主 題：Spatial panel data models with structural change

主講人：李鲲鵬教授、博士生導師、首都經濟貿易大學國際經濟管理學院院長

主持人：李海奇教授、博士生導師、2003网站太阳集团副院長

時 間：2022年9月29日(星期四) 14:30

地 點：騰訊會議（會議号：229-615-721）

主講人簡介：

李鲲鵬，博士、教授、國家傑出青年和優秀青年科學基金獲得者，兼任Journal of Business & Economic Statistics期刊編委、中國數量經濟學學會常務理事等。主要研究領域為理論計量經濟學，研究方向包括高維因子模型、面闆數據模型、交互效應模型、空間計量模型等。在國内外高水平期刊上發表論文20餘篇，包括Annals of Statistics、Review of Economics and Statistics、Journal of Econometrics、Journal of Business and Economic Statistics、Economics Letters、Econometric Reviews等。

摘 要：Spatial panel data models are widely used in social science, especially in the economics discipline. The existing studies on spatial models usually assume parameters stabilities. Such an assumption may be restrictive given that the presenceof structural changes in the relationship of economic variables has been well documented in the literature. This paper proposes and studies spatial panel data models with structural change. Our benchmark model is a static spatial autoregressive panel data one, and we consider using the quasi maximum likelihood (QML) method to estimate it. The asymptotic theory of the QML estimators including consistency, convergence rate and limiting distribution, is established under large-N and large-T setup. We next extend our theory in two directions: dynamic model and large-N and fixed-T setup. We also study the hypothesis testing for the presence of structural change. The three super-type statistics are proposed. We run simulations to investigate the performance of the QML estimators and find that the QML estimators behave well in our simulations.