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数据科学与计量经济学系列讲座第三期
时间:2020-09-30    点击数:

讲座题目:Instrumental variable estimation via a continuum of instruments with an application to estimating the elasticity of intertemporal substitution in consumption

报告人:王学新,厦门大学,助理教授

报告时间:2020年10月08日下午15点30分

报告地点:线下:经管院A221   线上:腾讯会议173 324 205

主持人:李愚昊


内容摘要:The endogeneity of regressors is a dominant feature of the linear regression model that continues to be a workhorse in econometrics. This paper introduces new instrument variable estimators based on a continuum of instruments. The proposed estimators are labeled as WNIV and WNIVF. Both are easy to compute, resembling the classic k-class IV estimators, but no any user-chosen number is needed. They are consistent and asymptotically normal distributed under weak instruments and heteroskedasticity of unknown form. Monte Carlo simulations demonstrate that the proposed estimators have excellent finite sample properties, outperforming alternative estimators in a wide range of cases. We apply the new estimation procedure to estimating the elasticity of intertemporal substitution (EIS) in consumption, which is of central importance in macroeconomics and finance. For UK\ quarterly data from 1970.3-1999.1, the WNIV (WNIVF) estimate of EIS is $0.7$, and statistically different from zero. For US quarterly data from 1947.3-2008.4, the WNIV (WNIVF) estimate is as high as $2.0$, and statistically different from zero. Moreover, these estimates are robust to model transformation, and different sets of conditioning variables. These empirical results are strikingly different from the alternative estimators, which are quite small, even very close to zero. These findings lend strong support to the practice of model calibrations in macroeconomics and finance, where the EIS in consumption, as a crucial input parameter, is normally required to be large.


主讲人简介:Dr.Xuexin Wang is an Assistant Professor from WISE, Xiamen University. His research interests include time series analysis, identification testing, and instrument variable estimation. He has published several papers in leading Econometric journals such as the Journal of Econometrics, Journal of Time Series Analysis, Econometric Reviews. He works as an assistant professor in WISE since graduated from the Universidad Carlos III de Madrid in 2012.