High Dimensional Econometrics and Identification, by Professor Chihwa Kao and co-author Long Liu, will be coming out in May.
From the Publisher:
In many applications of econometrics and economics, a large proportion of the questions of interest are identification. An economist may be interested in uncovering the true signal when the data could be very noisy, such as time-series spurious regression and weak instruments problems, to name a few. In this book, High Dimensional Econometrics and Identification, we illustrate the true signal and, hence, identification can be recovered even with noisy data in high-dimensional data, e.g., large panels. High-dimensional data in econometrics is the rule rather than the exception. One of the tools to analyze large, high-dimensional data is the panel data model.
High Dimensional Econometrics and Identification grew out of research work on the identification and high-dimensional econometrics that we have collaborated on over the years, and it aims to provide an up-to-date presentation of the issues of identification and high-dimensional econometrics, as well as insights into the use of these results in empirical studies. This book is designed for high-level graduate courses in econometrics and statistics, as well as used as a reference for researchers.
- Panel Data Model with Stationary and Nonstationary Regressors and Error Terms
- Panel Time Trend Model with Stationary and Nonstationary Error Terms
- Estimation of Change Points in Stationary and Nonstationary Regressors and Error Term
- Weak Instruments in Panel Data Models
- Incidental Parameters Problem in Panel Data Models
Readership: Graduate and researchers in the field of econometrics and economics.
The Department of Economics will be sponsoring a session at the 33rd New England Statistics Symposium (NESS) on May 15–17, 2019.
High Dimensional Econometrics
The technological innovations in information processing and the increased storage capability have made possible to collect very large data sets in various fields of economics and finance.
This session puts together 3 papers that present state-of-the-art techniques to deal with high dimensional issues in econometrics.
List of invited speakers:
(1) Fa Wang, Cass Business School, Fa.Wang@city.ac.uk, “Maximum Likelihood Estimation and Inference for High Dimensional Nonlinear Factor Models with Application to Factor-augmented Regressions”
(2) Yuan Liao, Rutgers Economics, email@example.com, “Inference for Heterogeneous Effects Using Low Rank Estimation”
(3) Min Seong Kim, UConn Economics, firstname.lastname@example.org, “Policy Analysis Using Panel and Multilevel Models with Group Interactive Fixed Effects”
Discussant: Jungbin Hwang, UConn Economics, email@example.com
Session Chair: Chihwa Kao, UConn Economics, firstname.lastname@example.org
Information about the conference may be found online at https://symposium.nestat.org/
Three of our PhD students, Zhonghui Zhang, Huarui Jing, and Rui Sun, will be presenting their research at the New York Camp Econometrics XIV poster session in April:
“Mahalanobis Metric Based Clustering for Fixed Effects Model,” Chihwa Kao (University of Connecticut), Min-Seong Kim (University of Connecticut), and Zhonghui Zhang (University of Connecticut).
“The Robustness Study of Sieve Estimation on Asset Pricing Model,” Huarui Jing (University of Connecticut).
“Bias-Corrected Estimators in the Dynamic Panel Data Model,” Chihwa Kao (University of Connecticut), Long Liu (University of Texas- San Antonio) and Rui Sun (University of Connecticut).
For more information about the conference, see: New York Camp Econometrics XIV
PhD students Rui Sun and Zhonghui Zhang have had their papers accepted at the 2019 Asian Meeting of the Econometric Society (2019 AMES).
Zhonghui Zhang will be presenting his paper “Mahalanobis Metric Based Clustering for Fixed Effects Model”.
Rui Sun’s paper “Bias-Corrected Estimators in the Dynamic Panel Data Model” has been accepted for poster session.
The conference, June 14-16, 2019 at Xiamen University, is held by the Econometric Society, the international society for the advancement of economic theory in its relation to statistics and mathematics.
Graduate students Shiyi Chen, Edlira Cocoli, Treena Goswami, Xin Liang, and Patralekha Ukil presented papers at the Annual Conference of the Eastern Economics Association in New York, Feb. 28–Mar. 3. Paper titles are listed below. If you see them in the hallways, be sure to ask them about their research.
Shiyi Chen: Affirmative Action and Interracial Marriage
Edlira Cocoli: The Impact of Promise Programs on Student Enrollment: A Nationwide Analysis of Enrollment Impact by Gender, Race and Program Type
Treena Goswami: High Skilled Immigrant Inflows and More Managerial Natives?
Xin Liang: Early Retirement, Pension System and the High Saving Rate in China, University of Connecticut
Patralekha Ukil: Parental Economic Shocks and Infant Health
Have a look at a tweet about Patralekha’s presentation here, and you can see the full EEA program here.
Professors Natalia Smirnova (UConn PhD 2004) and Oskar Harmon organized and participated in the panel “College Fed Challenge: Impact on Students’ Knowledge Acquisition”.
Among the panelists were faculty advisers and team captains from three NY Federal Reserve Region teams, including the captain of the UConn Stamford team, Jonathan Herrick.
For more information about the panel discussion click here.
Professor Stephen Ross’s paper “Partners in Crime,” examining the effect of neighborhoods and school on criminal partnerships, was featured this past week in the AEA Research Highlights
The full paper was published last month in the American Economic Journal: Applied Economics.
Professor Subhash Ray’s paper THE TRANSFORMATION FUNCTION, TECHNICAL EFFICIENCY, AND THE CCR RATIO is forthcoming in a special issue of European Journal of Operational Research commemorating the introduction of Data Envelopment Analysis (DEA) into the Operations Research/Management Science literature forty years back by Charnes, Cooper, and Rhodes (CCR). European Journal of Operational Research is a highly rated peer reviewed journal with an impact factor of 3.426 and a 5-year impact factor 0f 3.96.
DEA is a nonparametric method of evaluating productive efficiency without assuming any explicit production, cost, or profit function. It is particularly useful for benchmarking the performance of non-commercial organizations like schools, hospitals, police departments, etc.
Professor Ray has been an active researcher in this area for decades and is internationally recognized for his book Data Envelopment Analysis written from the viewpoint of neoclassical production economics. Published in 2004 by Cambridge University Press, it continues to be a major reference/textbook for serious researchers. In 2016 he received the W.W. Cooper Lifetime Contribution Award from the International DEA Society (iDEAs).
Professor Nishith Prakash has received the “World Bank Economic Review Excellence in Refereeing Award”, recognizing his service to the journal World Bank Economic Review.
About the Journal
The mission of The World Bank Economic Review is to encourage and support research in the field of development economics. We seek to publish and disseminate innovative theoretical and empirical research that identifies, analyzes, measures, and evaluates the macro and micro-economic forces that promote or impede economic development with a view towards providing the knowledge necessary for designing, implementing, and sustaining effective development policies in low and middle income countries. Our intended audience comprises a worldwide readership of economists and other social scientists in government, business, international agencies, universities, and research institutions.
Professor Ross, with coauthors Billing and Deming, finds strong evidence of very localized neighborhood effects in both the commission of crimes and the creation of criminal partnerships among older teenagers and young adults (within 1/2 KM).
These localized effects appear to facilitated by relationships created within schools, and do not exist between youth who live very close to each other, but were resided on opposite sides of the same school attendance zone.
American Economic Journal: Applied Economics
Vol. 11, No. 1, January 2019