985數量經濟與金融系列講座第205期：Partially Varying Coefficients Quantile Panel Data Models with Estimating the Growth Effect of FDI

題目🫒：Partially Varying Coefficients Quantile Panel Data Models with Estimating the Growth Effect of FDI

主講人：Ying Fang, Associate professor, Xiamen University

Zongwu Cai, Linna Chen and Ying Fang

Abstract

In this paper, we propose a semi parametric quantile panel data model with correlated random effects in which some coefficients are allowed to depend on some smooth economic variables while other coefficients remain constant. A three-stage estimation procedure is proposed to estimate both functional and constant coefficients and the asymptotic properties of the proposed estimators are established. We show that the estimator of constant coefficients is root-N consistent and the estimator of varying coefficients converges in a nonparametric rate. Monte Carlo simulations are conducted to examine the finite sample performance. Finally, we apply the novel semi parametric quantile panel data model to estimate the impact of FDI on economic growth using cross-country data from 1970 to 1999.