中國人民大學(xué)徐吉良在漢青經(jīng)濟與金融高級研究院作了一場題為“半?yún)��?shù)非線性面板數(shù)據(jù)模型與相關(guān)隨機效應(yīng)估計”的講座，漢青經(jīng)濟與金融高級研究院設(shè)經(jīng)濟學(xué)和金融學(xué)兩個實驗班，采取三年制碩士學(xué)制，旨在培養(yǎng)學(xué)術(shù)型與實用型并重的一流經(jīng)濟與金融人才。講座的主要內(nèi)容是：

　　本文研究的識別和估計半?yún)��?shù)非線性面板數(shù)據(jù)模型與相關(guān)的未觀察到的效果。這是Mundlak型規(guī)格下圖所示，未觀察到的異質(zhì)性的條件分布可以恢復(fù)通過傅立葉反演公式的手段。與條件分布相結(jié)合所提出的面板數(shù)據(jù)模型，我們可以構(gòu)造觀測的PDF文件的參數(shù)族，然后將參數(shù)向量是可識別的信息矩陣的負定性。根據(jù)識別的條件，我們提出了一個半?yún)��?shù)兩步最大似然估計是根ñ一致和漸近正常。估計器的有限樣本屬性通過Monte Carlo模擬研究。

　　徐吉良，中國人民大學(xué)漢青經(jīng)濟與金融高級研究院副教授、經(jīng)濟系副主任，美國約翰霍普金斯大學(xué)經(jīng)濟學(xué)博士。曾在嘉義中正大學(xué)任教。研究領(lǐng)域為微觀計量經(jīng)濟學(xué)，應(yīng)用計量經(jīng)濟學(xué)，應(yīng)用微觀經(jīng)濟學(xué)，勞動經(jīng)濟學(xué)。在Journal of Econometrics, Economics Letters, Journal of Applied Statistics, Economic Modelling, Applied Economics,等英文期刊發(fā)表高水平論文。

　　This paper investigates identification and estimation of semiparametric nonlinear panel data models with correlated unobserved effects. It is shown under the Mundlak-type specification, conditional distribution of the unobserved heterogeneity can be recovery by means of Fourier inversion formula. Combining the proposed panel data models with the conditional distribution, we can construct a parametric family of PDFs of observables and then the parameter vector is identifiable by the negative definiteness of the information matrix. Based on the identification condition, we propose a semiparametric two-step maximum likelihood estimator which is root n consistent and asymptotically normal. The finite-sample properties of the estimator are investigated through Monte Carlo simulations.