暨南大学IESR王武毅副教授合作论文被计量经济学顶级期刊Journal of Econometrics接受发表

近日，暨南大学经济与社会研究院（IESR）副教授王武毅的合作论文“Identifying latent group structures in spatial dynamic panels”（合作者：Liangjun Su and Xingbai Xu）被计量经济学顶级期刊 Journal of Econometrics 接受发表。

Abstract

This paper considers the identification of latent group structures in spatial dynamic panels. We follow Lee and Yu (2010) and consider a rich spatial dynamic panel data (SDPD) model with two-way fixed effects. In addition, we also allow for latent panel structures where individuals can be classified into a few groups such that individuals within the same group share the common slope parameters and do not otherwise. Both the number of groups and the individuals’ group membership are unknown. To identify the latent group structures, we first adopt the GMM to obtain the preliminary unconstrained estimates of the slope coefficients. Then we apply the sequential binary segmentation algorithm (SBSA) of Wang and Su (2021) to these estimates and obtain the clusters. A BIC-type information criterion is proposed to choose the number of latent groups consistently. The asymptotic analysis shows that this method can identify the true group structure consistently, and the post-classification estimators enjoy the oracle property. Monte Carlo simulations demonstrate that our method has good finite sample performance. Finally, we apply our approach to the US housing market and identify two latent Metropolitan Statistical Areas groups.

个人简介

王武毅，现任暨南大学经济与社会研究院副教授，于2018年获得新加坡管理大学经济学博士学位。他的研究领域为理论计量经济学、应用计量经济学，研究成果发表于Journal of Econometrics、Journal of Applied Econometrics、Economics Letters、IEEE Transactions on Information Theory等国际知名期刊，主持国家自然科学基金青年项目。

来源：暨南大学经济与社会研究院

转自：“中国经济学教育科研网”微信公众号

如有侵权，请联系本站删除！