Dynamic Panel Data Analysis – Prof Cheng HSIAO

 

I would like to express my appreciation to Prof Cheng HSIAO (Department of Economics, University of Southern California) for providing a seminar on “Panel Parametric, Semi-parametric and Nonparametric Construction of Counterfactuals” and a workshop on “Important Considerations in Working Panel Dynamic Models” in Hong Kong Shue Yan University on 16 April, 2019. It is extremely informative, and the active participation illustrated the importance of these topics to our colleagues and students. Thanks Prof HSIAO for his valuable and essential contribution to the project IIDS — "Recent Developments in Theoretical and Applied Econometrics Analysis". 

Speaker: Professor HSIAO Cheng (University of Southern California)

 

Date: 16 April 2019 (TUE)

 

Time: 19:00-21:00

 

Venue: Room 205, Main Academic Building, Hong Kong Shue Yan University

“All interesting economic behavior is inherently dynamic, dynamic panel models are the only relevant models; what might superficially appear to be a static model only conceals underlying dynamics, since any state variables presumed to influence present behavior is likely to depend in some way on past behavior.” M. Nerlove (2002, p.46)

Three major issues arise in the analysis of linear dynamic panel data models:

  1. initial value distribution;
  2. controlling the impact of incidental parameters to obtain valid inference on structural parameters; and
  3. relative sample size between cross-sectional dimension N and time series dimension T.

For nonlinear  dynamic models, these issues become even more difficult to handle.  The derivation of initial value distribution is much more difficult to handle (e.g.  binary outcomes model). Nor is there any linear transformation to remove the incidental parameters. The identification for the method of moments estimator becomes much harder to derive (e.g. Honore (1993)).

Resources:

Hsiao, C. (2014). Analysis of Panel Data (Econometric Society Monographs). Cambridge: Cambridge University Press. doi:10.1017/CBO9781139839327

Library of Congress Cataloging in Publication Data https://assets.cambridge.org/052181/8559/sample/0521818559WS.pdf

Test (2007) 16: 1–22. DOI 10.1007/s11749-007-0046-x. INVITED PAPER. Panel data analysis—advantages and challenges. Cheng Hsiao:  https://pdfs.semanticscholar.org/843a/a44018e782840c07dc5f60d62a4ace740746.pdf

More details on IIDS Recent Developments in Theoretical and Applied Econometrics Analysis