2025年第31期(总第1072期)

演讲主题：Estimation and Inference for Unbalanced Panel Data Models with Interactive Fixed Effects

主讲人：王法 北京大学副教授

主持人：蔡俊 会计与财税系副教授

活动时间：2025年5月9日（周五）10:00-11:30

活动地点：管院大楼116室

主讲人简介：

王法，美国雪城大学经济学博士，现任北京大学经济学院金融学系副教授，博士生导师。研究领域为金融计量，因子模型和高维计量经济学，主讲时间序列、固定收益证券等课程。研究成果多次发表于Journal of Econometrics和Econometric Reviews等期刊，还有多篇文章在Journal of Econometrics二审和有条件接收，并多次担任计量经济学国际顶级期刊的审稿人，主持国家自然科学青年基金一项。

活动简介：

This paper establishes the inferential theory for unbalanced panel data models with interactive fixed effects. We propose a two-step estimation algorithm with the first step obtaining an initial consistent estimator followed by an alternating maximization procedure. We prove that the alternating maximization procedure is a contractionary mapping and the final estimator is asymptotically normal, as long as the initial estimator is consistent. We also develop analytical bias corrections according to the derived asymptotic bias expressions and the observed missing pattern. Our results cover important missing patterns such as completely exogenous missing, selection on regressors/factors/loadings and block/staggered missing, and we also show that our results can be readily extended to cases with a Heckman correction term or more general settings. An empirical analysis of the U.S. state-level tax rates from 1951 to 2000 with missing data reveals persistence in tax rates, while state income influences different taxes in varying ways.