报告时间：2021年6月22日 下午14:00-15:00
报告地点：腾讯会议（会议ID：978 988 317）
报告嘉宾：冷旋
报告主题：Multi-dimensional Latent Group Structures with Heterogeneous Distributions
报告摘要
This paper aims to identify the multi-dimensional latent grouped heterogeneity of distributional effects. We consider a panel quantile regression model with additive cross-section and time fixed effects. The cross-section effects and quantile slope coefficients are both characterized by grouped patterns of heterogeneity, but each unit can belong to different groups for cross-section effects and slopes. We propose a composite-quantile approach to jointly estimate multi-dimensional group memberships, slope coefficients, and fixed effects. We show that using multiple quantiles improves clustering accuracy if memberships are quantile-invariant. We apply the methods to examine the relationship between managerial incentives and risk-taking behavior.
个人简介
冷旋，2019年入职厦门大学经济学院统计与数据科学系，王亚南经济研究院助理教授。中国科学技术大学统计学博士（美国佐治亚理工学院联合培养），曾在荷兰Erasmus大学从事博后工作。研究兴趣包括面板计量与极值统计，研究成果发表于Journal of Financial Econometrics, Extremes, Insurance: Mathematics and Economics等国际期刊。现主持国家自然科学基金青年项目。
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