Topic: Parameter Estimation under High-Dimensional Dynamic Effects with an Application to Multilayer Network Connectedness

Speaker: Professor SHI Wei, Institute for Economic and Social Research, Jinan University

Time: MAY 8, 2025, 15:30

Venue: EMS 440

Abstract:

This paper examines the estimation of regression coefficients in high-dimensional time series with complex dependencies from a time lag of the outcome variable. The outcome variable is structured as a multidimensional array and forms a tensor-valued time series. We infer the interaction matrix from the data without using a pre-determined one. Complex dynamic effects are modeled by assuming that the autoregression coefficients exhibit a low-rank structure. We estimate the low-dimensional parameters using orthogonal moments and sample splitting, and show that the estimates are sqrt(NT)^(-1/2) consistent and asymptotic normal. Simulations indicate that our estimators perform well in finite samples. As a practical application, we demonstrate how the proposed method can quantify connectedness among interconnected multilayer networks by applying the model to study the impact of economic sentiment, proxied by housing price growth rates, on economic activities in China, accounting for their spatio-temporal dependence.

Guest Bio:

Shi Wei is a Professor and Doctoral Supervisor at the Economic and Social Research Institute of Jinan University. He holds a Ph.D. in Economics from The Ohio State University, USA. His primary research focus is on micro-econometrics, with research topics covering theoretical and applied studies in spatial econometric models, network data analysis, and other econometric methods, as well as the social environmental determinants of health and the structure of housing markets and price fluctuations. His research findings have been published in internationally renowned journals such as International Economic Review, Journal of Econometrics, Journal of Urban Economics, Journal of Population Economics, and China Economic Review. One of his papers received the Best Paper Award from the Journal of Population Economics in 2021.