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The asymptotic covariance matrix of the QMLE in ARMA models

Bao, Yong - In: Econometric reviews 37 (2018) 1/5, pp. 309-324

Persistent link: https://www.econbiz.de/10012038710

Indirect inference estimation of a first-order dynamic panel data model

Bao, Yong - In: Journal of quantitative economics 19 (2021), pp. 79-98

Persistent link: https://www.econbiz.de/10013441709

Indirect inference estimation of higher-order spatial autoregressive models

Bao, Yong - In: Econometric reviews 42 (2023) 3, pp. 247-280

Persistent link: https://www.econbiz.de/10014305506

Estimating linear dynamic panels with recentered moments

Bao, Yong - In: Econometrics : open access journal 12 (2024) 1, pp. 1-48

This paper proposes estimating linear dynamic panels by explicitly exploiting the endogeneity of lagged dependent variables and expressing the crossmoments between the endogenous lagged dependent variables and disturbances in terms of model parameters. These moments, when recentered, form the...

Persistent link: https://www.econbiz.de/10014636394

Evaluating predictive performance of value-at-risk models in emerging markets : a reality check

Bao, Yong; Lee, Tae-hwy; Saltoǧlu, Burak - In: Journal of forecasting 25 (2006) 2, pp. 101-128

Persistent link: https://www.econbiz.de/10003309378

Price competition with integrated and decentralized supply chains

Anderson, Edward J.; Bao, Yong - In: European journal of operational research : EJOR 200 (2009/10) 1, pp. 227-234

Persistent link: https://www.econbiz.de/10003895146

A Monte Carlo power comparison of the classical and one-sided procedures for testing linear inequalities

Bao, Yong; Firoozi, Fathali; Lo, Melody - In: Journal of quantitative economics : official journal of … 6 (2008) 1/2, pp. 233-239

Persistent link: https://www.econbiz.de/10003906300

Comparing density forecast models

Bao, Yong; Lee, Tae-hwy; Saltoǧlu, Burak - In: Journal of forecasting 26 (2007) 3, pp. 203-225

Persistent link: https://www.econbiz.de/10003454467

General-interest versus specialty journals : using intellectual influence of econometrics research to rank economics journals and articles

Bao, Yong; Lo, Melody; Mixon, Franklin G. - In: Journal of applied econometrics 25 (2010) 2, pp. 345-353

Persistent link: https://www.econbiz.de/10008667550

Borderplex menu evidence for the law of one price : a convergence approach

Bao, Yong; Fullerton, Thomas M.; Lien, Da-hsiang Donald - In: Applied economics letters 16 (2009) 16/18, pp. 1717-1720

Persistent link: https://www.econbiz.de/10003932323

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