Prof. Kazuhiko HAYAKAWA attended The 9th International Conference on Computational and Financial Econometrics (CFE 2015)

Date: December 12 – 14, 2015
Venue: the Senate House, University of London, UK

Prof. Kazuhiko HAYAKAWA (Member of the SSRC) attended The 9th International Conference on Computational and Financial Econometrics (CFE 2015), which was held at the Senate House, University of London, UK, from December 12 to 14.

Prof. Kazuhiko HAYAKAWA presented his research results entitled “Instrumental variable estimation of panel data models with weakly exogenous variables” on the congress.

[Presentation title]
Instrumental variable estimation of panel data models with weakly exogenous variables
(By Kazuhiko Hayakawa; Hiroshima University, Joerg Breitung; University of Cologne and Meng Qi; Hiroshima University)

[Abstract]
We propose an instrumental variables estimator for panel data models with weakly exogenous variables.
The model is allowed to include heterogeneous time trends besides the standard fixed effects.
The proposed instrumental variable estimator is constructed by removing the fixed effects (and time trends)
from both the model and instruments by a variant of GLS transformation. We show that the proposed estimator
has the same asymptotic distribution as the bias corrected fixed effects estimator when both N and T,
the dimensions of cross section and time series, are large.Monte Carlo simulation results reveal
that the proposed estimator performs well in finite samples and outperforms the conventional IV/GMM estimators using instruments in levels in many cases.

For details of the congress, please refer to the link.
–> The 9th International Conference on Computational and Financial Econometrics (CFE 2015)