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2012年2月15日Seminar：Model Averaging Partial Effect (MAPLE) Estimation with Large Dimensional Data
发布时间：2012-02-13
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主题：Model Averaging Partial Effect (MAPLE) Estimation with Large Dimensional Data
主讲人：Tu, YunDong
[ABSTRACT]：This paper studies the estimation of the marginal effect of one economic variable on another in the presence of large amount of other economic variables—a problem frequently faced by applied researchers. The estimation is motivated via model uncertainty so that random components should be included to describe the economy according to the state of the world. A condition named /Conditional Mean Independence" is shown to be sufficient to identify the partial effect parameter of interest. In the case that the parameter of interest can be identified in more than one approximating model, we propose two estimators for such a parameter: generalized- method-of-moment-based model averaging partial effect (gMAPLE) estimator and entropy-based model averaging partial effect (eMAPLE) estimator. Consistency and asymptotic normality of the MAPLE estimators are established under a suitable set of conditions. Thorough simulation studies reveal that MAPLE estimators outperform factor based, variable selection based and other model averaging estimators available in the literature. An economic example is taken to illustrate the use of MAPLE estimator to evaluate the effect of inherited control on firms' performance.
[作者简介]：
Yundong Tu, is currently a Ph. D. candidate in the Department of Economics, at University
of California, Riverside. His research fields include Econometric Theory, Applied
Econometrics, Macroeconomic and Financial Forecasting. Hisresearch interest is very broadly
covering other areas including Microeconomics,Macroeconomics and Urban Economics. Prior to
the study at Riverside, he achieved his Bachelor's degree in Mathematics from Wuhan
University in 2004 and his Master's degree in the Institute for Advanced Study of Wuhan
University in 2006. Yundong has plenty of teaching experience and has taught at Wuhan
University, Southcentral University for Nationalities and UC, Riverside.Besides, he has
attended various conferences and seminars and has contact with leading figures in the field
of Econometrics.
Yundong Tu, is currently a Ph. D. candidate in the Department of Economics, at University
of California, Riverside. His research fields include Econometric Theory, Applied
Econometrics, Macroeconomic and Financial Forecasting. Hisresearch interest is very broadly
covering other areas including Microeconomics,Macroeconomics and Urban Economics. Prior to
the study at Riverside, he achieved his Bachelor's degree in Mathematics from Wuhan
University in 2004 and his Master's degree in the Institute for Advanced Study of Wuhan
University in 2006. Yundong has plenty of teaching experience and has taught at Wuhan
University, Southcentral University for Nationalities and UC, Riverside.Besides, he has
attended various conferences and seminars and has contact with leading figures in the field
of Econometrics.
主持人：杨澄宇教授
时间：2012年2月15号下午2点半--4点
地点：北师大后主楼1610
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