【Metrics】Recovering Latent Linkage Structures and Spillover Effects with Structural Breaks
2024/05/28
研討會日期 : 2024-05-28
時間 : 14:30
主講人 : Professor Wendun Wang
地點 : Conference Room B110
主持人 : Professor Chu-Au Liu
演講者簡介 : Professor Wendun Wang received his PhD from Tilburg University in 2013. He is an associate professor at Erasmus University Rotterdam. His research interest includes panel econometrics and model averaging.
演講摘要 : This paper aims at capturing time-varying spillover effects with panel data. We consider panel models where the outcome of a unit not only depends on its characteristics(private effects) and also on the characteristics of other units (spillover effects). The private effects can be unit-specific or homogeneous. We allow the linkage structure, i.e., which units affect which, to be latent. Moreover, the structure and the spillover effects may both change at an unknown breakpoint. To estimate the breakpoint, linkage structure, spillover effects, and private effects, we solve a penalized least squares optimization and employ double machine learning procedures to improve the convergence rate and statistical inferences. We establish the super consistency of the breakpoint estimator, which allows us to make inferences on other parameters as if the breakpoint was known. We illustrate the theory via simulation and apply the method to study the cross-country technology diffusion.
