School of Economics

  Invites you to a

Econometrics seminar presented by

Ayden Higgins

(University of Oxford)

Instrumental Variables for Dynamic Spatial Models with Interactive Fixed Effects

Wednesday 16 August 2023

2.00pm – 3.30pm

 Level 6 Seminar Room (650)

A02 Social Sciences Building
Camperdown Campus

The University of Sydney NSW 2006

 Via Zoom: 859 7717 4671

 This paper studies estimation and inference in the context of a dynamic spatial model with interactive fixed effects. A simple instrumental variables interactive fixed effects (IV-IFE) estimator is proposed which can be used to produce consistent and asymptotically unbiased estimates with $T$ fixed and $n \rightarrow \infty$. However, in practice, this estimator can suffer from significant finite sample bias. Further investigation reveals that the source of this problem lies with a particular term in the asymptotic expansion which may diminish only very slowly as sample size increases. To remedy this, a bias corrected estimator is constructed, which, through extensive simulation, is demonstrated to exhibit significantly improved finite sample performance.

For further information contact: Econometrics seminar series coordinator Dr Ye Lu (ye.lu1@sydney.edu.au)

For all upcoming seminars in School of Economics see Our events and Calendar