题目：Spatial panel data models with structural change
报告人：李鲲鹏 (Professor, CUEB)
报告时间：2018年3月14日（周三） 13：30 pm
地点：国际经管学院会议室（诚明楼三层）
主办方：国际经济管理学院

摘要：Spatial panel data models are widely used in empirical studies. The existing theories of spatial models so far have largely confine the analysis under the assumption of parameters stabilities. This is unduely restrictive, given that a large number of studies have well documented the presence of structural changes in the relationship of economic variables. This paper proposes and studies spatial panel data models with structural change. We consider using the quasi maximum likelihood method to estimate the model. Static and dynamic models are both considered. Large-$T$ and fixed-$T$ setups are both considered. We provide a relatively complete asymptotic theory for the maximum likelihood estimators, including consistency, convergence rates and limiting distributions of the regression coefficients, the timing of structural change and variance of errors. We study the hypothesis testing for the presence of structural change. The three super-type statistics are proposed. The Monte Carlo simulation results are consistent with our theoretical results and show that the maximum likelihood estimators have good finite sample performance.

摘要：空间面板数据模型广泛用于实证研究。迄今为止，现有的空间模型理论在很大程度上限制了在参数稳定性假设下的分析。鉴于大量研究已经充分证明了经济变量关系中存在结构性变化，因此这种限制性过大。本文提出并研究了具有结构变化的空间面板数据模型。我们考虑使用准最大似然法来估计模型。静态和动态模型都被考虑在内。大-$T$ 和固定-$T$ 设置都被考虑在内。我们为最大似然估计量提供了一个相对完整的渐近理论，包括回归系数的一致性、收敛速度和极限分布、结构变化的时间和误差的方差。我们研究了结构变化存在的假设检验。提出了三种超类型统计量。蒙特卡罗模拟结果与我们的理论结果一致，表明最大似然估计器具有良好的有限样本表现。

报告人简介：Kunpeng Li is a Professor of Capital University of Economics and Business. He works mainly on econometrics and have published papers in Annals of Statistics, Review of Economics and Statistics, Journal of Econometrics, Journal of Business and Economic Statistics, etc. For more information, please refer to his website: https://isem.cueb.edu.cn/xyry/jxyj/amc/l/77864.htm