Search Results for author:
Found 10 papers, 0 papers with code
Robust M-Estimation for Additive Single-Index Cointegrating Time Series Models
Generalized functions incorporate local integrable functions, the so-called regular generalized functions, while the so-called singular generalized functions (e. g. Dirac delta function) can be obtained as the limits of a sequence of sufficient smooth functions, so-called regular sequence in generalized function context.
Retrieval Based Time Series Forecasting
In this paper, we show both theoretically and empirically that the uncertainty could be effectively reduced by retrieving relevant time series as references.
Time-Varying Multivariate Causal Processes
In this paper, we consider a wide class of time-varying multivariate causal processes which nests many classic and new examples as special cases.
A Simple Bootstrap Method for Panel Data Inferences
In this paper, we propose a simple dependent wild bootstrap procedure for us to establish valid inferences for a wide class of panel data models including those with interactive fixed effects.
Interactive Effects Panel Data Models with General Factors and Regressors
This paper considers a model with general regressors and unobservable factors.
Multiple-index Nonstationary Time Series Models: Robust Estimation Theory and Practice
This paper proposes a class of parametric multiple-index time series models that involve linear combinations of time trends, stationary variables and unit root processes as regressors.
Productivity Convergence in Manufacturing: A Hierarchical Panel Data Approach
Despite its paramount importance in the empirical growth literature, productivity convergence analysis has three problems that have yet to be resolved: (1) little attempt has been made to explore the hierarchical structure of industry-level datasets; (2) industry-level technology heterogeneity has largely been ignored; and (3) cross-sectional dependence has rarely been allowed for.
On Time-Varying VAR Models: Estimation, Testing and Impulse Response Analysis
Vector autoregressive (VAR) models are widely used in practical studies, e. g., forecasting, modelling policy transmission mechanism, and measuring connection of economic agents.
Decomposition of Bilateral Trade Flows Using a Three-Dimensional Panel Data Model
This study decomposes the bilateral trade flows using a three-dimensional panel data model.
Binary Response Models for Heterogeneous Panel Data with Interactive Fixed Effects
In this paper, we investigate binary response models for heterogeneous panel data with interactive fixed effects by allowing both the cross-sectional dimension and the temporal dimension to diverge.
