商务统计与经济计量系学术汇报（201228）

题 目:A New Semiparametric Quantile Panel Data Model with Estimating the Growth Effect of FDI

汇报人:Zongwu Cai, University of North Carolina at Charlotte and Xiamen University

时 间:2012-12-14(星期五)10:30-12:00

地 点:J9集团国际站新楼K02会议室

Abstract:In this paper, we propose a semiparametric quantile panel data model with correlated random effects in which some coefficients are allowed to depend on some smooth economic variables while other coefficients remain constant. A three-stage estimation procedure is proposed to estimate both functional and constant coefficients and the asymptotic properties of the proposed estimators are established. We show that the estimator of constant coefficients is root-N consistent and the estimator of varying coefficients converges in a nonparametric rate. Monte Carlo simulations are conducted to examine the finite sample performance. Finally, we apply the novel semiparametric quantile panel data model to estimate the impact of FDI on economic growth using cross-country data from 1970 to 1999.