SMU SOE Online Job Talk Practice (Nov 10, 2021, 4.00pm-5.30pm): Threshold Spatial Panel Data Models with Fixed Effects

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TOPIC:

THRESHOLD SPATIAL PANEL DATA MODELS WITH FIXED EFFECTS

ABSTRACT We introduce general estimation and inference methods for threshold spatial panel data models with two-way fixed effects (2FE) in a diminishing-threshold-effects framework. A valid objective function is first obtained by a simple adjustment on the concentrated quasi loglikelihood with 2FE being concentrated out, which leads to consistent estimation of all common parameters including the threshold parameter. We then show that the estimation of threshold parameter has an asymptotically negligible effect on the asymptotic distribution of the other estimators, and thereby lead to valid inference methods for other common parameters after a bias correction. A likelihood ratio test is proposed for statistical inference on the threshold parameter. We also propose a sup-Wald test for the presence of threshold effects, based on an M-estimation method with the estimating functions being obtained by simply adjusting the concentrated quasi-score functions. Monte Carlo results show that the proposed methods perform well in finite samples. An empirical application is presented on age-of-leader effects on political competitions across Chinese cities. Click here to view the speaker's CV.		This job talk practice will be held virtually via Zoom. Click here to join Zoom meeting Meeting ID: 997 3963 6924 Passcode: 101121
		PRESENTER Xiaoyu Meng Singapore Management University
		RESEARCH FIELD Spatial Econometrics Panel Data Models Econometric Theory Applied Econometrics
		DATE: 10 November 2021 (Wednesday)
		TIME: 4.00pm - 5.30pm

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