北大经院工作坊第879场| common correlated effects estimation of nonlinear panel data models
（计量、金融和大数据分析工作坊）
主讲人：liang chen, hsbc business school, peking university
主持老师：（北大国发院）孙振庭
参与老师：
（北大经院）王一鸣、王法、王熙、刘蕴霆
（北大国发院）黄卓、张俊妮
（北大新结构）胡博
时间：2024年5月10日（周五） 10:00-11:30
地点（线下）： 北京大学国家发展研究院（承泽园）345会议室
主讲人简介：
liang chen is an assistant professor at hsbc business school at peking university and received his phd in economics from universidad carlos iii de madrid. liang chen' s main research interests include econometric theory, applied econometrics. he has published papers in econometrica, economica, journal of econometrics and the econometrics journal.
报告摘要：
this paper focuses on estimating the coefficients and average partial effects of observed regressors in nonlinear panel data models with interactive fixed effects, using the common correlated effects (cce) framework. the proposed two-step estimation method involves applying principal component analysis to estimate latent factors based on cross-sectional averages of the regressors in the first step, and jointly estimating the coefficients of the regressors and factor loadings in the second step. the asymptotic distributions of the proposed estimators are derived under general conditions, assuming that the number of time-series observations is comparable to the number of cross-sectional observations. to correct for asymptotic biases of the estimators, we introduce both analytical and split-panel jackknife methods, and confirm their good performance in finite samples using monte carlo simulations. an empirical application utilizes the proposed method to study the arbitrage behaviour of nonfinancial firms across different security markets.
供稿单位：科研与博士后办公室
供稿人：胡丹丹