题目：Spatial panel data models with structural change

主讲人：首都经济贸易大学  李鲲鹏教授

主持人：统计学院 常晋源教授

时间：2021年3月30日（周二）下午2:00-3:00

直播平台及会议ID：腾讯会议，268 404 446

报告摘要：

Spatial panel data models are widely used in the social science, especially in the economics discipline. The existing studies on spatial models usually assume parameters stabilities. Such an assumption may be restrictive given that the presence of structural changes in the relationship of economic variables has been well documented in the literature. This paper proposes and studies spatial panel data models with structural change. Our basic model is a static spatial autoregressive panel data one, and we consider using the quasi maximum likelihood (QML) method to estimate it. The asymptotic theory of the QML estimators including consistency, convergence rates and limiting distributions, are established under large-$N$ and large-$T$ setup. We next extend our theory in two directions: dynamic model and large-$N$ and fixed-$T$ setup. We also study the hypothesis testing for the presence of structural change. The three super-type statistics are proposed. We run simulations to investigate the performance of the QML estimators and find that the QML estimators behave well in our simulations.

主讲人简介：

李鲲鹏现为首都经济贸易大学教授，国际经管学院院长。研究方向为大数据计量经济学，在国内外经济学、统计学、管理学期刊发表论文30篇，包括Annals of Statistics, Journal of Business & Economic Statistics, Journal of Econometrics, Management Science, Review of Economics and Statistics等。现在担任Journal of Business & Economic Statistics期刊编委。