SME-SFI 学术讲座预告 20260707 - 20260710

来源：市场资讯

（来源：深圳高等金融研究院）

不可分面板数据下结构与因果效应的线性估计

Linear Estimation of Structural and Causal Effects for Non-separable Panel Data

讲座信息

Seminar Information

主讲人

Speaker

Whitney K. Newey 教授

麻省理工学院

Professor Whitney K. Newey

Massachusetts Institute of Technology

日期和时间

Date and Time

2026年7月8日（周三）

15:30-17:00

July 8, 2026 (Wednesday)

3:30 pm-5:00 pm

地点

Venue

综合教学楼D904会议室

Room 904, Teaching Complex D Building

讲座概述

Abstract

This paper develops linear estimators for structural and causal parameters in nonparametric, non-separable models using panel data. These models incorporate unobserved, time-varying, individual heterogeneity, which may be correlated with the regressors. Estimation is based on an approximation of non-separable functions by linear sieve specifications with individual-specific parameters. Effects of interest are estimated by a bias corrected average of individual ridge regressions.

We demonstrate how this approach can be applied to estimate causal effects, counterfactual consumer welfare, and averages of individual taxable income elasticities. We show that the proposed estimator has an empirical Bayes interpretation and possesses a number of other useful properties. We formulate large-T asymptotics that can accommodate discrete regressors and which bypass partial identification in this case. We employ the methods to estimate average equivalent variation and deadweight loss for potential price increases using data on grocery purchases.

主讲人简介

About the Speaker

Whitney K. Newey 教授

麻省理工学院

Whitney K. Newey现任麻省理工学院经济学福特讲席教授，是2026年经济学欧文·普莱因·内默斯奖（Erwin Plein Nemmers Prize in Economics）获得者。他同时担任美国经济协会杰出会士、美国艺术与科学院院士，以及计量经济学会会士。Newey教授在诸多计量经济学领域做出重要贡献，包括方差估计量、非参数联立方程、动态与非线性面板估计、依赖于未知函数的半参数估计、一般异质性条件下的消费者剩余估计，以及去偏机器学习等。相关成果已发表于《Econometrica》、《Journal of Political Economy》、《The Review of Economic Studies》、《Journal of the American Statistical Association》、《Journal of Econometrics》等国际顶尖学术期刊。他目前的研究方向包括：去偏机器学习、不可分面板模型的线性估计，以及面板数据中的经济需求估计。

*Please scroll down for the English version

Whitney K. Newey is the Ford Professor of Economics at the Massachusetts Institute of Technology. He is the recipient of the 2026 Erwin Plein Nemmers Prize in Economics. He is also a Distinguished Fellow of the American Economic Association, Member of the American Academy of Arts and Sciences, and a Fellow of the Econometric Society. Professor Newey has contributed to the development of variance estimators, nonparametric simultaneous equations, dynamic and nonlinear panel estimation, semiparametric estimation depending on unknown function, consumer surplus estimation with general heterogeneity, and debiased machine learning. He has published extensively on these and other topics in top academic journals such as Econometrica, Journal of Political Economy, The Review of Economic Studies, Journal of the American Statistical Association, and the Journal of Econometrics. His current research interests include debiased machine learning, linear estimation of non-separable panel models, and economic demand estimation in panel data.