Kao

Professor Kao Publishes High Dimensional Econometrics and Identification

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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.

Contents:

  • Preface
  • 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
  • Bibliography
  • Index

Readership: Graduate and researchers in the field of econometrics and economics. 

https://www.worldscientific.com/worldscibooks/10.1142/11273

High Dimensional Econometrics at the NE Statistics Symposium (NESS)

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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, yuan.liao@rutgers.edu, “Inference for Heterogeneous Effects Using Low Rank Estimation”

(3) Min Seong Kim, UConn Economics, min_seong.kim@uconn.edu, “Policy Analysis Using Panel and Multilevel Models with Group Interactive Fixed Effects”

Discussant: Jungbin Hwang, UConn Economics, jungbin.hwang@uconn.edu

Session Chair: Chihwa Kao, UConn Economics, chih-hwa.kao@uconn.edu

Information about the conference may be found online at https://symposium.nestat.org/

PhD Students to Present at New York Camp Econometrics XIV

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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

New Faculty Join Economics Department

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The Economics Department is happy to welcome four faculty who joined UConn at the beginning of the Fall Semester.  Chihwa (Duke) Kao, formerly at Syracuse University, joined the economics department as its new Department Head.  Kao is a renowned econometrician working on time series and panel data topics.

Jungbin Hwang also joined the faculty as an Assistant Professor this Fall after completing his Ph.D. at the University of California San Diego.  Hwang is also an econometrician working on panel data and time series topics.

Hyun Lee also joins the faculty as an Assistant Professor after completing his Ph.D. at the University of Chicago.  Hyun is a macroeconomist who works on topics related to economic growth and policy analysis.

Patricia Ritter joins the faculty as an Assistant Professor following completion of her Ph.D. at the University of Chicago.  Dr. Ritter works on topics at the intersection of development and health.

Welcome!