在包括The Econometrics Journal、 Empirical Economics（forthcoming）、Journal of Econometrics（forthcoming）在内的重要计量经济学期刊上。
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