On the CCE Estimation of Three-Dimensional Panels with Multi-level Factors
报告人： 陆迅（香港中文大学）
时间：2025-03-13 15:10-17:00
地点：光华2号楼217
Abstract:
We consider the common correlated effects (CCE) estimation of a three-dimensional (3D) panel data model with heterogeneous slope coefficients and multi-level interactive fixed effects. We study the asymptotic properties of the heterogeneous slope coefficient estimators and the mean group (MG) estimators. We find that bias-correction is indispensable for the MG estimator and show that the MG estimators exhibit different convergence rates depending on the degree of heterogeneity in the slope coefficients. We propose a bias correction procedure and inference method that is uniformly valid irrespective of the degree of heterogeneity. Monte Carlo simulations demonstrate excellent performance of our estimators and inference methods in finite samples. We apply our new methods to international trade data and find significant heterogeneity in the gravity model even after we control for the multi-level factors.
About the Speaker:
Xun Lu is a Professor at the Department of Economics, Chinese University of Hong Kong (CUHK). His research interests include econometric theory and applied econometrics. His papers were published by leading academic journals including Journal of Econometrics, Review of Economics and Statistics, Econometric Theory, and Journal of Business and Economic Statistics. He is currently an associate editor of Journal of Business and Economic Statistics.
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