High-Dimensional Econometrics and Identification最新文献

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Incidental Parameters Problem in Panel Data Models 面板数据模型中的附带参数问题
High-Dimensional Econometrics and Identification Pub Date : 2019-04-04 DOI: 10.1142/9789811200168_0005
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引用次数: 0
BACK MATTER 回到问题
High-Dimensional Econometrics and Identification Pub Date : 2019-04-04 DOI: 10.1142/9789811200168_bmatter
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引用次数: 0
Panel Data Model with Stationary and Nonstationary Regressors and Error Terms 具有平稳和非平稳回归量和误差项的面板数据模型
High-Dimensional Econometrics and Identification Pub Date : 2019-04-04 DOI: 10.1142/9789811200168_0001
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引用次数: 0
Weak Instruments in Panel Data Models 面板数据模型中的弱工具
High-Dimensional Econometrics and Identification Pub Date : 2019-04-04 DOI: 10.1142/9789811200168_0004
{"title":"Weak Instruments in Panel Data Models","authors":"","doi":"10.1142/9789811200168_0004","DOIUrl":"https://doi.org/10.1142/9789811200168_0004","url":null,"abstract":"","PeriodicalId":254454,"journal":{"name":"High-Dimensional Econometrics and Identification","volume":"1 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2019-04-04","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"130673295","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
Panel Time Trend Model with Stationary and Nonstationary Error Terms 具有平稳和非平稳误差项的面板时间趋势模型
High-Dimensional Econometrics and Identification Pub Date : 2019-04-04 DOI: 10.1142/9789811200168_0002
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引用次数: 0
FRONT MATTER 前页
High-Dimensional Econometrics and Identification Pub Date : 2019-04-04 DOI: 10.1142/9789811200168_fmatter
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引用次数: 0
Estimation of Change Points in Stationary and Nonstationary Regressors and Error Term 平稳和非平稳回归量变化点的估计及误差项
High-Dimensional Econometrics and Identification Pub Date : 1900-01-01 DOI: 10.1142/9789811200168_0003
C. Kao, Long Liu
{"title":"Estimation of Change Points in Stationary and Nonstationary Regressors and Error Term","authors":"C. Kao, Long Liu","doi":"10.1142/9789811200168_0003","DOIUrl":"https://doi.org/10.1142/9789811200168_0003","url":null,"abstract":"Testing and estimation of change points have been widely studied in econometrics. The focus of this chapter is to test and estimate for possible changes in the slope parameter of panel regression models. In Sec. 3.1, we discuss the spurious break in time-series. It is known that there is a tendency to spuriously estimate a break point in the middle of the sample when the errors follow an I(1) process, even though a break point does not actually exist, e.g., Bai (1998). In Sec. 3.2, we discuss estimation of a change point when it does not exist. Baltagi, Kao, and Liu (2017) consider the spurious break in a panel data regression model where the error terms are either stationary or nonstationary. Here the spurious break may still exist even with large panels. As a solution, an FD estimator is proposed. In Sec. 3.3, we discuss spurious break when a change point exists. The results in Bai (1997) for the time-series, Feng, Kao, and Lazarova (2009) for a homogeneous panel data model, and Baltagi, Feng, and Kao (2016) for a heterogeneous panel data model are discussed and compared. In Sec. 3.4, we further discuss a few extensions. We discuss change point estimation in a trend model, a model with a stationary or nonstationary regressor and/or error term, and a model with common factors. Sec. 3.5 compares OLS and FGLS-based Wald-tests in Emerson and Kao (2001) and Baltagi, Kao, and Liu (2019). Sec. 3.6 concludes.","PeriodicalId":254454,"journal":{"name":"High-Dimensional Econometrics and Identification","volume":"77 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"1900-01-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"130954095","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
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