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Panel Data Approach vs. Synthetic Control Method
Wan, Shui Ki - 2017
We explore the pros and cons of two counterfactual analysis methodologies – the panel data approach (PDA) and the synthetic control method (SCM) through a discussion of the differences in their underlying assumptions and a series of simulations
Persistent link: https://www.econbiz.de/10012942954
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A Consistent Model Specification Test with Mixed Discrete and Continuous Data
Hsiao, Cheng - 2006
In this paper we propose a nonparametric kernel-based model specification test that can be used when the regression model contains both discrete and continuous regressors. We employ discrete variable kernel functions and we smooth both the discrete and continuous regressors using least squares...
Persistent link: https://www.econbiz.de/10012733710
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The Relationship between Stock Returns and Volatility in International Stock Markets
Li, Qi - 2005
, using a flexible semiparametric specification of conditional variance, we find evidence of a significant negative …
Persistent link: https://www.econbiz.de/10012784717
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Model Specification Test with Correlated But Not Cointegrated Variables
Gan, Li - 2013
cointegrated. Recently, Sun, Hsiao and Li (2010) propose using a semiparametric varying coefficient approach to capture … term and the semiparametric functional form, consistent estimation of such a semiparametric model requires stronger … conditions than usually needed for consistent estimation for a linear (spurious) regression model, or a semiparametric varying …
Persistent link: https://www.econbiz.de/10013077119
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A Consistent Model Specification Test with Mixed Discrete and Continuous Data
Hsiao, Cheng; Li, Qi; Racine, Jeff - Institute of Economic Policy Research (IEPR), … - 2006
In this paper we propose a nonparametric kernel-based model specification test that can be used when the regression model contains both discrete and continuous regressors. We employ discrete variable kernel functions and we smooth both the discrete and continuous regressors using least squares...
Persistent link: https://www.econbiz.de/10005132572
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Method of moments estimation and identifiability of semiparametric nonlinear errors-in-variables models
Wang, Liqun; Hsiao, Cheng - In: Journal of Econometrics 165 (2011) 1, pp. 30-44
asymptotically normally distributed under fairly general regularity conditions. Moreover, root-n consistent semiparametric estimators …
Persistent link: https://www.econbiz.de/10010574090
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Model specification test with correlated but not cointegrated variables
Gan, Li; Hsiao, Cheng; Xu, Shu - In: Journal of Econometrics 178 (2014) P1, pp. 80-85
cointegrated. Recently,  Sun et al. (2011) propose using a semiparametric varying coefficient approach to capture correlations … the semiparametric functional form, consistent estimation of such a semiparametric model requires stronger conditions than … usually needed for consistent estimation for a linear (spurious) regression model, or a semiparametric varying coefficient …
Persistent link: https://www.econbiz.de/10011052319
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Panel data estimation for correlated random coefficients models
Hsiao, Cheng; Li, Qi; Liang, Zhongwen; Xie, Wei - In: Econometrics : open access journal 7 (2019) 1/7, pp. 1-18
that it achieves Chamberlain (1992) semi-parametric efficiency bound asymptotically. For the generalized least squares …
Persistent link: https://www.econbiz.de/10012025649
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Data subject to multiple treatment effects : disentangle the impacts of global pandemic and a specific disease control policy
Ke, Xiao; Hsiao, Cheng - In: The Singapore economic review 68 (2023) 5, pp. 1507-1527
Persistent link: https://www.econbiz.de/10014436187
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Panel data estimation for correlated random coefficients models
Hsiao, Cheng; Li, Qi; Liang, Zhongwen; Xie, Wei - In: Econometrics 7 (2019) 1, pp. 1-18
that it achieves Chamberlain (1992) semi-parametric efficiency bound asymptotically. For the generalized least squares …
Persistent link: https://www.econbiz.de/10012696222