가. 일시 : 6월 21일(금) 오후 4시 ~ 6시
나. 장소 : 미래관 906호 세미나실
다. 연사 : Peter Pedroni (Williams College) https://econ.williams.edu/profile/ppedroni
라. 제목 : “Robust estimation of long run functional relationships” (Peter Pedroni, Stephan Smeekes, and Etienne Wijers)
마. 초록 :
We investigate a new technique for estimating long run equilibrium functional relationships. The technique uses polynomial approximations to estimate typical economic functions of unknown form and exploits the structure of unit root panels by decomposing the estimating equations into a set of static linear time series regressions for each unit followed by a set of cross sectional polyno-mial regressions for each historical period of observation. We establish fast rates of convergence that allow for considerable robustness with respect to unobserved temporal and cross sectional dependency including common unit root factors. We also investigate the attractive finite sample properties of the technique by Monte Carlo simulation and offer illustrations of empirical application including one from the growth literature and one pertaining to the environmental Kuznets curve.