2023 Stata夏令营现场班—"宏观计量经济模型" 研讨会

1. 确定性趋势的干预模型分析

2. 转移函数

3. 随机趋势的干预模型分析

4. 控制干预模型分析

阅读材料：

Travis M. Carter, Noah D. Turner, 2021. Examining the immediate effects of COVID-19 on residential and commercial burglaries in Michigan: An interrupted time-series analysis, Journal of Criminal Justice, Volume 76, 2021, 101834.

Peter Anderson, Amy O'Donnell, Eileen Kaner, Eva Jané Llopis, Jakob Manthey, Jürgen Rehm, 2021. Impact of minimum unit pricing on alcohol purchases in Scotland and Wales: controlled interrupted time series analyses, The Lancet Public Health, 6(8): 557-565.

1. 合成控制法的基本理论

2. 模型估计与安慰剂检验

3. 非参合成控制法

阅读材料：

A.Abadie, A. Diamond, J. Hainmueller. 2010. Synthetic control methods for comparative case studies: estimating the effect of California’s Tobacco Control Program. J. Am. Stat. Assoc., 105 (490) (2010), pp. 493-505, 10.1198/jasa.2009.ap08746

Abadie, A., Diamond, A. and Hainmueller, J. (2015), Comparative Politics and the Synthetic Control Method. American Journal of Political Science, 59: 495-510.

Arkhangelsky, Dmitry, Susan Athey, David A. Hirshberg, Guido W. Imbens, and Stefan Wager.2021. "Synthetic Difference-in-Differences." American Economic Review, 111 (12): 4088-4118.

Andreas Billmeier, Tommaso Nannicini; Assessing Economic Liberalization Episodes: A Synthetic Control Approach.The Review of Economics and Statistics 2013; 95 (3): 983–1001. 

Kevin Kuruc, 2022. Are IMF rescue packages effective? A synthetic control analysis of macroeconomic crises, Journal of Monetary Economics, Volume 127, Pages 38-53.

1. 变系数回归模型

2. 变系数模型的状态空间表示与估计

3. 变系数VAR模型（TVP-VAR)

阅读材料：

Baumeister, Christiane, and Gert Peersman.2013. "Time-Varying Effects of Oil Supply Shocks on the US Economy." American Economic Journal: Macroeconomics, 5 (4): 1-28.

Pascal Paul; The Time-Varying Effect of Monetary Policy on Asset Prices.The Review of Economics and Statistics 2020; 102 (4): 690–704. doi:

1. 异质性面板的MG估计与PMG估计

2. 截面相关的检验与测度

3. 异质面板的共相关效应MG（CCE-PMG)估计

4. 动态异质面板的共相关效应MG（DCCE-PMG)估计

阅读材料：

Sean Holly, M. Hashem Pesaran, Takashi Yamagata, 2011. The spatial and temporal diffusion of house prices in the UK, Journal of Urban Economics, Volume 69, Issue 1, Pages 2-23.

M. Hashem Pesaran, Yongcheol Shin & Ron P. Smith. 1999. Pooled Mean Group Estimation of Dynamic Heterogeneous Panels, Journal of the American Statistical Association, 94:446, 621-634.

Sean Holly, M. Hashem Pesaran, Takashi Yamagata, 2010. A spatio-temporal model of house prices in the USA, Journal of Econometrics, Volume 158, Issue 1, 160-173.

1. 空间权重矩阵

2. 空间计量模型（空间自回归，空间杜宾模型等）

3. 空间Probit/Logit模型

4. 面板空间模型

阅读材料：

Raphael A. Auer, Andrei A. Levchenko, Philip Sauré; International Inflation Spillovers through Input Linkages.The Review of Economics and Statistics 2019; 101 (3): 507–521. doi: 

Chih-Hao Wang, Gulsah Akar, Jean-Michel Guldmann, Do your neighbors affect your bicycling choice? A spatial probit model for bicycling to The Ohio State University, Journal of Transport Geography, Volume 42, 2015, Pages 122-130,

1. VAR模型的分析框架

2. 全局向量自回归（GVAR, Global VAR）

3. 面板向量自回归（Panel VAR）

阅读材料：

Silvia Miranda-Agrippino, Hélène Rey, U.S. Monetary Policy and the Global Financial Cycle,The Review of Economic Studies, Volume 87, Issue 6, November 2020, Pages 2754–2776,

Aksoy, Yunus, Henrique S. Basso, Ron P. Smith, and Tobias Grasl.2019. "Demographic Structure and Macroeconomic Trends." American Economic Journal: Macroeconomics, 11 (1): 193-222.

Christiane Baumeister, Dimitris Korobilis, Thomas K. Lee; Energy Markets and Global Economic Conditions.The Review of Economics and Statistics 2022; 104 (4): 828–844. doi: 

王群勇，经济学教授、博士生导师，南开大学数量经济研究所所长，中国数量经济学会常务理事，中国统计学会常务理事。主持国家自然科学基金、国家社科基金、天津市科技支撑计划项目、教育部人文社科项目、中国人民银行、国家统计局等多项国家级和省部级课题。曾获得首届国家统计科技进步三等奖、天津市科技进步二等奖等多项荣誉。在《China Economic Review》、《Stata Journal》、《Journal of Family and Economics Issues》、《数量经济技术经济研究》、《统计研究》、《金融研究》等SSCI和CSSCI期刊发表多篇论文，并担任期刊匿名审稿人。王群勇教授编写的xthreg（固定效应面板门限模型）、cointreg（协整回归）、sax12（X12-ARIMA季节调整）、sax13（X-13ARIMA-SEATS季节调整）、stregress（平滑转换模型）、xtstregress（面板平滑转换模型）、midasreg（混频回归）等Stata程序被大量下载和使用。其学术志线上课程《时间序列分析》、《微观计量经济学》、《计量经济学入门30讲》得到广泛好评。