Speaker:Associate Professor Wang Xuexin (Xiamen University)
Host:Assistant Professor Xie Mingjia (Institute for Economic Research, Liaoning University)
Guest Introduction:Assistant Professor Mao Minghai (Institute for Economic Research, Liaoning University)
Time:Friday, December 27, 2024, 10:00 - 11:30 AM (Beijing Time)
Venue:Conference Room, 1st Floor, Wuzhouyuan, Chongshan Campus, Liaoning University
Online Address:Tencent Meeting ID: 358-6417-4104
Language:Chinese/English
Abstract:
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.
Speaker Bio:
Wang Xuexin holds a PhD in Economics from Carlos III University of Madrid, Spain. He is currently an Associate Professor in the Department of Statistics at the Wang Yanan Institute for Studies in Economics, School of Economics, and the Zhou Zhizhuang Institute for Economic Research at Xiamen University. His research interests include instrumental variables, high-dimensional econometrics, and hypothesis testing. His research has been published in leading international academic journals such as Econometric Reviews,Journal of Business & Economic Statistics,Journal of Econometrics, and Journal of Time Series Analysis.
