主题：A Single Index Varying Coefficient Panel Data Model with Interactive Fixed Effects
主讲人：李睿 上海对外经贸大学
主持人：王国长 暨南大学
时间：2026年9月30日（周三）下午15:30-16:30
地点：暨南大学石牌校区经济学院（中惠楼）503室
摘要
In this paper, we propose a single-index varying-coefficient panel data model that incorporates the unobservable multiple interactive fixed effects, where such fixed effects are permitted to be correlated with the covariates. We fuse B-spline approximation into the least squares estimation paradigm, and implement a robust iterative algorithm to acquire the estimates of the link function and all coefficient functions. Under a set of mild regularity conditions, we establish the consistency and asymptotic normality of the proposed estimators. Furthermore, we construct two generalized likelihood ratio statistics based on the residual-based block bootstrap procedure, to respectively test whether the link function is linear or nonlinear, and whether the coefficient functions are constant or non-constant. To mitigate the influence of block length selection on the performance of hypothesis testing, a Warp-speed approach is introduced to determine the optimal block length. Extensive Monte Carlo simulations are conducted to display the favorable finite-sample performance of our proposed estimation and inference procedures. Finally, we apply the proposed approach in some real data analyses.
主讲人简介
李睿，上海对外经贸大学统计与信息学院副院长、教授，博士生导师。主要从事半参数统计、复杂数据建模和分位数回归等相关研究，先后主持国家社会科学基金一般项目、教育部人文社会科学研究规划基金项目、全国统计科学研究重点项目、教育部重点实验室项目和上海市浦江人才项目等，在统计学国际期刊Statistica Sinica,Scandinavian Journal of Statistics,Journal of Computational and Graphical Statistics,Journal of Multivariate Analysis和计量经济学期刊Journal of Business and Economic Statistics等发表学术论文30多篇。担任中国现场统计研究会大数据统计分会常务理事和统计交叉科学研究分会理事、全国工业统计学教学研究会民族统计与数据科学分会常务理事。曾到香港大学、香港城市大学、浸会大学、新加坡国立大学和美国罗格斯大学等多所高校进行访问交流。
校对 |欧阳萍
责编 | 彭毅
初审 | 姜云卢
终审发布 | 何凌云
（来源：暨南大学经济学院微信公众号）
