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Testing overidentifying restrictions with many instruments and heteroskedasticity
Chao, John C.; Hausman, Jerry A.; Newey, Whitney K.; … - In: Journal of econometrics 178 (2014) 1, pp. 15-21
Persistent link: https://www.econbiz.de/10010254992
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Tests of nonnested hypotheses in nonstationary regressions with an application to modeling industrial production
Chao, John C.; Swanson, Norman R. - In: Macroeconomic dynamics 4 (2000) 1, pp. 42-72
Persistent link: https://www.econbiz.de/10001497768
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Uniform inference in panel autoregression
Chao, John C.; Phillips, Peter C. B. - 2017
Persistent link: https://www.econbiz.de/10011647633
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Uniform inference in panel autoregression
Chao, John C.; Phillips, Peter C. B. - In: Econometrics : open access journal 7 (2019) 4/45, pp. 1-28
This paper considers estimation and inference concerning the autoregressive coefficient (p) in a panel autoregression for which the degree of persistence in the time dimension is unknown. Our main objective is to construct confidence intervals for p that are asymptotically valid, having...
Persistent link: https://www.econbiz.de/10012160749
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Uniform Inference in Panel Autoregression
Chao, John C. - 2017
This paper considers estimation and inference concerning the autoregressive coefficient (ρ) in a panel autoregression for which the degree of persistence in the time dimension is unknown. The main objective is to construct confidence intervals for ρ that are asymptotically valid, having...
Persistent link: https://www.econbiz.de/10012965285