| 主讲人 |
Christian B. Hansen |
简介 |
<p>We consider inference about coefficients on a small number of variables of interest in a linear panel data model with additive unobserved individual and time specific effects and a large number of additional time-varying confounding variables. We allow the number of these additional confounding variables, p, to be larger than the sample size, and suppose that, in addition to unrestricted time and individual specific effects, these confounding variables are generated by a small number of common factors and p weakly-dependent disturbances. We allow that both the factors and the disturbances are related to the outcome variable and other variables of interest. To make informative inference feasible, we impose that the contribution of the part of the confounding variables not captured by time specific effects, individual specific effects, or the common factors can be captured by a relatively small number of terms whose identities are unknown. Within this framework, we provide a convenient computational algorithm based on factor extraction followed by lasso regression for inference about parameters of interest and show that the resulting procedure has good asymptotic properties. We also provide a simple k-step bootstrap procedure that may be used to construct inferential statements about parameters of interest and prove its asymptotic validity. The proposed bootstrap may be of substantive independent interest outside of the present context as the proposed bootstrap may readily be adapted to other contexts involving inference after lasso variable selection and the proof of its validity requires some new technical arguments. We also provide simulation evidence about performance of our procedure and illustrate its use in two empirical applications.</p> |
| 主讲人简介 |
<p>Professor of Econometrics and Statistics, Booth School of Business, University of Chicago.</p>
<p><a href="/Upload/File/2016/11/20161104102716944.pdf"><span style="color: rgb(0, 0, 255);"><u><strong>Prof. Christian B. Hansen's CV</strong></u></span></a></p> |
期数 |
厦门大学高级计量经济学与统计学系列讲座2016秋季学期第四讲（总第87讲） |
