Structural Changes in Heterogeneous Panels with Endogenous Regressors
2017/12/19
研討會日期 : 2017-12-19
時間 : 14:30
主講人 : Professor Qu Feng (馮曲)
主持人 : Professor Le-Yu Chen
地點 : Conference Room C103
演講者簡介 : Professor Feng received his Ph.D. in Economics from Syracuse University in 2009. He is currently an Associate Professor of Economics at Nanyang Technological University. His research fields are Econometrics, Large Dimensional Panel Data, Spatial Econometrics, Productivity Analysis and Chinese Economy.
演講摘要 : This paper enriches Pesaran (2006) and Baltagi et al. (2016) by allowing for endogenous regressors in large heterogeneous panels with unknown common structural changes. Thus, an empirically appealing panel data model is provided to accommodate important features of endogeneity and structural breaks, in addition to heterogeneity and cross-sectional dependence, that prevail in applied studies. We extend the findings of Perron and Yamamoto (2015) in a time series regression model, and use least squares to estimate common break dates even with endogenous regressors in heterogeneous panels. In addition, we show that Pesaran's common correlated effects (CCE) approach is still valid to deal with cross-sectional dependence due to unobservable factors in the presence of endogenous regressors and structural changes in slopes and error factor loadings. Monte Carlo experiments show that the proposed estimators perform well and consistently estimate the common break point.
