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辽宁大学经济学前沿高端讲座第七十七讲 Instrumental Variable Estimation via a Continuum of Instruments with an Application to Estimating the Elasticity of Intertemporal Substitution in Consumption

时间:2024-12-23 14:29:03  作者:  点击:

主讲人:王学新 副教授(厦门大学)

主持人:谢明佳 助理教授(辽宁大学李安民经济研究院)

嘉宾介绍:毛明海 助理教授(辽宁大学李安民经济研究院)

时间:2024年12月27日(周五) 10:00 - 11:30(北京时间)

地点:辽宁大学崇山校区五洲园一楼会议室

线上地址:腾讯会议358-6417-4104

语言:中文/英文

摘要: This study proposes new instrumental variable (IV) estimators for linear models utilizing a continuum of instruments. The effectiveness of the new estimation method is attributed to the unique weighting function employed in the minimum distance objective functions. The proposed estimators enjoy analytical formulas and are nuisance-parameter free, avoiding the choice of an arbitrary number of moments or bandwidth in previous literature. They are robust to weak instruments and heteroskedasticity of unknown form. Moreover, they are robust to the high dimensionality of included and excluded exogenous variables. Further, inference drawn from these estimators is also straightforward. Comprehensive Monte Carlo simulations confirm that the proposed estimators exhibit excellent finite-sample properties and outperform alternative estimators over a wide range of cases. The new estimation procedure is then applied to gauge the elasticity of intertemporal substitution (EIS) in consumption, a parameter of central importance in both macroeconomics and finance. For quarterly data of the U.S. from Q4 1955 to Q1 2018, the EIS estimates obtained through our approach exceed one and are statistically significant. These findings persist across model transformations, distinct sets of IVs, various data structures, and different data ranges.

主讲人简介:

王学新,西班牙马德里卡洛斯三世大学经济学博士,现任邹至庄经济研究院,王亚南经济研究院与经济学院统计系副教授。研究领域为工具变量、高维计量以及假说检验。论文发表在Econometric Reviews, Journal of Business & Economic statistics, Journal of Econometrics, Journal of Time Series Analysis等国际学术期刊上。