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12:30 - 13:30 10 November 2015

Analysis with Heterogeneous Dynamics


IFS Seminar Room | Institute for Fiscal Studies (link Map)
7 Ridgmount Street | London | WC1E 7AE | United Kingdom

Open to: Academic | Student
Ticketing: Open

Speaker information

Ryo Okui, Kyoto University

This paper proposes the analysis of panel data whose dynamic structure is heterogeneous across individuals. Our proposed method is easy to implement without assuming any specific model for the dynamics. We first compute the sample mean, autocovariances, and autocorrelations for each individual and then estimate the parameter of interest based on the empirical distributions of the estimated mean, autocovariances, and autocorrelations. We first illustrate the usefulness of our proposed procedures by applying earning dynamics and productivity dynamics and find that both dynamics exhibit lots of heterogeneity. The asymptotic properties of the proposed estimators are then investigated using double asymp- totics under which both the cross-sectional sample size and the length of the time series tend to infinity. We prove the functional central limit theorem for the proposed distribution estimator.


Institute for Fiscal Studies
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