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Diagnostic tests of cross section independence for nonlinear panel data models

Hsiao, Cheng; Pesaran, M. Hashem; Pick, Andreas - 2007

Persistent link: https://www.econbiz.de/10003482467

Diagnostic tests of cross section independence for nonlinear panel data models

Hsiao, Cheng (contributor); Pesaran, M. Hashem (contributor) - 2007

Persistent link: https://www.econbiz.de/10003482517

Modified two-stage least-squares estimators for the estimation of a structural vector autoregressive integrated process

Hsiao, Cheng; Wang, Siyan - In: Journal of econometrics 135 (2006) 1/2, pp. 427-463

Persistent link: https://www.econbiz.de/10003376092

Diagnostic tests of cross section independence for nonlinear panel data models

Hsiao, Cheng (contributor); Pesaran, M. Hashem (contributor) - 2007

In this paper we discuss tests for residual cross section dependence in nonlinear panel data models. The tests are based on average pair-wise residual correlation coefficients. In nonlinear models, the definition of the residual is ambiguous and we consider two approaches: deviations of the...

Persistent link: https://www.econbiz.de/10003590525

Diagnostic tests of cross section independence for nonlinear panel data models

Hsiao, Cheng (contributor); Pesaran, M. Hashem (contributor) - 2007

Persistent link: https://www.econbiz.de/10003497608

A consistent model specification test with mixed discrete and continuous data

Hsiao, Cheng; Li, Qi; Racine, Jeffrey - In: Journal of econometrics 140 (2007) 2, pp. 802-826

Persistent link: https://www.econbiz.de/10003569974

Diagnostic tests of cross-section independence for limited dependent variable panel data models

Hsiao, Cheng; Pesaran, M. Hashem; Pick, Andreas - In: Oxford bulletin of economics and statistics 74 (2012) 2, pp. 253-277

Persistent link: https://www.econbiz.de/10009526736

Real-time monitoring test for realized volatility

Wang, Cindy Shin Huei; Hsiao, Cheng - In: Journal of time series econometrics 5 (2013) 1, pp. 1-24

Persistent link: https://www.econbiz.de/10009753112

Model specification test with correlated but not cointegrated variables

Gan, Li; Hsiao, Cheng; Shu Xu - In: Journal of econometrics 178 (2014) 1, pp. 80-85

Persistent link: https://www.econbiz.de/10010255463

Testing error serial correlation in fixed effects nonparametric panel data models

Green, Carl; Long, Wei; Hsiao, Cheng - In: Journal of econometrics 188 (2015) 2, pp. 466-473

Persistent link: https://www.econbiz.de/10011503631