Invites you to an Econometrics seminar presented by

Dakyung Seong

University of Sydney

Co-author

Won-Ki Seo (University of Sydney)

Functional instrumental variable regression with an application to estimating the impact of immigration on native wages

 Wednesday 27 April

1.00pm – 2.30pm

 Via Zoom: Meeting Link

Abstract: Functional linear regression gets its popularity as a statistical tool to study the relationship between function-valued response and exogenous explanatory variables. However, in practice, it is hard to expect that the explanatory variables of interest are perfectly exogenous, due to, for example, the presence of omitted variables and measurement errors. This in turn limits the applicability of the existing estimators whose essential asymptotic properties, such as consistency, are developed under the exogeneity condition. However, the issue of endogeneity especially in the case where both dependent and explanatory variables are function-valued has not been received due attention. To resolve this issue, this paper proposes new instrumental variable estimators for functional endogenous linear models, and establishes their asymptotic properties. We also develop a novel test for examining if various characteristics of the response variable depend on the explanatory variable in our model. Simulation experiments under a wide range of settings show that the proposed estimators and test perform considerably well.  We apply our methodology to estimate the impact of immigration on native wages.

For further information contact: Econometrics Research Seminar Coordinator Dr Ye Lu (ye.lu1@sydney.edu.au)

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