講座主題：Threshold spatial autoregressive model

主講嘉賓：李鲲鵬（首都經濟貿易大學國際經管學院 教授）

講座時間：2019年5月14日（周二），14:00-15:30

講座地點：沙河校區主教501

嘉賓簡介：李鲲鵬，中共黨員，國家自然科學基金優秀青年項目獲得者，首都經濟貿易大學國際經管學院教授、博士生導師、副院長。研究方向為計量經濟學，研究領域包括高維因子模型、交互效應面闆模型、空間計量模型、斷點門限模型等。在國内外知名期刊發表論文20餘篇，包括Annals of Statistics、Journal of Business & Economic Statistics、Journal of Econometrics、Review of Economicsand Statistics等。現為中國數量經濟學會常務理事、Journal of Business& Economic Statistics期刊編委。

内容摘要：This paper consider theestimation and inferential issues of threshold spatial autoregressive model,which is a hybrid of threshold model and spatial econometric model. We considerusing the quasi maximum likelihood (QML) method to estimate the model. Theasymptotic theory of the QML estimator is established under the setup that thethreshold effect shrinks to zero along with an increasing sample size. Ouranalysis indicates that the limiting distribution of the QML estimator for thethreshold value is pivotal up to a scale parameter which involves the skewnessand kurtosis of the errors due to the misspecification on the distribution oferrors. The QML estimators for the other parameters achieve the oracleproperty, that is, they have the same limiting distributions as the infeasibleQML estimators, which are obtained supposing that the threshold value isobserved a priori. We also consider the hypothesis testing on the presence ofthreshold effect, and the hypothesis testing on the threshold value equal tosome prespecified one. We run Monte carlo simulations to investigate the finitesample performance of the QML estimators and find that the QML estimators havegood performance.