[Lecture] Kunpeng Li：A Spatial Panel Quantile Model with Unobserved Heterogeneity
Time: 11:30-12:30am, Jun. 5th, 2021, Saturday
Venue: Tencent meeting ID：612 438 046
Spreker: Kunpeng Li, Professor, Dean of the School of International Economics and Management, Capital University of Economics and Trade
Abstract:This paper introduces a spatial panel quantile model with unobserved heterogeneity. The proposed model is capable of capturing high-dimensional cross-sectional dependence and allows heterogeneous regression coefficients. For estimating model parameters, a new estimation procedure is proposed. When both the time and cross-sectional dimensions of the panel go to infinity, the uniform consistency and the asymptotic normality of the estimated parameters are established. In order to determine the dimension of the interactive fixed effects, we propose a new information criterion. It is shown that the criterion asymptotically selects the true dimension. Monte Carlo simulations document the satisfactory performance of the proposed method. Finally, the method is applied to study the quantile co-movement structure of the U.S. stock market by taking into account the input-output linkages as firms are connected through the input-output production network.
Speaker’s Bio:李鲲鹏，首都经济贸易大学国际经济管理学院院长，教授。2011年毕业于清华大学经济管理学院获得经济学博士学位。在国内外高水平期刊上发表论文20余篇，包括Annals of Statistics、Review of Economics and Statistics、Journal of Econometrics、Journal of Business and Economic Statistics、Economics Letters、Econometric Reviews等，主持国家自然科学基金两项、教育部人文社科基金一项，兼任Journal of Business & Economic Statistics期刊编委、中国数量经济学学会常务理事等。主要研究领域为理论计量经济学，研究方向包括高维因子模型、面板数据模型、交互效应模型、空间计量模型等。
