研究生workshop由首都经济贸易大学国际经济管理学院主办。主要内容：一是研究生报告前沿或经典文献，二是研究生报告自己的研究或研究设想。论坛宗旨是：为学院师生搭建一个学术交流平台，营造浓厚学术氛围；通过对经典论著或前沿文献的研讨，拓宽研究生的理论视野，提升研究生的前沿方法运用能力，帮助研究生提高论文写作质量。

本期workshop

报告人：苏欢（博士一年级）

导师：李鲲鹏

报告题目：《Identifying Peer Effects in Student Academic Achievement by Spatial Autoregressive Models with Group Unobservables》, Journal of Labor Economics, 2010.

报告摘要：

Disentangling peer effects from other confounding effects is difficult, and separately identifying endogenous and contextual effects is impossible for the linear-in-means model. This study confronts these problems by using spatial autoregressive models with group fixed effects. The nonlinearity introduced by the variations in the peer measurements provides information to identify both endogenous and contextual effects, thus resolving the “reflection problem.” The group fixed effects term captures the confounding effects of the common variables. Applying the model to data sets from the National Longitudinal Study of Adolescent Health, I find strong evidence for both endogenous and contextual effects in student academic achievement.

报告人：梁华宇（博士二年级）

导师：李鲲鹏

报告题目：《Arbitrage Pricing with Heterogeneous Spatial Effects and Heteroscedastic Disturbances》, Journal of Financial Econometrics, 2022.

报告摘要：

We develop a heterogeneous spatial arbit and regression coefficients, and heteroscedastic variances, and further establish identification of parameters and asymptotic normality of the conditional QML estimators under some mild conditions. We apply the proposed model to study a real data set of 11 eurozone stock index returns and extend the Fama–French five-factor model to regional stock indices, in which heterogeneous spatial effects and heteroscedastic disturbances are highly significant and they both play very important roles in explaining distinct endogenous effects and distinct risks of the 11 eurozone stock markets. Our empirical results reveal unique characteristics of each of 11 eurozone stock markets and their inner connections.

时间：2024年4月26日