南开金融学术港
南开大学金融学院

华中科技大学魏杰博士做客南开金融学术讲堂
发布时间:2017-05-08 11:35:49


(通讯员 郭彬)4月14日上午,来自华中科技大学的魏杰助理教授做客南开金融学术讲堂,并作了题为“Power Enhancement Test of Slope Heterogeneity in Panel Data Modelswith Interactive Fixed Effects”的精彩报告。

 

已有的众多文献关注于交互效应面板模型估计中的同质斜率项问题。然而对于异质斜率项估计问题还没有一致的结论。本研究在交互效应条件下考虑了条件异方差和弱横截面依赖问题。传统的二次型检测法对于高维面板数据会产生低效能问题。作者使用效能增强成分来提高模型效能。该成分显著提高了模型效能,即使在数据是稀疏的情况下。此外,该成分使模型规模渐进不收影响。

魏杰博士现为华中科技大学经济学院助理教授,美国加州大学河滨分校经济学博士,浙江大学经济学硕士,厦门大学经济学学士。主要研究方向包括半参数计量经济学,面板数据模型以及微观计量。


On 14th Apr, 2017, Dr. Jie Wei from Huazhong University of Science and Technology gave us a speech named as “Power Enhancement Test of Slope Heterogeneity in Panel Data Models with Interactive Fixed Effects” in Room  234,School of Finance, Nankai University.

Estimate and inference on interactive effect panel models with homogeneous slopes have been established by previous studies. Yet when there is heterogeneity in slope,the above results may be inconsistent. This work allows conditional heteroskedasticity and weak cross sectional dependence together with interactive effects. Atypical quadratic form test may suffer from low power problems in high-dimensional panel. This work employment a power enhancement component to boost the power. The added power enhancement component increases the power when alternatives are sparse, while keeps the size asymptotically unaffected.

Dr. Jie Wei is an assistant professor in School of Economics, Huazhong University of Science and Technology. He holds a PhD of Economics from University of California, Riverside, master of Economics from Zhejiang University, and Bachelor of Economics from Xiamen University. His research interests include semi parametric econometrics, paneldata model and micro-econometrics.