CAST Seminar: Yuehua Wu

Join us at the CANSSI Ontario STatistics Seminars (CAST) with

Yuehua Wu

Professor
Department of Mathematics and Statistics
York University

Free Event | Registration Required

Talk Title

Estimation and Model Selection in General Spatial Dynamic Panel Data Models

Abstract

Common methods for estimating parameters of spatial dynamic panel data models include two-stage least squares, quasi-maximum likelihood, and generalized moments. In this talk, we present a method that uses the eigenvalues and eigenvectors of a spatial weight matrix to directly construct consistent least squares estimators of parameters of general spatial dynamic panel data models for both undirected and directed networks. Our method is conceptually simple and effective, and easy to implement. Results show that our parameter estimators are consistent and asymptotically normally distributed under mild conditions. We demonstrate the superior performance of our method through extensive simulation studies. We also provide two real data examples.

Speaker Profile

Yuehua Wu is a professor of Statistics in the Department of Mathematics and Statistics at York University in Canada. She studied under the world-renowned statistician C. R. Rao and received her Ph.D. in Statistics from the University of Pittsburgh in 1989. Currently, she is engaged in research in multiple fields such as high-dimensional statistics, model selection, multiple change point analysis, machine learning, spatio-temporal modelling, financial econometrics, robust statistics, asymptotic theory, and stochastic epidemic modelling. She is an elected member of the International Statistical Institute. She authored the “General linear models” chapter for both editions of the International Encyclopedia of Statistical Science.

She has published over 145 research papers in journals including Proceeding of National Academy Science, USA, Biometrika, Journal of Economics, and Journal of Geophysical Research: Atmospheres. Since 1991, her research projects have been funded by the National Natural Science Foundation of Canada. She also had research projects funded by Environment Canada in the past.

Yuehua is currently Guest Editor, Special Issue “Statistical Methods for Modelling High-Dimensional and Complex Data: Second Edition” of Entropy, Guest Editor, Special Issue “Advanced Statistical Applications in Financial Econometrics: Second Edition” of Mathematics, and Associate Editor of Statistical Theory and Related Fields, and is also Associate Editor of the Editorial Committee of the book series “Mathematical Miracles: Texts and Monographs in the Spirit of CR Rao” , Springer Nature.