Speaker: Dr Ming Li
Affiliation: National University of Singapore
Location:  Online via Zoom
Zoom link: https://uqz.zoom.us/j/82603079317  


This paper proposes a random coefficient panel data model in which the regressors are correlated with the time-varying random coefficients in each period. We model the random coefficients as unknown functions of a fixed effect of arbitrary dimension and a time-varying random shock that affects the values of regressors. We introduce a new panel data-based identification strategy to control for the correlation between the time-varying random coefficients and regressors. We do not impose ex ante restrictions on the distribution of the random shock jointly with or given the regressors. We propose a three-step series estimator and prove that it is asymptotically normal. Simulation results show that the proposed method accurately estimates the first-order moments of the random coefficients. As an empirical illustration, we estimate unconditional and conditional means of output elasticities with respect to capital and labor for the five largest sectors of China's manufacturing industry and find significant across-firm variation in the output elasticities within each sector.

About the presenters meeting 

If you would like to meet with Dr Li contact: Dr Fu Ouyang

About Econometrics Colloquium Seminar Series

A seminar series designed specifically for econometricians to network and collaborate.

« Discover more School of Economics Seminar Series