Model Averaging for Heterogeneous Dynamic Panel Regressions with Weakly Exogenous Regressors and a Multifactor Error Structure
2019/05/14
研討會日期 : 2019-05-14
時間 : 14:30
主講人 : Professor Shou-Yung Yin (殷壽鏞)
主持人 : Professor Chu-An Liu
地點 : Conference Room B110
演講者簡介 : Professor Yin received his Ph.D. in Economics from National Central University in 2013. He is currently an Assistant Professor at National Taipei University. His research fields are Econometric theory (Panel data model, factor model, time series analysis) and empirical monetary economics.
演講摘要 : This paper considers model averaging in heterogeneous dynamic panel regressions with weak exogenous regressors and a multifactor error structure. Under a local to zero framework, we show that the common correlated effects mean group (CCEMG) estimator exists different components of the asymptotic bias: the fundamental bias from ignoring variables and time series bias. We then propose a focused information criterion and a plug-in averaging estimator based on the half-panel jack-knife bias-corrected CCEMG estimators for the full model and all submodels. Since the fundamental bias cannot be corrected, the trade-off between bias and variance exists, and the proposed bias-corrected methods can still minimize the asymptotic mean squared errors. Monte Carlo simulations show that the proposed averaging method generally outperforms other methods. An empirical study on the relationship between the commodity terms of trade volatility and the economic growth is applied as an illustration of the proposed methods.
