Speaker:Yingjun Su(AssociateProfessor, Institute for Economic and Social Research, Jinan University, Guangzhou, China)
Description：The authors revisit identification based on timing and information set assumptions in structural models, which have been used in the context of production functions, demand equations, and hedonic pricing models (e.g. Olley and Pakes (1996), Blundell and Bond (2000)). First, the article demonstrates a general under-identification problem using these assumptions, illustrating this with a simple version of the Blundell-Bond dynamic panel model. In particular, the basic moment conditions can yield multiple discrete solutions: one at the persistence parameter in the main equation and another at the persistence parameter governing the regressor. Second, the authors propose possible solutions based on sign restrictions and an augmented moment approach. It shows the identification of the approach and proposes a consistent estimation procedure. The Monte Carlo simulations illustrate the under-identification issue and finite sample performance of the proposed estimator. Lastly, the authors show that the problem persists in many alternative models of the regressor but disappears in some models under stronger assumptions.
Time：Nov 4, 2020（Wednesday），14:00-17:00
Venue:Tencent meeting RoomID：758 906 300
