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Determinants of covariance matrices of differenced AR(1) processes

Han, Chirok - In: Econometric theory 23 (2007) 6, pp. 1248-1253

Persistent link: https://www.econbiz.de/10003591886

Efficiency comparison of random effects two stage least squares estimators

Han, Chirok - In: Economics letters 148 (2016), pp. 59-62

Persistent link: https://www.econbiz.de/10011619823

Gaussian inference in AR(1) time series with or without a unit root

Phillips, Peter C. B.; Han, Chirok - In: Econometric theory 24 (2008) 3, pp. 631-650

Persistent link: https://www.econbiz.de/10003894277

LAD asymptotics under conditional heteroskedasticity with possibly infinite error densities

Cho, Jin Seo; Han, Chirok; Phillips, Peter C. B. - In: Econometric theory 26 (2010) 3, pp. 953-962

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First difference MLE and dynamic panel estimation

Han, Chirok; Phillips, Peter C. B. - 2011

First difference maximum likelihood (FDML) seems an attractive estimation methodology in dynamic panel data modeling because differencing eliminates fixed effects and, in the case of a unit root, differencing transforms the data to stationarity, thereby addressing both incidental parameter...

Persistent link: https://www.econbiz.de/10008826039