主讲人：钟威

讲座时间：3月15日下午2:30

讲座地点：综合楼1116

讲座题目：Estimation and inference for multi-threshold models with endogeneity

主讲内容：

 This article develops a comprehensive estimation and inference framework for the multi-threshold regression with endogeneity. In the estimation aspect, we develop a threshold-adjusted instrumental variable estimation procedure (ThrIVE) to detect the number of thresholds, the threshold locations and the regression coefficients. A cross-validation (CV) criterion based on an order-preserved sample-splitting scheme is proposed to consistently determine the number of thresholds in a data-driven manner.  In the theory aspect, we demonstrate the selection consistency of the order-preserved CV criterion for detecting the number of thresholds. The asymptotic properties of estimators for both threshold locations and regression coefficients using instrumental variables are also derived. In the inference aspect, we consider a sup-score-type test statistic for the existence of threshold effects and a Hausman-type test to examine the presence of endogeneity in the multi-threshold model.  In addition, the scenario in which both the threshold variable and regressors are endogenous is also considered. Last, we also develop an R package MultiThrIVE to implement all methods. Monte Carlo simulations and an empirical application of the 401(k) retirement plans dataset demonstrate the excellent finite sample performances of the proposed methods.

主讲人简介：

钟威，现任厦门大学教授、统计学与数据科学系系主任、博士生导师。2012年获得美国宾夕法尼亚州立大学统计学博士学位，国家自科优青项目获得者（2019）。主要从事高维数据统计分析、计量经济学、统计学应用等研究。先后担任美国统计协会(ASA)会刊《Journal of the American Statistical Association》（2023-今）、国际统计学会（ISI）会刊《International Statistical Review》（2024-今）等5个国际期刊的编委（AE），在The Annals of Statistics, Journal of the American Statistical Association, Biometrika, Journal of Econometrics, Journal of Machine Learning Research, Journal of Business & Economic Statistics, Biometrics, Annals of Applied Statistics, Statistica Sinica，中国科学数学等国内外统计学权威期刊发表（含接收）30多篇论文。获得2020年获得厦门大学第十五届青年教师技能比赛特等奖, 2022年获得霍英东教育基金会高等院校青年科学奖二等奖，2024年获得第九届高等学校科学研究优秀成果奖（统计学青年成果奖）等。