Montag, 28. Oktober 2019, 16:45 - 17:45 iCal

ISOR Colloquium

"Square-root nuclear norm penalized estimator for panel data models with approximately low-rank unobserved heterogeneity"

Speaker: Eric Gautier (Toulouse School of Economics)

HS 7 OMP1 (#1.303, 1st floor)
Oskar-Morgenstern-Platz 1, 1090 Wien

Vortrag

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This paper considers a nuclear norm penalized estimator for panel data models with interactive effects. The low-rank interactive effects can be an approximate model and the rank of the best approximation unknown and grow with sample size. The estimator is solution of a well-structured convex optimization problem and can be solved in polynomial-time. We derive rates of convergence, study the low-rank properties of the estimator, estimation of the rank and of annihilator matrices when the number of time periods grows with the sample size. Two-stage estimators can be asymptotically normal. None of the procedures require knowledge of the variance of the errors.

Zur Webseite der Veranstaltung

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Veranstalter

Institut für Statistik und Operations Research

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Kontakt

Mag. Vera Lehmwald
Fakultät für Wirtschaftswissenschaften
Institut für Statistik und Operations Research
+43 1 4277 38651
vera.lehmwald@univie.ac.at

Erstellt am Freitag, 27. September 2019, 11:04
Letzte Änderung am Montag, 30. September 2019, 11:33