Three Essays on Large Panel Data Models with Cross-sectional Dependence
Three Essays on Large Panel Data Models with Cross-sectional Dependence

Author: Yonghui Zhang

Publisher:

Published: 2013

Total Pages: 260

ISBN-13:

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"My dissertation consists of three essays which contribute new theoretical results to large panel data models with cross-sectional dependence. These essays try to answer or partially answer some prominent questions such as how to detect the presence of cross-sectional dependence and how to capture the latent structure of cross-sectional dependence and estimate parameters efficiently by removing its effects".-- Author's abstract.

Essays in Honor of Cheng Hsiao
Essays in Honor of Cheng Hsiao

Author: Dek Terrell

Publisher: Emerald Group Publishing

Published: 2020-04-15

Total Pages: 418

ISBN-13: 1789739594

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Including contributions spanning a variety of theoretical and applied topics in econometrics, this volume of Advances in Econometrics is published in honour of Cheng Hsiao.

Essays in Honor of M. Hashem Pesaran
Essays in Honor of M. Hashem Pesaran

Author: Alexander Chudik

Publisher: Emerald Group Publishing

Published: 2022-01-18

Total Pages: 376

ISBN-13: 1802620656

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The collection of chapters in Volume 43 Part B of Advances in Econometrics serves as a tribute to one of the most innovative, influential, and productive econometricians of his generation, Professor M. Hashem Pesaran.

Large-dimensional Panel Data Econometrics: Testing, Estimation And Structural Changes
Large-dimensional Panel Data Econometrics: Testing, Estimation And Structural Changes

Author: Feng Qu

Publisher: World Scientific

Published: 2020-08-24

Total Pages: 167

ISBN-13: 9811220794

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This book aims to fill the gap between panel data econometrics textbooks, and the latest development on 'big data', especially large-dimensional panel data econometrics. It introduces important research questions in large panels, including testing for cross-sectional dependence, estimation of factor-augmented panel data models, structural breaks in panels and group patterns in panels. To tackle these high dimensional issues, some techniques used in Machine Learning approaches are also illustrated. Moreover, the Monte Carlo experiments, and empirical examples are also utilised to show how to implement these new inference methods. Large-Dimensional Panel Data Econometrics: Testing, Estimation and Structural Changes also introduces new research questions and results in recent literature in this field.

Essays in Honor of Peter C. B. Phillips
Essays in Honor of Peter C. B. Phillips

Author: Thomas B. Fomby

Publisher: Emerald Group Publishing

Published: 2014-11-21

Total Pages: 772

ISBN-13: 1784411825

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This volume honors Professor Peter C.B. Phillips' many contributions to the field of econometrics. The topics include non-stationary time series, panel models, financial econometrics, predictive tests, IV estimation and inference, difference-in-difference regressions, stochastic dominance techniques, and information matrix testing.

Essays in Honor of Aman Ullah
Essays in Honor of Aman Ullah

Author: R. Carter Hill

Publisher: Emerald Group Publishing

Published: 2016-06-29

Total Pages: 680

ISBN-13: 1785607863

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Volume 36 of Advances in Econometrics recognizes Aman Ullah's significant contributions in many areas of econometrics and celebrates his long productive career.

Longitudinal and Panel Data
Longitudinal and Panel Data

Author: Edward W. Frees

Publisher: Cambridge University Press

Published: 2004-08-16

Total Pages: 492

ISBN-13: 9780521535380

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An introduction to foundations and applications for quantitatively oriented graduate social-science students and individual researchers.

Three Essays in Time-series Macroeconomics
Three Essays in Time-series Macroeconomics

Author: Junichiro Ishida

Publisher:

Published: 2000

Total Pages: 102

ISBN-13:

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The second chapter of the thesis considers the negative correlation between inflation and the average propensity to consume in the U.S. economy. While many explanations are offered for this observation, it is hard to be reconciled within the framework of a rational expectations model. In this paper, however, we argue that this correlation can be derived as an implication of the permanent income hypothesis. This conjecture is tested by identifying the dynamic response of consumption to different types of shock. The data show that this interpretation is largely consistent. This procedure also allows us to identify transitory consumption and the source of the failure of the permanent income hypothesis.