报告题目：2SLS variance estimation with strong and/or weak instruments - bias and bias correction

报 告 人：徐永登

时   间：2020年10月22日15:00-17:00

地   点：中国西部科技创新港5-8121会议室

报告人简介：

英国卡迪夫大学助理教授，博士生导师，Julian Hodge Bank宏观经济研究所研究员，卡迪夫大学博士。本科就读于西安交通大学经济与金融学院。主要研究领域金融计量经济学和数量经济学，在Oxford Bulletin of Economics and Statistics, Quantitative Finance, Economics Letter等国际核心期刊发表学术论文10余篇，并有若干文章在Journal of Econometrics, Journal of Economics and Statistics等国际顶级期刊审核中。与英国著名经济学家Professor Patrick Minford等合著关于英国是否应该离开欧盟的书籍 被引用100多次，成为研究英国脱欧经济影响的重要文献。曾被邀请在英国伯明翰大学，伦敦布鲁内尔大学邀请做专题讲座，并参与组织第三届国际EcoStat会议分会，是多个国际核心期刊匿名学术评审员。

讲座摘要：

It is well known that the 2SLS estimator is consistent, but it is biased in finite sample. The nature of this bias and bias reduction has given rise to a good deal of research. However, there has not been a corresponding interest in the properties of estimators for the associated variances. In this paper we build on Kiviet and Phillips (2000) and explore the biases in variance estimators. This is done for the 2SLS and the MLIML estimators. The approximations to the bias are then used to develop less biased estimators whose properties are examined and compared in a number of simulation experiments. The experiments also consider coverage probabilities/test sizes and test powers of the t-tests where it is shown that test statistics based on the corrected variance estimates generally have a higher power than standard procedures.

经金学院

2020年10月20日