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报告题目：Statistical inference for multivariate longitudinal data with irregular auto-correlated error process
主讲人：裴有权
报告摘要：
Multivariate longitudinal data arise frequently in a variety of applications where multiple outcomes are measured repeatedly from the same subject. In this paper, we first propose a two-stage weighted least squares estimation procedure for the regression coefficients when the random error follows an irregular autoregressive (AR) process, and we establish asymptotic normality properties of the resulting estimators. We then apply the SCAD variable selection approach to determine the order of the AR error process. We further propose a test statistic to check whether multiple responses are correlated at the same observation time, and we derive the asymptotic distribution of the proposed test statistic. Several simulated examples and an analysis of real data are presented to illustrate the finite-sample performance of the proposed method.
报告人简介：
裴有权，山东大学经济学院副研究员。2018年博士毕业于上海财经大学统计与管理学院，曾于2016.10-2017.10在美国德克萨斯大学MD安德森癌症研究中心联合培养，2018.07-2018.09在香港浸会大学数学系访问交流，主要从事复杂面板数据、纵向数据的非参数和半参数理论和应用研究，研究成果发表在计量经济学国际权威期刊Journal of Econometrics上。
