Essays in Honor of Cheng Hsiao
Intro -- Title Page -- Copyright Page -- Contents -- Introduction -- References -- Chapter 1: Correction for the Asymptotical Bias of the Arellano-Bond type GMM Estimation of Dynamic Panel Models -- 1. Introduction -- 2. Model and the Arellano-Bond GMM Estimation -- 2.1. The Arellano-Bond GMM Estimation and its Asymptotical Bias -- 2.2. JIVE Estimation -- 3. Model with Exogenous Variables -- 4. Monte Carlo Simulation -- 5. Conclusion -- Notes -- References -- Appendix -- Chapter 2: Testing Convergence Using HAR Inference -- 1. Introduction -- 2. Preliminaries on Robust Inference Concerning Trend -- 3. Testing Convergence -- 4. Robust Testing -- 4.1. Null and Alternative Hypotheses -- 4.2. Test Statistics and Alternative Nonparametric Studentization -- 4.3. Limit Theory under the Null -- 4.4. Limit Theory under the Alternative of Convergence -- 5. Monte Carlo Simulations and an Empirical Example -- 5.1. Monte Carlo Simulations -- 5.2. Empirical Example: State Unemployment Rates -- 6. Concluding Remarks -- References -- Appendix -- Assumptions -- Proof of Theorem 2 -- Chapter 3: Model Selection for Explosive Models -- 1. Introduction -- 2. Models, Information Criteria, and a Literature Review -- 3. Limit Properties Based on the OLS Estimator -- 4. Limit Properties Based on the Indirect Inference Estimator -- 5. Monte Carlo Study -- 6. Conclusion -- References -- Appendix -- A. Proof of Theorem 3.1 -- B. Proof of Theorem 3.4 -- C. Proof of Theorem 3.6 -- D. Proof of Theorem 3.8 -- E. Proof of Proposition 3.10 -- F. Proof of Theorem 4.1 -- G. Proof of Theorem 4.4 -- H. Proof of Theorem 4.6 -- I. Proof of Theorem 4.8 -- Chapter 4: A VAR Approach to Forecasting Multivariate Long Memory Processes Subject to Structural Breaks -- 1. Introduction -- 2. Model and Theoretical Insights -- 2.1. Basic Model -- 2.2. The Criteria for Selecting k.
Year of publication: |
2020
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Authors: | Terrell, Dek |
Other Persons: | Li, Tong (contributor) ; Pesaran, M. Hashem (contributor) |
Publisher: |
Bingley : Emerald Publishing Limited |
Description of contents: |
Including contributions spanning a variety of theoretical and applied topics in econometrics, this volume of Advances in Econometricsis published in honour of Cheng Hsiao.
|
Saved in:
Online Resource
Extent: | 1 online resource (468 pages) |
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Series: | |
Type of publication: | Book / Working Paper |
Language: | English |
Notes: | Description based on publisher supplied metadata and other sources. |
ISBN: | 978-1-78973-957-2 ; 978-1-78973-958-9 |
Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10012692043
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