日期：2017年9月15日周五

时间：14:00

地点：SD302

主讲人：Prof. Tae-hwy Lee

题目：Double Boosting GMM for High Dimensional IV Regression Models

讲座概要：Endogeneity in a regression model for the automobile demand equation leads to inconsistent estimation of the price elasticity parameter. The standard solutions are the two stage least squares (2SLS) and generalized method of moments (GMM). These methods face challenges when instruments are high dimensional and when some are irrelevant and/or invalid. It is critical to select relevant and valid instruments for the consistent estimation. In this paper, we introduce a new method that will select relevant and valid instruments simultaneously using boosting algorithm, which we call Double Boosting (DB).

Lee教授是University of California, Riverside的教授，也是诺奖获得者Sir Clive W.J. Granger（提出了格兰杰因果关系检验）的学生，研究成果丰富，研究领域包括计量经济学方面的回归分析，因果关系，因子分析和机器学习等方面。