Seminar Vol. 166
Title: Inference in Partially Identified Panel Data Models with Interactive Fixed Effects
Speaker: Shengjie Hong, Tsinghua University
Time: June 14th, 2019 13:30–15:00
Venue: Conference Room 106B, Zhonghui Building (IESR, JNU College of Economics)
About the speaker:
Shengjie Hong is an Assistant Professor at the School of Economics and Management, Tsinghua University. He received his Ph.D. in Economics from the University of Wisconsin-Madison in 2012. Shengjie Hui's meain research interests are econometric theory and applied econometrics. He has published his work in the Journal of Econometrics, and some local Chinese journals.
Abstract:
This paper develops methods for statistical inferences in a partially identified nonparametric panel data model with endogeneity and interactive fixed effects. We consider the case where the number of cross-sectional units (N) is large and the number of time series periods (T) as well as the number of unobserved common factors (R) are fixed. Under some normalization rules, we can concentrate out the large dimensional parameter vector of factor loadings and specify a set of conditional moment restrictions that are involved with only the finite dimensional factor parameters along with the infinite dimensional nonparametric component. For a conjectured restriction on the parameter, we consider testing the null hypothesis that the restriction is satisfied by at least one element in the identified set and propose a test statistic based on a novel martingale difference divergence (MDD) measure for the distance between a conditional expectation object and zero. We derive the limiting distribution of the resultant test statistic under the null and show that it is divergent at rate-N under the global alternative based on the U-process theory. To obtain the critical values for our test, we propose a version of multiplier bootstrap and establish its asymptotic validity. Simulations demonstrate the finite sample properties of our inference procedure. We apply our method to study Engel curves for major nondurable expenditures in China by using a panel dataset from the China Family Panel Studies (CFPS).
