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      Empirical Likelihood Based Inference for Categorical Varying Coefficient Panel Data Model with Fixed Effects in Geneva


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      November 15, 2019

      Friday  11:15 AM

      Rue du Général- Dufour 24
      Geneva, Genève 1211

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      Empirical Likelihood Based Inference for Categorical Varying Coefficient Panel Data Model with Fixed Effects

      15.11.2019 11:15 – 12:15

      RESEARCH CENTER FOR STATISTICS SEMINAR / ABSTRACT

      In this paper local empirical likelihood-based inference for nonparametric categorical varying coefficient panel data models with fixed effects under cross-sectional dependence is investigated. First, we show that the naive empirical likelihood ratio is asymptotically standard chi-squared using a nonparametric version of the Wilk's theorem. The ratio is self-scale invariant and the plug-in estimate of the limiting variance is not needed. As a by product, we propose also a empirical maximum likelihood estimator of the categorical varying coefficient model and we obtain the asymptotic distribution of this estimator. We also illustrated the proposed technique in an application that reports estimates of strike activities from 17 OECD countries for the period 1951 - 1985.
      Lieu

      Bâtiment: Uni Mail

      Bd du Pont-d'Arve 40
      1205 Geneva

      Room: M 5220, 5th floor

      Categories: University & Alumni

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