Similar Search Results

An LM test for the conditional independence between regressors and factor loadings in panel data models with interactive effects

Kapetanios, George; Serlenga, Laura; Shin, Yongcheol - In: Journal of business & economic statistics : JBES ; a … 42 (2024) 2, pp. 743-761

Persistent link: https://www.econbiz.de/10015053450

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

Bounds testing approaches to the analysis of level relationships

Pesaran, M. Hashem; Shin, Yongcheol; Smith, Richard J. - In: Journal of applied econometrics 16 (2001) 3, pp. 289-326

Persistent link: https://www.econbiz.de/10001591901

Bounds testing approaches to the analysis of long-run relationships

Pesaran, M. Hashem; Shin, Yongcheol; Smith, Richard J. - 1999

Persistent link: https://www.econbiz.de/10001387285

Dynamic Spatial Network Quantile Autoregression

Xu, Xiu - 2020

This paper proposes a dynamic spatial autoregressive quantile model. Using predetermined network information, we study dynamic tail event driven risk using a system of conditional quantile equations. Extending Zhu et. al. (2019), we allow the contemporaneous dependency of nodal responses by...

Persistent link: https://www.econbiz.de/10012823437

Dynamic panels with threshold effect and endogeneity

Seo, Myung Hwan; Shin, Yongcheol - In: Journal of econometrics 195 (2016) 2, pp. 169-186

Persistent link: https://www.econbiz.de/10011705247

Recent developments of the autoregressive distributed lag modelling framework

Cho, Jin Seo; Greenwood-Nimmo, Matthew; Shin, Yongcheol - In: Journal of economic surveys 37 (2023) 1, pp. 7-32

Persistent link: https://www.econbiz.de/10014287722

Dynamic network quantile regression model

Xu, Xiu; Wang, Weining; Shin, Yongcheol; Zheng, Chaowen - In: Journal of business & economic statistics : JBES ; a … 42 (2024) 2, pp. 407-421

Persistent link: https://www.econbiz.de/10015053411

Measuring conditional persistence in nonlinear time series

Kapetanios, George - In: Oxford bulletin of economics and statistics 69 (2007) 3, pp. 363-386

Persistent link: https://www.econbiz.de/10003467586

Estimating deterministically time-varying variances in regression models

Kapetanios, George - In: Economics letters 97 (2007) 2, pp. 97-104

Persistent link: https://www.econbiz.de/10003575265