报 告 题 目：Estimating a common break point in means for long-range dependent panel data

主 讲 人：庞 天 晓

单 位：浙江大学

时 间：11月25日15:00

腾 讯 ID: 931-296-423

摘 要：

We study a common break point in means for panel data with cross-sectional dependence through unobserved common factors, in which the observations are long-range dependent over time and are heteroscedastic and may have different degrees of dependence across panels. We adopt the least squares method to estimate the common break point. Asymptotic behaviors of the estimator are investigated. The theoretical results reveal that there is a trade-off between the overall break magnitude of the panel data and the long-range dependence. It is also revealed how the overall break magnitude, the effect of common factors and the interplay between the break magnitudes and the common factors affect the limiting distribution of the estimator. The corresponding theoretical results under cross-sectional independence are also presented. Monte Carlo simulations and an empirical study are given to illustrate the theoretical results on finite-sample performance.

简 介：

庞天晓，浙江大学数学科学学院教授，博士生导师。2000年6月在浙江大学数学系获学士学位，2005年6月在浙江大学数学系概率论与数理统计专业获博士学位。2005.06-2006.06任浙大城市学院讲师。2006.07-2007.07在台湾中央研究院和国立中央大学从事博士后研究。2007.07-至今在浙江大学数学系/数学科学学院工作，历任讲师、副教授、教授。曾获浙江大学“求是青年学者”、浙江大学“优质教学二等奖”，以及数学科学学院“苏步青优秀青年教师奖”。主要研究方向是概率极限理论、统计大样本理论和计量经济学。