近日，我院助理教授的合作论文“Spatial Dynamic Panel Data Models with Interactive Fixed Effects”（合作者：Lung-fei Lee, University Chaired Professor, Ohio State University）被计量经济学领域顶级期刊Journal of Econometrics接受。

       Abstract

       This paper studies the estimation of a dynamic spatial panel data model with interactive individual and time effects with large n and T. The model has a rich spatial structure including contemporaneous spatial interaction and spatial heterogeneity. Dynamic features include individual time lag and spatial diffusion. The interactive effects capture heterogeneous impacts of time effects on cross sectional units. The interactive effects are treated as parameters, so as to allow correlations between the interactive effects and the regressors. We consider a quasi-maximum likelihood estimation and show estimator consistency and characterize its asymptotic distribution. The Monte Carlo experiment shows that the estimator performs well and the proposed bias correction is effective. We illustrate the empirical relevance of the model by applying it to examine the effects of house price dynamics on reverse mortgage origination rates in the US.

       个人简介

       史炜，暨南大学经济与社会研究院助理教授，博士毕业于美国俄亥俄州立大学。他的研究领域为计量经济学，房地产经济学，应用微观经济学。2015年，史炜的合作论文“An Analysis of Default Risk in the Home Equity Conversion Mortgage (HECM) Program”(with Stephanie Moulton and Donald Haurin)在区域经济学领域顶级期刊Journal of Urban Economics（2015(90), pp. 17-34.）上发表。

史炜