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Professor Yan Sun Publish Paper Online in Journal of Econometrics

Date:2022-08-08

Professor Yan Sun has her paper published online in Journal of Econometrics, a first-tier journal as listed by SUFE. The paper entitled “A Multi-Kink Quantile Regression Model with Common Structure for Panel Data Analysis” was co-authored with Prof. Wei Zhong from Xiamen University, Prof. Wenyang Zhang from University of York and PhD candidate Chuang Wan from Xiamen University.

Professor Yan Sun, Vice Dean of SOE, received a PhD degree from Tongji University. Her areas of specialization include panel data and non-parametric methods.

 

Abstract

Stimulated by the analysis of a data set on financial portfolio returns, we propose a multi-kink quantile regression (MKQR) model with latent homogeneous structure for panel data analysis. The proposed model accounts for both homogeneity and heterogeneity among individuals and parameters in panel data analysis. From statistical modelling point of view, it well balances the risk of misspecification and the model parsimony. From practical point of view, it is able to reveal not only the impacts of covariates in the global sense, but also individual attributes. An estimation procedure is presented to estimate both the unknown parameters and the latent homogeneous structure in the proposed model. Computational issues with the implementation of the estimation procedure are also discussed. Asymptotic theory of the estimators is established. It shows the necessity of taking into account both homogeneity and heterogeneity in panel data analysis. Monte Carlo simulation studies are conducted to demonstrate the finite sample performance of the proposed estimation and the risk of ignoring the homogeneity or heterogeneity among individuals. Finally, we apply the proposed model and the estimation procedure to the data set which stimulates this work and reveal some interesting findings.

 


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