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Estimation and Inference for Multi-dimensional Heterogeneous Panel Datasets with Hierarchical Multi-factor Error Structure
Kapetanios, George - 2019
Given the growing availability of large datasets and following recent research trends on multi-dimensional modelling, we develop three dimensional (3D) panel data models with hierarchical error components that allow for strong cross-sectional dependence through unobserved heterogeneous global...
Persistent link: https://www.econbiz.de/10012868664
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Testing for correlation between the regressors and factor loadings in heterogeneous panels with interactive effects
Kapetanios, George; Serlenga, Laura; Shin, Yongcheol - In: Empirical economics : a quarterly journal of the … 64 (2023) 6, pp. 2611-2659
Persistent link: https://www.econbiz.de/10014329005
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A residual-based test of the null of cointegration against the alternative of no cointegration
Shin, Yongcheol - In: Econometric theory 10 (1994) 1, pp. 91-115
Persistent link: https://www.econbiz.de/10001163336
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Structural analysis of vector error correction models with exogenous I(1) variables
Pesaran, M. Hashem; Shin, Yongcheol; Smith, Richard J. - 1997
Persistent link: https://www.econbiz.de/10000629002
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Testing for the existence of a long-run relationship
Pesaran, M. Hashem; Shin, Yongcheol; Smith, Richard J. - 1996 - Rev
Persistent link: https://www.econbiz.de/10000614561
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Cointegration and speed of convergence to equilibrium
Pesaran, M. Hashem; Shin, Yongcheol - 1993
Persistent link: https://www.econbiz.de/10000142724
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Pooled estimation of long-run relationships in dynamic heterogeneous panels
Pesaran, M. Hashem; Shin, Yongcheol; Smith, Ron - 1997
Persistent link: https://www.econbiz.de/10000642967
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In search of robust methods for dynamic panel data models in empirical corporate finance
Dang, Viet Anh; Kim, Minjoo; Shin, Yongcheol - In: Journal of banking & finance 53 (2015), pp. 84-98
Persistent link: https://www.econbiz.de/10011377703
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Optimal test for Markov switching GARCH models
Hu, Liang; Shin, Yongcheol - In: Studies in nonlinear dynamics and econometrics : SNDE ; … 12 (2008) 3, pp. 1-25
Persistent link: https://www.econbiz.de/10009513627
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Quantile cointegration in the autoregressive distributed-lag modeling framework
Cho, Jin Seo; Kim, Tae-hwan; Shin, Yongcheol - In: Journal of econometrics 188 (2015) 1, pp. 281-300
Persistent link: https://www.econbiz.de/10011500352