This study investigates an AR (autoregressive)-filtered version of several conventional diagnostic tests for cross-sectional dependence in large mixed panels, including the adjusted LM test, the CD test, and the Schott test. We show that the modified tests asymptotically follow the standard...

We develop an easy-to-implement method for forecasting a stationary auto-regressive fractionally integrated moving average (ARFIMA) process subject to structural breaks with unknown break dates. We show that an ARFIMA process subject to a mean shift and a change in the long memory parameter can...

We develop an easy-to-implement method for forecasting a stationary autoregressive fractionally integrated moving average (ARFIMA) process subject to structural breaks with unknown break dates. We show that an ARFIMA process subject to a mean shift and a change in the long memory parameter can...

We use a stratified customer survey data to study the patterns of residential telephone subscriber listings. A conditional logit model to capture the unobserved individual-choice-specific effects is suggested to provide revenue impact analysis under different price scenarios.

This paper considers methods of estimating a static correlated random coefficient model with panel data. We mainly focus on comparing two approaches of estimating unconditional mean of the coefficients for the correlated random coefficients models, the group mean estimator and the generalized...

This paper considers methods of estimating a static correlated random coefficient model with panel data. We mainly focus on comparing two approaches of estimating unconditional mean of the coefficients for the correlated random coefficients models, the group mean estimator and the generalized...