We are pleased to invite you to the next Baltic Economic Association Online Research Seminars and are delighted to welcome Artūras Juodis (University of Amsterdam). Arturas earned a PhD from the University of Amsterdam and the Tinbergen Institute. He is now an Assistant Professor at the Amsterdam School of Economics where his research focuses on econometric theory of panel data models. His current research on econometrics of misspecified panel data models is financed by the NWO Veni grant. His research was published in the Journal of Econometrics, the Journal of Business and Economic Statistics, and the Econometrics Journal, among others.
More about the speaker: https://sites.google.com/site/ajuodisresearch/home?authuser=0
Speaker: Artūras Juodis (University of Amsterdam)
Title: This Shock is Different: Estimation and Inference in Misspecified Two-Way Fixed Effects Regressions
Paper available here.
We investigate the properties of the linear Two-way Fixed Effects (FE) estimator for panel data when the underlying Data Generating Process (DGP) of all observed variables is left completely unspecified. The FE estimator is consistent for some pseudo-true value and characterize the corresponding asymptotic distribution. We show that the rate of convergence is determined by the degree of model misspecification, and that the asymptotic distribution can be non-normal. Furthermore, we argue that uniform non-conservative inference is impossible in this setup, and propose a novel Autoregressive Double Adaptive Wild (AdaWild) bootstrap procedure applicable for a large class of DGPs. Our bootstrap procedure is easy to compute, and Monte Carlo simulations show that it performs well. We use data from U.S. manufacturing industries to illustrate the benefits of our procedure.
Date: Thursday, December 16
Time: 16:00 Vilnius, Riga, Tallinn
Meeting ID: 854 2646 3318