题目：A panel data probit model with correlated random effects and time varying factor loads

主讲人：周亚虹

时间：2017年11月10日13:30—14:45

地点：暨南大学中惠楼106B会议室

主办方：暨南大学经济与社会研究院

主讲人简介：周亚虹，现任上海财经大学经济学院教授，博士生导师，新世纪优秀人才，2005年于香港科技大学获得博士学位。他的研究领域主要涵盖了微观计量经济学、微观经济学。他的研究成果发表于Econometric Theory, Journal of Business & Economic Statistics, Science China Mathematics, Journal of Econometrics, Economics Letters, Annals of Economics and Finance, 经济研究等国内外著名期刊。

Abstract:

We study inference in a panel data binary response model with correlated random effects and time varying factor loads. The model is useful in that it allows returns on unobserved individual effect (labor skill) to change over time, e.g., in a female labor force participation model. By assuming that the composite error term is Gaussian distributed, we show that both the slope coefficients as well as the factor loads are identified up to scale. We propose a multi-stage estimator that is shown to be root-n-consistent and asymptotically normally distributed. The proposed estimator has a closed form expression and thus is very easy to compute. Simulations and the empirical illustration demonstrate the usefulness of our estimator.