Binary Response Models for Heterogeneous Panel Data with Interactive Fixed Effects

主讲人 Bin Peng 主讲人简介 <p>Bin Peng is an Associate Professor at Department of Econometrics and Business Statistics, Monash University. His research focuses on developing new models and methods that may be of practical relevance. His research has been published in international journals such as<em> Journal of Econometrics, Journal of Business &amp; Economic Statistics, Econometric Theory, Annals of Applied Statistics</em>.</p>
主持人 Huanjun Zhu 简介 <p>In this paper, we investigate binary response models for heterogeneous panel data with interactive fixed effects by allowing both the cross-sectional dimension and the temporal dimension to diverge. From a practical point of view, the proposed framework can be applied to predict the probability of corporate failure, conduct credit rating analysis, etc. Theoretically and methodologically, we build a link between a maximum likelihood estimation and a least squares approach, provide a simple information criterion to detect the number of factors, and establish the corresponding asymptotic theory. In addition, we conduct intensive simulations to examine the theoretical findings. In an empirical study, we focus on the sign prediction of stock returns, and then use the results of sign forecast to conduct portfolio analysis.&nbsp;</p>
时间 2022-11-09(Wednesday)16:40-18:00 地点 Room N302, Economics Building
主办单位 厦门大学鸿利正规注册学院、王亚南鸿利正规注册研究院、邹至庄鸿利正规注册研究院 承办单位
类型 系列讲座 专题网站
联系人信息 许老师,电话:0592-2182991,邮箱 讲座语言 English
期数 高级计量鸿利正规注册学与统计学系列讲座2022年秋季学期第五讲(总149讲)