第616期岭南学术论坛（经济学系列Seminar）

报告题目：Under-Identification of Structural Models Based on Timing and Information Set Assumptions

报  告 人：苏应俊 (暨南大学经济与社会研究院 副教授)

主  持 人：郝彤彤（中山大学岭南学院 助理教授）

时       间：2022年6月10日（周五）下午14:30

地       点：岭南堂三楼讲学厅

语       言：英文

Abstract:

We revisit identification based on timing and information set assumptions in structural models, which have been used in the context of production functions, demand equations, and hedonic pricing models (e.g. Olley and Pakes (1996), Blundell and Bond (2000)). First, we demonstrate a general under-identification problem using these assumptions in a simple version of the Blundell-Bond dynamic panel model. In particular, the basic moment conditions can yield multiple discrete solutions: one at the persistence parameter in the main equation and another at the persistence parameter governing the regressor. We then consider a broader set of models, showing that the problem can persist more generally, but also disappears in some cases, e.g. when one makes stronger timing assumptions. We then propose possible solutions in the simple setting, in part based on specifying a model for the endogenous right-hand-side variables and enforcing an assumed sign restriction. We conclude by using lessons from our basic identification approach for the simple model to propose more general practical advice for empirical researchers using these techniques.

报告人介绍：

       苏应俊，现任暨南大学经济与社会研究院副教授、China Economic Review 副主编。于2017年获得匹兹堡大学经济学博士学位，研究领域为产业组织和应用计量经济学， 研究成果发表于Review of Economics and Statistics、Journal of Applied Econometrics 等国际权威经济学期刊，主持国家自然科学基金青年项目。

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