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DTSTART;TZID=Europe/Helsinki:20231016T180000
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SUMMARY:Denis Chetverikov (UCLA) - "Spectral and post-spectral estimators for grouped panel data models"
DESCRIPTION:Paris Econometrics Seminar CREST – PSE – Sciences Po\nTime: 06:00 pm – 07:15 pm\nDate: 16th of October\nZoom : https://zoom.us/j/99074218510?pwd=bC92TXlQcFJvVVBSSVlUOGVudzhOZz09 \n  \nDenis Chetverikov (UCLA) – Spectral and post-spectral estimators for grouped panel data models \nAbstract : \nIn this paper\, we develop spectral and post-spectral estimators for grouped panel data models. Both estimators are consistent in the asymptotics where the number of observations N and the number of time periods T simultaneously grow large. In addition\, the post-spectral estimator is sqrt(NT)-consistent and asymptotically normal with mean zero under the assumption of well-separated groups even if T is growing much slower than N. The post-spectral estimator has\, therefore\, theoretical properties that are comparable to those of the grouped fixed-effect estimator developed by Bonhomme and Manresa (2015). In contrast to the grouped fixed-effect estimator\, however\, our post-spectral estimator is computationally straightforward. \nCoauthored with Elena Manresa \n  \nOrganizers:\nElia Lapenta – CREST/ENSAE\nPhilipp Ketz – CNRS/PSE\nClément de Chaisemartin – Sciences Po \nSponsors:\nCREST \n
URL:https://crest.science/event/denis-chetverikov-ucla-spectral-and-post-spectral-estimators-for-grouped-panel-data-models/
CATEGORIES:Paris Econometrics Seminar
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