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Finite-sample properties of forecasts from the stationary first-order autoregressive model under a general error distribution
Bao, Yong - In: Econometric theory 23 (2007) 4, pp. 767-773
Persistent link: https://www.econbiz.de/10003549618
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The approximate moments of the least squares estimator for the stationary autoregressive model under a general error distribution
Bao, Yong - In: Econometric theory 23 (2007) 5, pp. 1013-1021
Persistent link: https://www.econbiz.de/10003549687
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Should we demean the data?
Bao, Yong - In: Annals of economics and finance 16 (2015) 1, pp. 163-171
Persistent link: https://www.econbiz.de/10011317768
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Finite-sample bias of the QMLE in spatial autoregressive models
Bao, Yong - In: Econometric theory 29 (2013) 1, pp. 68-88
Persistent link: https://www.econbiz.de/10009747878
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On sample skewness and kurtosis
Bao, Yong - In: Econometric reviews 32 (2013) 1/4, pp. 415-448
Persistent link: https://www.econbiz.de/10009717785
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Estimation risk-adjusted sharpe ratio and fund performance ranking under a general return distribution
Bao, Yong - In: Journal of financial econometrics : official journal of … 7 (2009) 2, pp. 152-173
Persistent link: https://www.econbiz.de/10003826491
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The asymptotic covariance matrix of the QMLE in ARMA models
Bao, Yong - In: Econometric reviews 37 (2018) 1/5, pp. 309-324
Persistent link: https://www.econbiz.de/10012038710
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Indirect inference estimation of a first-order dynamic panel data model
Bao, Yong - In: Journal of quantitative economics 19 (2021), pp. 79-98
Persistent link: https://www.econbiz.de/10013441709
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Indirect inference estimation of higher-order spatial autoregressive models
Bao, Yong - In: Econometric reviews 42 (2023) 3, pp. 247-280
Persistent link: https://www.econbiz.de/10014305506
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Estimating linear dynamic panels with recentered moments
Bao, Yong - In: Econometrics : open access journal 12 (2024) 1, pp. 1-48
This paper proposes estimating linear dynamic panels by explicitly exploiting the endogeneity of lagged dependent variables and expressing the crossmoments between the endogenous lagged dependent variables and disturbances in terms of model parameters. These moments, when recentered, form the...
Persistent link: https://www.econbiz.de/10014636394