Title: High dimensional M-estimation for large panel data models
Authors: Huanjun Zhu - Xiamen University (China) [presenting]
Abstract: M-estimation for large panel data model with high dimensional parameters is studied. We investigate the influence of various of dimensions on the statistical inference for M-estimation, including cross-sectional dimension, time series length and parameter dimension. The rate of convergence and asymptotic distribution of the provided M-estimator are established. Moreover, for easy practice, a good estimator for the asymptotic variance in the asymptotic distribution is constructed and its consistency is discussed in theoretical form. All kinds of simulations illustrate the validity of M-estimation for heavy-tailed data and data with outliers. Empirical application on stock returns is also provided.