Peng Shao

Peng Shao
Job Market Paper

Semiparametric Panel Model with Group Heterogeneity

This paper studies a semiparametric partially linear panel model with time-varying group-level effects. As a critical feature, the group memberships are unobserved but time-invariant. The linear coefficients estimator is shown asymptotically normal for inference. For production function estimation, the paper also considers a two-step problem; the objective (second-step) parameter is identified by moments, conditional on the partially linear model’s potentially infinite-dimensional parameters. The paper proposes a second-step estimator and shows that it is consistent. The two analyses generically connect to the control function problem under the presence of time-varying heterogeneity for panel models. With the two-step solution, the paper extends the proxy variable method, designed for the simultaneity problem with estimating the firm’s production function, by allowing cross-correlation in firms’ productivity. As an empirical application, I consider four Chilean manufacturing sectors from 1987 to 1996. After accounting for cross-correlated productivity, I find larger productivity effects on output growth and more heterogeneous productivity among firms.

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Other Research
Teaching Experience

Graduate:

Econometrics I, Teaching Assistant for Prof. Frank Schorfheide and Xu Cheng (Fall 2015-2016)

Undergraduate:

Econometrics, University of Pennsylvania, Teaching Assistant for Professor Frank Diebold (Fall 2018, 2017, Spring 2018, 2019)

Econometrics, University of Pennsylvania, Teaching Assistant for Professor Xu Cheng (Spring 2017)

Introduction to Macroeconomics, University of Pennsylvania, Teaching Assistant for Dr. Luca Bossi (Spring 2016)

Interests

Econometrics, Industrial Organization

Phone

+1-(267) 418-8373

Email

pshao@sas.upenn.edu

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Advisors

Frank Schorfheide

Xu Cheng

References

Professor Frank Schorfheide (Advisor)

Department of Economics

University of Pennsylvania

Phone: +1 (215) 898-8486

Email: schorf@econ.upenn.edu

 

Professor Xu Cheng (Advisor)

Department of Economics

University of Pennsylvania

Phone: +1 (215) 898-6775

Email: xucheng@econ.upenn.edu

 

Professor Amit Gandhi

Department of Economics and The Wharton School

University of Pennsylvania

Phone: +1 (215) 898-7409

Email: akgandhi@sas.upenn.edu

Job Market Candidate Status
I am on the job market and I will be available for interviews at the 2020 ASSA Annual Meeting in San Diego.