Welcome Tp CRETA! Contact Us at : +886.2.3366.1072
Welcome Tp CRETA! Contact Us at : +886.2.3366.1072
國立臺灣大學計量理論與應用研究中心 (CRETA) 及臺灣經濟計量學會 (TES) 將於 2024 年 5 月 31 日舉辦 CRETA Seminar。相關資訊如下:
【 5 月 31 日 CRETA Seminar】
日期:2024 年 5 月 31 日 (週五) 下午 2:00~3:30
地點:國立臺灣大學管理學院二號館 103 教室
講者:
Prof. Yuya Sasaki (Brian and Charlotte Grove Chair & Professor of Economics Department of Economics, Vanderbilt University)
https://sites.google.com/site/yuyasasaki/
演講主題:Standard Errors for Two-Way Clustering with Serially Correlated Time Effects
講題摘要:We propose improved standard errors and an asymptotic distribution theory for two-way clustered panels. Our proposed estimator and theory allow for arbitrary serial dependence in the common time effects, which is excluded by existing two-way methods, including the popular two-way cluster standard errors of Cameron, Gelbach, and Miller (2011) and the cluster bootstrap of Menzel (2021). Our asymptotic distribution theory is the first which allows for this level of interdependence among the observations. Under weak regularity conditions, we demonstrate that the least squares estimator is asymptotically normal, our proposed variance estimator is consistent, and t-ratios are asymptotically standard normal, permitting conventional inference. The main results extend to two-way fixed-effect models; we argue that two-way clustering is still necessary even if two-way fixed effects are included in estimation. We present simulation evidence that confidence intervals constructed with our proposed standard errors obtain superior coverage performance relative to existing methods. We illustrate the relevance of the proposed method in an empirical application to a standard Fama-French three-factor regression.
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報名期限:2024/5/30 (四) 中午 12:00
報名網址:https://docs.google.com/forms/d/1tYyhtXc3iX1JR_DKNStI1zYhSff4i94bs9l0VtDsHhQ/edit
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