Department of Mathematics and Statistics, Binghamton University

User Tools

Site Tools

You are here: Homepage » Colloquium, Seminars, Lectures, and Conferences » Statistics Seminar » September 10, 2015
seminars:stat:160211

Differences

This shows you the differences between two versions of the page.

Link to this comparison view

Both sides previous revisionPrevious revision
Next revision		Previous revision
seminars:stat:160211 [2016/01/29 14:24] – shangseminars:stat:160211 [2016/03/01 16:49] (current) – shang
Line 1: Line 1:
 +<WRAP centeralign>##Statistics Seminar##\\ Department of Mathematical Sciences</WRAP>
 +
 +~~META:title =September 10, 2015~~
 +<WRAP 70% center>
 +^  **DATE:**|Thursday, Feburary 11, 2016 |
 +^  **TIME:**|1:15pm to 2:15pm |
 +^  **LOCATION:**|WH 100E |
 +^  **SPEAKER:**|Qiankun Zhou, Binghamton University |
 +^  **TITLE:**|JIVE for Panel Dynamic Simultaneous Equations Model |
 +</WRAP>
 +\\ 
 +
 +<WRAP center box 80%>
 +<WRAP centeralign>**Abstract**</WRAP>
 +We consider the method of moments estimation of panel dynamic simultaneous equations
 +models under different sample size combination of cross-sectional dimension, N; and time series
 +dimension, T. We consider two types of linear transformation to remove the individual-specific
 +effects from the model, first difference and forward demeaning. We show that the Alvarez-
 +Arellano type GMM estimation under both transformations is consistent only if T/N->0 as
 +(N,T)->inifty. However, it is asymptotically biased if T^3/N->k \neq 0. Since the validity of statistical inference depends critically on whether an estimator is asymptotically unbiased or not, we investigate the jackknife bias reduction method and derive its limiting distribution.
 +</WRAP>