Liangjun Su
Citations
Many of the citations below have been collected in an experimental project, CitEc, where a more detailed citation analysis can be found. These are citations from works listed in RePEc that could be analyzed mechanically. So far, only a minority of all works could be analyzed. See under "Corrections" how you can help improve the citation analysis.Working papers
- Yiren Wang & Peter C B Phillips & Liangjun Su, 2023.
"Panel Data Models with Time-Varying Latent Group Structures,"
Papers
2307.15863, arXiv.org.
- Wang, Yiren & Phillips, Peter C.B. & Su, Liangjun, 2024. "Panel data models with time-varying latent group structures," Journal of Econometrics, Elsevier, vol. 240(1).
- Yiren Wang & Peter C. B. Phillips & Liangjun Su, 2023. "Panel Data Models with Time-Varying Latent Group Structures," Cowles Foundation Discussion Papers 2364, Cowles Foundation for Research in Economics, Yale University.
Cited by:
- Langevin, R.;, 2024. "Consistent Estimation of Finite Mixtures: An Application to Latent Group Panel Structures," Health, Econometrics and Data Group (HEDG) Working Papers 24/16, HEDG, c/o Department of Economics, University of York.
- Yiren Wang & Liangjun Su & Yichong Zhang, 2022.
"Low-rank Panel Quantile Regression: Estimation and Inference,"
Papers
2210.11062, arXiv.org.
Cited by:
- Yiren Wang & Peter C. B. Phillips & Liangjun Su, 2023.
"Panel Data Models with Time-Varying Latent Group Structures,"
Cowles Foundation Discussion Papers
2364, Cowles Foundation for Research in Economics, Yale University.
- Yiren Wang & Peter C B Phillips & Liangjun Su, 2023. "Panel Data Models with Time-Varying Latent Group Structures," Papers 2307.15863, arXiv.org.
- Wang, Yiren & Phillips, Peter C.B. & Su, Liangjun, 2024. "Panel data models with time-varying latent group structures," Journal of Econometrics, Elsevier, vol. 240(1).
- Yiren Wang & Peter C. B. Phillips & Liangjun Su, 2023.
"Panel Data Models with Time-Varying Latent Group Structures,"
Cowles Foundation Discussion Papers
2364, Cowles Foundation for Research in Economics, Yale University.
- Bin Peng & Liangjun Su & Joakim Westerlund & Yanrong Yang, 2021.
"Interactive Effects Panel Data Models with General Factors and Regressors,"
Papers
2111.11506, arXiv.org.
- Bin Ping & Liangju Su & Yanrong Yang & Joakim Westerlund, 2023. "Interactive-effects panel-data models with general factors and regressors," French Stata Users' Group Meetings 2023 14, Stata Users Group.
- Bin Peng & Liangjun Su & Joakim Westerlund & Yanrong Yang, 2021. "Interactive Effects Panel Data Models with General Factors and Regressors," Monash Econometrics and Business Statistics Working Papers 23/21, Monash University, Department of Econometrics and Business Statistics.
Cited by:
- Hou, Li & Jin, Baisuo & Wu, Yuehua, 2024. "Estimation and variable selection for high-dimensional spatial dynamic panel data models," Journal of Econometrics, Elsevier, vol. 238(2).
- Georg Keilbar & Juan M. Rodriguez-Poo & Alexandra Soberon & Weining Wang, 2022. "A semiparametric approach for interactive fixed effects panel data models," Papers 2201.11482, arXiv.org, revised Mar 2023.
- Ke Miao & Peter C.B. Phillips & Liangjun Su, 2020.
"High-Dimensional VARs with Common Factors,"
Cowles Foundation Discussion Papers
2252, Cowles Foundation for Research in Economics, Yale University.
- Miao, Ke & Phillips, Peter C.B. & Su, Liangjun, 2023. "High-dimensional VARs with common factors," Journal of Econometrics, Elsevier, vol. 233(1), pages 155-183.
Cited by:
- Yiren Wang & Peter C. B. Phillips & Liangjun Su, 2023.
"Panel Data Models with Time-Varying Latent Group Structures,"
Cowles Foundation Discussion Papers
2364, Cowles Foundation for Research in Economics, Yale University.
- Yiren Wang & Peter C B Phillips & Liangjun Su, 2023. "Panel Data Models with Time-Varying Latent Group Structures," Papers 2307.15863, arXiv.org.
- Wang, Yiren & Phillips, Peter C.B. & Su, Liangjun, 2024. "Panel data models with time-varying latent group structures," Journal of Econometrics, Elsevier, vol. 240(1).
- Lyu, Chenyan & Do, Hung Xuan & Nepal, Rabindra & Jamasb, Tooraj, 2024.
"Volatility spillovers and carbon price in the Nordic wholesale electricity markets,"
Energy Economics, Elsevier, vol. 134(C).
- Chenyan Lyu & Hung Xuan Do & Rabindra Nepal & Tooraj Jamasb, 2023. "Volatility Spillovers and Carbon Price in the Nordic Wholesale Electricity Markets," CAMA Working Papers 2023-36, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University.
- Lyu, Chenyan & Do, Hung Xuan & Nepal, Rabindra & Jamasb, Tooraj, 2023. "Volatility Spillovers and Carbon Price in the Nordic Wholesale Electricity Markets," Working Papers 5-2023, Copenhagen Business School, Department of Economics.
- Christian Brownlees & Gu{dh}mundur Stef'an Gu{dh}mundsson, 2021. "Performance of Empirical Risk Minimization for Linear Regression with Dependent Data," Papers 2104.12127, arXiv.org, revised May 2023.
- Alain Hecq & Luca Margaritella & Stephan Smeekes, 2023. "Inference in Non-stationary High-Dimensional VARs," Papers 2302.01434, arXiv.org, revised Sep 2023.
- Eugene Dettaa & Endong Wang, 2024. "Inference in High-Dimensional Linear Projections: Multi-Horizon Granger Causality and Network Connectedness," Papers 2410.04330, arXiv.org.
- Lin, Ling & Jiang, Yong & Zhou, Zhongbao, 2024. "Asymmetric spillover and network connectedness of policy uncertainty, fossil fuel energy, and global ESG investment," Applied Energy, Elsevier, vol. 368(C).
- Naeem, Muhammad Abubakr & Senthilkumar, Arunachalam & Arfaoui, Nadia & Mohnot, Rajesh, 2024. "Mapping fear in financial markets: Insights from dynamic networks and centrality measures," Pacific-Basin Finance Journal, Elsevier, vol. 85(C).
- Christis Katsouris, 2023. "Structural Analysis of Vector Autoregressive Models," Papers 2312.06402, arXiv.org, revised Feb 2024.
- Siphat Lim & Edman Flores & Casey Barnett, 2024. "Analyzing the Effectiveness of a System of Equation Model in Comparison to Single Equation Models for Predicting General Price Level in Cambodia," International Journal of Economics and Financial Issues, Econjournals, vol. 14(5), pages 156-166, September.
- Wang, Di & Zheng, Yao & Li, Guodong, 2024. "High-dimensional low-rank tensor autoregressive time series modeling," Journal of Econometrics, Elsevier, vol. 238(1).
- Huang, Wenxin & Jin, Sainan & Phillips, Peter C.B. & Su, Liangjun, 2020.
"Nonstationary Panel Models with Latent Group Structures and Cross-Section Dependence,"
Economics and Statistics Working Papers
7-2020, Singapore Management University, School of Economics.
- Huang, Wenxin & Jin, Sainan & Phillips, Peter C.B. & Su, Liangjun, 2021. "Nonstationary panel models with latent group structures and cross-section dependence," Journal of Econometrics, Elsevier, vol. 221(1), pages 198-222.
Cited by:
- Liu, Yanbo & Phillips, Peter C. B. & Yu, Jun, 2022.
"A Panel Clustering Approach to Analyzing Bubble Behavior,"
Economics and Statistics Working Papers
1-2022, Singapore Management University, School of Economics.
- Yanbo Liu & Peter C. B. Phillips & Jun Yu, 2023. "A Panel Clustering Approach To Analyzing Bubble Behavior," International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 64(4), pages 1347-1395, November.
- Yanbo Liu & Peter C. B. Phillips & Jun Yu, 2022. "A Panel Clustering Approach to Analyzing Bubble Behavior," Cowles Foundation Discussion Papers 2323, Cowles Foundation for Research in Economics, Yale University.
- Saptorshee Kanto Chakraborty & Massimiliano Mazzanti, 2021.
"Revisiting the literature on the dynamic Environmental Kuznets Curves using a latent structure approach,"
Economia Politica: Journal of Analytical and Institutional Economics, Springer;Fondazione Edison, vol. 38(3), pages 923-941, October.
- Saptorshee Kanto Chakraborty & Massimiliano Mazzanti, 2021. "Revisiting the literature on the dynamic Environmental Kuznets Curves using a latent structure approach," SEEDS Working Papers 0521, SEEDS, Sustainability Environmental Economics and Dynamics Studies, revised May 2021.
- Bin Peng & Liangjun Su & Joakim Westerlund & Yanrong Yang, 2021.
"Interactive Effects Panel Data Models with General Factors and Regressors,"
Monash Econometrics and Business Statistics Working Papers
23/21, Monash University, Department of Econometrics and Business Statistics.
- Bin Peng & Liangjun Su & Joakim Westerlund & Yanrong Yang, 2021. "Interactive Effects Panel Data Models with General Factors and Regressors," Papers 2111.11506, arXiv.org.
- Bin Ping & Liangju Su & Yanrong Yang & Joakim Westerlund, 2023. "Interactive-effects panel-data models with general factors and regressors," French Stata Users' Group Meetings 2023 14, Stata Users Group.
- Jiti Gao & Fei Liu & Bin peng, 2020. "Binary Response Models for Heterogeneous Panel Data with Interactive Fixed Effects," Monash Econometrics and Business Statistics Working Papers 44/20, Monash University, Department of Econometrics and Business Statistics.
- Saptorshee Kanto Chakraborty & Antoine Mandel, 2024. "Understanding EU regional macroeconomic tipping points using panel threshold technique," Economic Change and Restructuring, Springer, vol. 57(3), pages 1-30, June.
- Jiti Gao & Bin Peng & Yayi Yan, 2022. "Nonparametric Estimation and Testing for Time-Varying VAR Models," Monash Econometrics and Business Statistics Working Papers 3/22, Monash University, Department of Econometrics and Business Statistics.
- Dong, Yingjie & Huang, Wenxin & Tse, Yiu-Kuen, 2023. "Price comovement and market segmentation of Chinese A- and H-shares: Evidence from a panel latent-factor model," Journal of International Money and Finance, Elsevier, vol. 131(C).
- Gao, J. & Linton, O. & Peng, B., 2022.
"A Nonparametric Panel Model for Climate Data with Seasonal and Spatial Variation,"
Cambridge Working Papers in Economics
2239, Faculty of Economics, University of Cambridge.
- Jiti Gao & Oliver Linton & Bin Peng, 2022. "A Nonparametric Panel Model for Climate Data with Seasonal and Spatial Variation," Monash Econometrics and Business Statistics Working Papers 9/22, Monash University, Department of Econometrics and Business Statistics.
- Gao, J. & Linton, O. & Peng, B., 2022. "A Nonparametric Panel Model for Climate Data with Seasonal and Spatial Variation," Janeway Institute Working Papers 2215, Faculty of Economics, University of Cambridge.
- Jiti Gao & Fei Liu & Bin Peng & Yayi Yan, 2020.
"Binary Response Models for Heterogeneous Panel Data with Interactive Fixed Effects,"
Papers
2012.03182, arXiv.org, revised Nov 2021.
- Gao, Jiti & Liu, Fei & Peng, Bin & Yan, Yayi, 2023. "Binary response models for heterogeneous panel data with interactive fixed effects," Journal of Econometrics, Elsevier, vol. 235(2), pages 1654-1679.
- Guohua Feng & Jiti Gao & Bin Peng, 2022. "Multi-Level Panel Data Models: Estimation and Empirical Analysis," Monash Econometrics and Business Statistics Working Papers 4/22, Monash University, Department of Econometrics and Business Statistics.
- Zhentao Shi & Liangjun Su & Tian Xie, 2020.
"L2-Relaxation: With Applications to Forecast Combination and Portfolio Analysis,"
Papers
2010.09477, arXiv.org, revised Aug 2022.
Cited by:
- Nabil Bouamara & S'ebastien Laurent & Shuping Shi, 2023. "Sequential Cauchy Combination Test for Multiple Testing Problems with Financial Applications," Papers 2303.13406, arXiv.org, revised Jun 2023.
- Shujie Ma & Liangjun Su & Yichong Zhang, 2020.
"Detecting Latent Communities in Network Formation Models,"
Papers
2005.03226, arXiv.org, revised Mar 2021.
- Ma, Shujie & Su, Liangjun & Zhang, Yichong, 2020. "Detecting Latent Communities in Network Formation Models," Economics and Statistics Working Papers 12-2020, Singapore Management University, School of Economics.
Cited by:
- Yiren Wang & Peter C. B. Phillips & Liangjun Su, 2023.
"Panel Data Models with Time-Varying Latent Group Structures,"
Cowles Foundation Discussion Papers
2364, Cowles Foundation for Research in Economics, Yale University.
- Yiren Wang & Peter C B Phillips & Liangjun Su, 2023. "Panel Data Models with Time-Varying Latent Group Structures," Papers 2307.15863, arXiv.org.
- Wang, Yiren & Phillips, Peter C.B. & Su, Liangjun, 2024. "Panel data models with time-varying latent group structures," Journal of Econometrics, Elsevier, vol. 240(1).
- Miao, Ke & Phillips, Peter C.B. & Su, Liangjun, 2023.
"High-dimensional VARs with common factors,"
Journal of Econometrics, Elsevier, vol. 233(1), pages 155-183.
- Ke Miao & Peter C.B. Phillips & Liangjun Su, 2020. "High-Dimensional VARs with Common Factors," Cowles Foundation Discussion Papers 2252, Cowles Foundation for Research in Economics, Yale University.
- Churchill, Brandyn F., 2021. "How important is the structure of school vaccine requirement opt-out provisions? Evidence from Washington, DC's HPV vaccine requirement," Journal of Health Economics, Elsevier, vol. 78(C).
- Lu, Xun & Su, Liangjun, 2023. "Uniform inference in linear panel data models with two-dimensional heterogeneity," Journal of Econometrics, Elsevier, vol. 235(2), pages 694-719.
- Wyrwich, Michael & Steinberg, Philip J. & Noseleit, Florian & de Faria, Pedro, 2022. "Is open innovation imprinted on new ventures? The cooperation-inhibiting legacy of authoritarian regimes," Research Policy, Elsevier, vol. 51(1).
- Yiren Wang & Liangjun Su & Yichong Zhang, 2022. "Low-rank Panel Quantile Regression: Estimation and Inference," Papers 2210.11062, arXiv.org.
- Candelaria, Luis E. & Ura, Takuya, 2023. "Identification and inference of network formation games with misclassified links," Journal of Econometrics, Elsevier, vol. 235(2), pages 862-891.
- Su, Liangjun & Miao, Ke & Jin, Sainan, 2019.
"On Factor Models with Random Missing: EM Estimation, Inference, and Cross Validation,"
Economics and Statistics Working Papers
4-2019, Singapore Management University, School of Economics.
- Jin, Sainan & Miao, Ke & Su, Liangjun, 2021. "On factor models with random missing: EM estimation, inference, and cross validation," Journal of Econometrics, Elsevier, vol. 222(1), pages 745-777.
Cited by:
- Zhou, Ruichao & Wu, Jianhong, 2023. "Determining the number of change-points in high-dimensional factor models by cross-validation with matrix completion," Economics Letters, Elsevier, vol. 232(C).
- Camacho, Maximo & Lopez-Buenache, German, 2023. "Factor models for large and incomplete data sets with unknown group structure," International Journal of Forecasting, Elsevier, vol. 39(3), pages 1205-1220.
- Liu, Wei & Luo, Lan & Zhou, Ling, 2023. "Online missing value imputation for high-dimensional mixed-type data via generalized factor models," Computational Statistics & Data Analysis, Elsevier, vol. 187(C).
- Chaohua Dong & Jiti Gao & Oliver Linton & Bin peng, 2020.
"On Time Trend of COVID-19: A Panel Data Study,"
Monash Econometrics and Business Statistics Working Papers
22/20, Monash University, Department of Econometrics and Business Statistics.
- Chaohua Dong & Jiti Gao & Oliver Linton & Bin Peng, 2020. "On the Time Trend of COVID-19: A Panel Data Study," Papers 2006.11060, arXiv.org, revised Jun 2020.
- Dong, C. & Gao, J. & Linton, O. & Peng, B., 2020. "On Time Trend of COVID-19: A Panel Data Study," Cambridge Working Papers in Economics 2065, Faculty of Economics, University of Cambridge.
- Ercument Cahan & Jushan Bai & Serena Ng, 2021.
"Factor-Based Imputation of Missing Values and Covariances in Panel Data of Large Dimensions,"
Papers
2103.03045, arXiv.org, revised Feb 2022.
- Cahan, Ercument & Bai, Jushan & Ng, Serena, 2023. "Factor-based imputation of missing values and covariances in panel data of large dimensions," Journal of Econometrics, Elsevier, vol. 233(1), pages 113-131.
- Wei, Jie & Chen, Hui, 2020. "Determining the number of factors in approximate factor models by twice K-fold cross validation," Economics Letters, Elsevier, vol. 191(C).
- Artūras Juodis & Simas Kučinskas, 2023. "Quantifying noise in survey expectations," Quantitative Economics, Econometric Society, vol. 14(2), pages 609-650, May.
- Victor Chernozhukov & Christian Hansen & Yuan Liao & Yinchu Zhu, 2021. "Inference for Low-Rank Models," Papers 2107.02602, arXiv.org, revised Jan 2023.
- Liddle, Brantley & Hasanov, Fakhri J. & Parker, Steven, 2022. "Your mileage may vary: Have road-fuel demand elasticities changed over time in middle-income countries?," Transportation Research Part A: Policy and Practice, Elsevier, vol. 165(C), pages 38-53.
- Gao, J. & Linton, O. & Peng, B., 2022.
"A Nonparametric Panel Model for Climate Data with Seasonal and Spatial Variation,"
Cambridge Working Papers in Economics
2239, Faculty of Economics, University of Cambridge.
- Jiti Gao & Oliver Linton & Bin Peng, 2022. "A Nonparametric Panel Model for Climate Data with Seasonal and Spatial Variation," Monash Econometrics and Business Statistics Working Papers 9/22, Monash University, Department of Econometrics and Business Statistics.
- Gao, J. & Linton, O. & Peng, B., 2022. "A Nonparametric Panel Model for Climate Data with Seasonal and Spatial Variation," Janeway Institute Working Papers 2215, Faculty of Economics, University of Cambridge.
- Ke, Shuyao & Phillips, Peter C.B. & Su, Liangjun, 2024. "Robust inference of panel data models with interactive fixed effects under long memory: A frequency domain approach," Journal of Econometrics, Elsevier, vol. 241(2).
- Jushan Bai & Serena Ng, 2021.
"Matrix Completion, Counterfactuals, and Factor Analysis of Missing Data,"
Journal of the American Statistical Association, Taylor & Francis Journals, vol. 116(536), pages 1746-1763, October.
- Jushan Bai & Serena Ng, 2019. "Matrix Completion, Counterfactuals, and Factor Analysis of Missing Data," Papers 1910.06677, arXiv.org, revised Aug 2021.
- Choi, Jungjun & Kwon, Hyukjun & Liao, Yuan, 2024. "Inference for low-rank completion without sample splitting with application to treatment effect estimation," Journal of Econometrics, Elsevier, vol. 240(1).
- Junting Duan & Markus Pelger & Ruoxuan Xiong, 2023. "Target PCA: Transfer Learning Large Dimensional Panel Data," Papers 2308.15627, arXiv.org.
- Jungjun Choi & Ming Yuan, 2023. "Matrix Completion When Missing Is Not at Random and Its Applications in Causal Panel Data Models," Papers 2308.02364, arXiv.org.
- Ruoxuan Xiong & Markus Pelger, 2019.
"Large Dimensional Latent Factor Modeling with Missing Observations and Applications to Causal Inference,"
Papers
1910.08273, arXiv.org, revised Jan 2022.
- Xiong, Ruoxuan & Pelger, Markus, 2023. "Large dimensional latent factor modeling with missing observations and applications to causal inference," Journal of Econometrics, Elsevier, vol. 233(1), pages 271-301.
- Yinchu Zhu, 2019. "How well can we learn large factor models without assuming strong factors?," Papers 1910.10382, arXiv.org, revised Nov 2019.
- Jungjun Choi & Hyukjun Kwon & Yuan Liao, 2023. "Inference for Low-rank Completion without Sample Splitting with Application to Treatment Effect Estimation," Papers 2307.16370, arXiv.org.
- Jianqing Fan & Kunpeng Li & Yuan Liao, 2020. "Recent Developments on Factor Models and its Applications in Econometric Learning," Papers 2009.10103, arXiv.org.
- Serena Ng & Susannah Scanlan, 2023. "Constructing High Frequency Economic Indicators by Imputation," Papers 2303.01863, arXiv.org, revised Oct 2023.
- Hong, Shengjie & Su, Liangjun & Wang, Yaqi, 2019.
"Inference in partially identified panel data models with interactive fixed effects,"
Economics and Statistics Working Papers
14-2019, Singapore Management University, School of Economics.
Cited by:
- Juodis, Arturas & Sarafidis, Vasilis, 2020.
"An Incidental Parameters Free Inference Approach for Panels with Common Shocks,"
MPRA Paper
104906, University Library of Munich, Germany.
- Juodis, Artūras & Sarafidis, Vasilis, 2022. "An incidental parameters free inference approach for panels with common shocks," Journal of Econometrics, Elsevier, vol. 229(1), pages 19-54.
- Juodis, Arturas & Sarafidis, Vasilis, 2020.
"An Incidental Parameters Free Inference Approach for Panels with Common Shocks,"
MPRA Paper
104906, University Library of Munich, Germany.
- Ke, Miao & Su, Liangjun & Wang, Wendun, 2019.
"Panel threshold regressions with latent group structures,"
Economics and Statistics Working Papers
13-2019, Singapore Management University, School of Economics.
- Miao, Ke & Su, Liangjun & Wang, Wendun, 2020. "Panel threshold regressions with latent group structures," Journal of Econometrics, Elsevier, vol. 214(2), pages 451-481.
Cited by:
- Huang, Danyang & Hu, Wei & Jing, Bingyi & Zhang, Bo, 2023. "Grouped spatial autoregressive model," Computational Statistics & Data Analysis, Elsevier, vol. 178(C).
- Huang, Wenxin & Jin, Sainan & Phillips, Peter C.B. & Su, Liangjun, 2020.
"Nonstationary Panel Models with Latent Group Structures and Cross-Section Dependence,"
Economics and Statistics Working Papers
7-2020, Singapore Management University, School of Economics.
- Huang, Wenxin & Jin, Sainan & Phillips, Peter C.B. & Su, Liangjun, 2021. "Nonstationary panel models with latent group structures and cross-section dependence," Journal of Econometrics, Elsevier, vol. 221(1), pages 198-222.
- Leng, Xuan & Chen, Heng & Wang, Wendun, 2023. "Multi-dimensional latent group structures with heterogeneous distributions," Journal of Econometrics, Elsevier, vol. 233(1), pages 1-21.
- Saptorshee Kanto Chakraborty & Antoine Mandel, 2024. "Understanding EU regional macroeconomic tipping points using panel threshold technique," Economic Change and Restructuring, Springer, vol. 57(3), pages 1-30, June.
- Lawal, Adedoyin Isola & Ozturk, Ilhan & Olanipekun, Ifedolapo O. & Asaleye, Abiola John, 2020. "Examining the linkages between electricity consumption and economic growth in African economies," Energy, Elsevier, vol. 208(C).
- Lumsdaine, Robin L. & Okui, Ryo & Wang, Wendun, 2023. "Estimation of panel group structure models with structural breaks in group memberships and coefficients," Journal of Econometrics, Elsevier, vol. 233(1), pages 45-65.
- Su, Liangjun & Wang, Wuyi & Xu, Xingbai, 2023. "Identifying latent group structures in spatial dynamic panels," Journal of Econometrics, Elsevier, vol. 235(2), pages 1955-1980.
- Woosik Gong & Myung Hwan Seo, 2022. "Bootstraps for Dynamic Panel Threshold Models," Papers 2211.04027, arXiv.org, revised Sep 2024.
- Yu, Lu & Gu, Jiaying & Volgushev, Stanislav, 2024. "Spectral clustering with variance information for group structure estimation in panel data," Journal of Econometrics, Elsevier, vol. 241(1).
- Lu, Xun & Miao, Ke & Su, Liangjun, 2018.
"Determination of Different Types of Fixed Effects in Three-Dimensional Panels,"
Economics and Statistics Working Papers
10-2018, Singapore Management University, School of Economics.
- Xun Lu & Ke Miao & Liangjun Su, 2021. "Determination of different types of fixed effects in three-dimensional panels," Econometric Reviews, Taylor & Francis Journals, vol. 40(9), pages 867-898, October.
Cited by:
- Chiang, Harold D. & Rodrigue, Joel & Sasaki, Yuya, 2023.
"Post-Selection Inference In Three-Dimensional Panel Data,"
Econometric Theory, Cambridge University Press, vol. 39(3), pages 623-658, June.
- Harold D. Chiang & Joel Rodrigue & Yuya Sasaki, 2019. "Post-Selection Inference in Three-Dimensional Panel Data," Papers 1904.00211, arXiv.org, revised Apr 2019.
- Huang, Wenxin & Jin, Sainan & Su, Liangjun, 2018.
"Identifying Latent Grouped Patterns in Cointegrated Panels,"
Economics and Statistics Working Papers
3-2019, Singapore Management University, School of Economics.
- Huang, Wenxin & Jin, Sainan & Su, Liangjun, 2020. "Identifying Latent Grouped Patterns In Cointegrated Panels," Econometric Theory, Cambridge University Press, vol. 36(3), pages 410-456, June.
Cited by:
- Yiren Wang & Peter C. B. Phillips & Liangjun Su, 2023.
"Panel Data Models with Time-Varying Latent Group Structures,"
Cowles Foundation Discussion Papers
2364, Cowles Foundation for Research in Economics, Yale University.
- Yiren Wang & Peter C B Phillips & Liangjun Su, 2023. "Panel Data Models with Time-Varying Latent Group Structures," Papers 2307.15863, arXiv.org.
- Wang, Yiren & Phillips, Peter C.B. & Su, Liangjun, 2024. "Panel data models with time-varying latent group structures," Journal of Econometrics, Elsevier, vol. 240(1).
- Huang, Wenxin & Jin, Sainan & Phillips, Peter C.B. & Su, Liangjun, 2020.
"Nonstationary Panel Models with Latent Group Structures and Cross-Section Dependence,"
Economics and Statistics Working Papers
7-2020, Singapore Management University, School of Economics.
- Huang, Wenxin & Jin, Sainan & Phillips, Peter C.B. & Su, Liangjun, 2021. "Nonstationary panel models with latent group structures and cross-section dependence," Journal of Econometrics, Elsevier, vol. 221(1), pages 198-222.
- Saptorshee Kanto Chakraborty & Massimiliano Mazzanti, 2021.
"Revisiting the literature on the dynamic Environmental Kuznets Curves using a latent structure approach,"
Economia Politica: Journal of Analytical and Institutional Economics, Springer;Fondazione Edison, vol. 38(3), pages 923-941, October.
- Saptorshee Kanto Chakraborty & Massimiliano Mazzanti, 2021. "Revisiting the literature on the dynamic Environmental Kuznets Curves using a latent structure approach," SEEDS Working Papers 0521, SEEDS, Sustainability Environmental Economics and Dynamics Studies, revised May 2021.
- Gobillon, Laurent & Magnac, Thierry & Roux, Sébastien, 2022.
"Lifecycle Wages and Human Capital Investments: Selection and Missing Data,"
CEPR Discussion Papers
16999, C.E.P.R. Discussion Papers.
- Gobillon, Laurent & Magnac, Thierry & Roux, Sébastien, 2022. "Lifecycle Wages and Human Capital Investments: Selection and Missing Data," TSE Working Papers 22-1299, Toulouse School of Economics (TSE).
- Dong, Yingjie & Huang, Wenxin & Tse, Yiu-Kuen, 2023. "Price comovement and market segmentation of Chinese A- and H-shares: Evidence from a panel latent-factor model," Journal of International Money and Finance, Elsevier, vol. 131(C).
- Christis Katsouris, 2023. "Optimal Estimation Methodologies for Panel Data Regression Models," Papers 2311.03471, arXiv.org, revised Nov 2023.
- Su, Liangjun & Wang, Wuyi & Xu, Xingbai, 2023. "Identifying latent group structures in spatial dynamic panels," Journal of Econometrics, Elsevier, vol. 235(2), pages 1955-1980.
- Ma, Shujie & Lan, Wei & Su, Liangjun & Tsai, Chih-Ling, 2018.
"Testing Alphas in Conditional Time-Varying Factor Models with High Dimensional Assets,"
Economics and Statistics Working Papers
9-2018, Singapore Management University, School of Economics.
- Shujie Ma & Wei Lan & Liangjun Su & Chih-Ling Tsai, 2020. "Testing Alphas in Conditional Time-Varying Factor Models With High-Dimensional Assets," Journal of Business & Economic Statistics, Taylor & Francis Journals, vol. 38(1), pages 214-227, January.
Cited by:
- Miao, Ke & Phillips, Peter C.B. & Su, Liangjun, 2023.
"High-dimensional VARs with common factors,"
Journal of Econometrics, Elsevier, vol. 233(1), pages 155-183.
- Ke Miao & Peter C.B. Phillips & Liangjun Su, 2020. "High-Dimensional VARs with Common Factors," Cowles Foundation Discussion Papers 2252, Cowles Foundation for Research in Economics, Yale University.
- M. Hashem Pesaran & Takashi Yamagata, 2017.
"Testing for Alpha in Linear Factor Pricing Models with a Large Number of Securities,"
Discussion Papers
17/04, Department of Economics, University of York.
- M. Hashem Pesaran & Takashi Yamagata, 2017. "Testing for Alpha in Linear Factor Pricing Models with a Large Number of Securities," CESifo Working Paper Series 6432, CESifo.
- M Hashem Pesaran & Takashi Yamagata, 2024. "Testing for Alpha in Linear Factor Pricing Models with a Large Number of Securities," Journal of Financial Econometrics, Oxford University Press, vol. 22(2), pages 407-460.
- Cui, Junfeng & Wang, Guanghui & Zou, Changliang & Wang, Zhaojun, 2023. "Change-point testing for parallel data sets with FDR control," Computational Statistics & Data Analysis, Elsevier, vol. 182(C).
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"The Heterogeneous Effects of the Minimum Wage on Employment Across States,"
Economics and Statistics Working Papers
11-2018, Singapore Management University, School of Economics.
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Cited by:
- Yiren Wang & Peter C. B. Phillips & Liangjun Su, 2023.
"Panel Data Models with Time-Varying Latent Group Structures,"
Cowles Foundation Discussion Papers
2364, Cowles Foundation for Research in Economics, Yale University.
- Yiren Wang & Peter C B Phillips & Liangjun Su, 2023. "Panel Data Models with Time-Varying Latent Group Structures," Papers 2307.15863, arXiv.org.
- Wang, Yiren & Phillips, Peter C.B. & Su, Liangjun, 2024. "Panel data models with time-varying latent group structures," Journal of Econometrics, Elsevier, vol. 240(1).
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"Minimum Wage Effects on Human Capital Accumulation: Evidence from Canadian Data,"
IZA Discussion Papers
14178, Institute of Labor Economics (IZA).
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"Minimum Wages and Labor Markets in the Twin Cities,"
Working Papers
793, Federal Reserve Bank of Minneapolis.
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"Identifying Latent Group Structures in Nonlinear Panels,"
Economics and Statistics Working Papers
19-2017, Singapore Management University, School of Economics.
- Wang, Wuyi & Su, Liangjun, 2021. "Identifying latent group structures in nonlinear panels," Journal of Econometrics, Elsevier, vol. 220(2), pages 272-295.
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"Myth or measurement: What does the new minimum wage research say about minimum wages and job loss in the United States?,"
Industrial Relations: A Journal of Economy and Society, Wiley Blackwell, vol. 61(4), pages 384-417, October.
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- Aleksandra Majchrowska & Paweł Strawiński, 2021. "Minimum wage and local employment: A spatial panel approach," Regional Science Policy & Practice, Wiley Blackwell, vol. 13(5), pages 1581-1602, October.
- Aleksandra Majchrowska & Paweł Strawiński, 2022. "Heterogeneous employment effects of minimum wage policies," Working Papers 2022-18, Faculty of Economic Sciences, University of Warsaw.
- Yiren Wang & Liangjun Su & Yichong Zhang, 2022. "Low-rank Panel Quantile Regression: Estimation and Inference," Papers 2210.11062, arXiv.org.
- Baek, Jisun & Lee, Changkeun & Park, WooRam, 2021. "The impact of the minimum wage on the characteristics of new establishments: Evidence from South Korea," Labour Economics, Elsevier, vol. 72(C).
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- Daniel J. Henderson & Christopher F. Parmeter & Liangjun Su, 2017.
"M-Estimation of a Nonparametric Threshold Regression Model,"
Working Papers
2017-15, University of Miami, Department of Economics.
Cited by:
- Yoonseok Lee & Yulong Wang, 2019.
"Threshold Regression with Nonparametric Sample Splitting,"
Papers
1905.13140, arXiv.org, revised Jan 2021.
- Lee, Yoonseok & Wang, Yulong, 2023. "Threshold regression with nonparametric sample splitting," Journal of Econometrics, Elsevier, vol. 235(2), pages 816-842.
- Yoonseok Lee & Yulong Wang, 2019.
"Threshold Regression with Nonparametric Sample Splitting,"
Papers
1905.13140, arXiv.org, revised Jan 2021.
- Su, Liangjun & Ura, Takuya & Zhang, Yichong, 2017.
"Non-separable Models with High-dimensional Data,"
Economics and Statistics Working Papers
15-2017, Singapore Management University, School of Economics.
- Su, Liangjun & Ura, Takuya & Zhang, Yichong, 2019. "Non-separable models with high-dimensional data," Journal of Econometrics, Elsevier, vol. 212(2), pages 646-677.
Cited by:
- Sasaki, Yuya & Ura, Takuya, 2023. "Estimation and inference for policy relevant treatment effects," Journal of Econometrics, Elsevier, vol. 234(2), pages 394-450.
- Ying-Ying Lee & Chu-An Liu, 2024. "Lee Bounds with a Continuous Treatment in Sample Selection," Papers 2411.04312, arXiv.org, revised Jan 2025.
- Sylvia Klosin, 2021. "Automatic Double Machine Learning for Continuous Treatment Effects," Papers 2104.10334, arXiv.org.
- Qingliang Fan & Zijian Guo & Ziwei Mei & Cun-Hui Zhang, 2023. "Inference for Nonlinear Endogenous Treatment Effects Accounting for High-Dimensional Covariate Complexity," Papers 2310.08063, arXiv.org, revised Jun 2024.
- Chunrong Ai & Yue Fang & Haitian Xie, 2024. "Data-driven Policy Learning for Continuous Treatments," Papers 2402.02535, arXiv.org, revised Nov 2024.
- Yuya Sasaki & Takuya Ura & Yichong Zhang, 2020.
"Unconditional Quantile Regression with High Dimensional Data,"
Papers
2007.13659, arXiv.org, revised Feb 2022.
- Yuya Sasaki & Takuya Ura & Yichong Zhang, 2022. "Unconditional quantile regression with high‐dimensional data," Quantitative Economics, Econometric Society, vol. 13(3), pages 955-978, July.
- Stefan Tübbicke, 2020.
"Entropy Balancing for Continuous Treatments,"
CEPA Discussion Papers
21, Center for Economic Policy Analysis.
- Stefan Tubbicke, 2020. "Entropy Balancing for Continuous Treatments," Papers 2001.06281, arXiv.org, revised May 2020.
- Tübbicke Stefan, 2022. "Entropy Balancing for Continuous Treatments," Journal of Econometric Methods, De Gruyter, vol. 11(1), pages 71-89, January.
- Ta-Wei Huang & Eva Ascarza, 2024. "Doing More with Less: Overcoming Ineffective Long-Term Targeting Using Short-Term Signals," Marketing Science, INFORMS, vol. 43(4), pages 863-884, July.
- Rahul Singh & Liyuan Xu & Arthur Gretton, 2020. "Kernel Methods for Causal Functions: Dose, Heterogeneous, and Incremental Response Curves," Papers 2010.04855, arXiv.org, revised Oct 2022.
- Alexander Krei{ss} & Christoph Rothe, 2021. "Inference in Regression Discontinuity Designs with High-Dimensional Covariates," Papers 2110.13725, arXiv.org, revised May 2022.
- Qingliang Fan & Yu-Chin Hsu & Robert P. Lieli & Yichong Zhang, 2022.
"Estimation of Conditional Average Treatment Effects With High-Dimensional Data,"
Journal of Business & Economic Statistics, Taylor & Francis Journals, vol. 40(1), pages 313-327, January.
- Qingliang Fan & Yu-Chin Hsu & Robert P. Lieli & Yichong Zhang, 2019. "Estimation of Conditional Average Treatment Effects with High-Dimensional Data," Papers 1908.02399, arXiv.org, revised Jul 2021.
- Ganesh Karapakula, 2023. "Stable Probability Weighting: Large-Sample and Finite-Sample Estimation and Inference Methods for Heterogeneous Causal Effects of Multivalued Treatments Under Limited Overlap," Papers 2301.05703, arXiv.org, revised Jan 2023.
- Yizhen Xu & Numair Sani & AmirEmad Ghassami & Ilya Shpitser, 2021. "Multiply Robust Causal Mediation Analysis with Continuous Treatments," Papers 2105.09254, arXiv.org, revised Oct 2024.
- Lucas Zhang, 2024. "Continuous difference-in-differences with double/debiased machine learning," Papers 2408.10509, arXiv.org.
- Alexander Kreiss & Christoph Rothe, 2023. "Inference in regression discontinuity designs with high-dimensional covariates," The Econometrics Journal, Royal Economic Society, vol. 26(2), pages 105-123.
- Xie, Haitian, 2024. "Nonlinear and nonseparable structural functions in regression discontinuity designs with a continuous treatment," Journal of Econometrics, Elsevier, vol. 242(1).
- Wang, Wuyi & Su, Liangjun, 2017.
"Identifying Latent Group Structures in Nonlinear Panels,"
Economics and Statistics Working Papers
19-2017, Singapore Management University, School of Economics.
- Wang, Wuyi & Su, Liangjun, 2021. "Identifying latent group structures in nonlinear panels," Journal of Econometrics, Elsevier, vol. 220(2), pages 272-295.
Cited by:
- Yiren Wang & Peter C. B. Phillips & Liangjun Su, 2023.
"Panel Data Models with Time-Varying Latent Group Structures,"
Cowles Foundation Discussion Papers
2364, Cowles Foundation for Research in Economics, Yale University.
- Yiren Wang & Peter C B Phillips & Liangjun Su, 2023. "Panel Data Models with Time-Varying Latent Group Structures," Papers 2307.15863, arXiv.org.
- Wang, Yiren & Phillips, Peter C.B. & Su, Liangjun, 2024. "Panel data models with time-varying latent group structures," Journal of Econometrics, Elsevier, vol. 240(1).
- Xiaorong Yang & Jia Chen & Degui Li & Runze Li, 2023.
"Functional-Coefficient Quantile Regression for Panel Data with Latent Group Structure,"
Papers
2303.13218, arXiv.org.
- Xiaorong Yang & Jia Chen & Degui Li & Runze Li, 2024. "Functional-Coefficient Quantile Regression for Panel Data with Latent Group Structure," Journal of Business & Economic Statistics, Taylor & Francis Journals, vol. 42(3), pages 1026-1040, July.
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- Leng, Xuan & Chen, Heng & Wang, Wendun, 2023. "Multi-dimensional latent group structures with heterogeneous distributions," Journal of Econometrics, Elsevier, vol. 233(1), pages 1-21.
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- Mehrabani, Ali, 2023. "Estimation and identification of latent group structures in panel data," Journal of Econometrics, Elsevier, vol. 235(2), pages 1464-1482.
- Li, Donglin & Wang, Wenyue & Ren, Yanyan, 2024. "Quantile estimation of heterogenous panel quantile model with group structure," Economics Letters, Elsevier, vol. 241(C).
- Su, Liangjun & Wang, Wuyi & Xu, Xingbai, 2023. "Identifying latent group structures in spatial dynamic panels," Journal of Econometrics, Elsevier, vol. 235(2), pages 1955-1980.
- Yiren Wang & Liangjun Su & Yichong Zhang, 2022. "Low-rank Panel Quantile Regression: Estimation and Inference," Papers 2210.11062, arXiv.org.
- Chen, Elynn Y. & Fan, Jianqing & Zhu, Xuening, 2023. "Community network auto-regression for high-dimensional time series," Journal of Econometrics, Elsevier, vol. 235(2), pages 1239-1256.
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- Langevin, R.;, 2024. "Consistent Estimation of Finite Mixtures: An Application to Latent Group Panel Structures," Health, Econometrics and Data Group (HEDG) Working Papers 24/16, HEDG, c/o Department of Economics, University of York.
- Wuyi Wang & Peter C.B. Phillips & Liangjun Su, 2016.
"Homogeneity Pursuit in Panel Data Models: Theory and Applications,"
Cowles Foundation Discussion Papers
2063, Cowles Foundation for Research in Economics, Yale University.
- Wuyi Wang & Peter C. B. Phillips & Liangjun Su, 2018. "Homogeneity pursuit in panel data models: Theory and application," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 33(6), pages 797-815, September.
Cited by:
- Andreas Dzemski & Ryo Okui, 2020.
"Convergence rate of estimators of clustered panel models with misclassification,"
Papers
2008.04708, arXiv.org.
- Dzemski, Andreas & Okui, Ryo, 2021. "Convergence rate of estimators of clustered panel models with misclassification," Economics Letters, Elsevier, vol. 203(C).
- Dzemski, Andreas & Okui, Ryo, 2020. "Convergence rate of estimators of clustered panel models with misclassication," Working Papers in Economics 790, University of Gothenburg, Department of Economics.
- Yiren Wang & Peter C. B. Phillips & Liangjun Su, 2023.
"Panel Data Models with Time-Varying Latent Group Structures,"
Cowles Foundation Discussion Papers
2364, Cowles Foundation for Research in Economics, Yale University.
- Yiren Wang & Peter C B Phillips & Liangjun Su, 2023. "Panel Data Models with Time-Varying Latent Group Structures," Papers 2307.15863, arXiv.org.
- Wang, Yiren & Phillips, Peter C.B. & Su, Liangjun, 2024. "Panel data models with time-varying latent group structures," Journal of Econometrics, Elsevier, vol. 240(1).
- Andreas Dzemski & Ryo Okui, 2024.
"Confidence set for group membership,"
Quantitative Economics, Econometric Society, vol. 15(2), pages 245-277, May.
- Andreas Dzemski & Ryo Okui, 2017. "Confidence set for group membership," Papers 1801.00332, arXiv.org, revised Nov 2023.
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- Boyuan Zhang, 2022. "Incorporating Prior Knowledge of Latent Group Structure in Panel Data Models," Papers 2211.16714, arXiv.org, revised Oct 2023.
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"Multiscale clustering of nonparametric regression curves,"
CeMMAP working papers
CWP08/18, Centre for Microdata Methods and Practice, Institute for Fiscal Studies.
- Vogt, Michael & Linton, Oliver, 2020. "Multiscale clustering of nonparametric regression curves," Journal of Econometrics, Elsevier, vol. 216(1), pages 305-325.
- Leng, Xuan & Chen, Heng & Wang, Wendun, 2023. "Multi-dimensional latent group structures with heterogeneous distributions," Journal of Econometrics, Elsevier, vol. 233(1), pages 1-21.
- Miao, Ke & Su, Liangjun & Wang, Wendun, 2020.
"Panel threshold regressions with latent group structures,"
Journal of Econometrics, Elsevier, vol. 214(2), pages 451-481.
- Ke, Miao & Su, Liangjun & Wang, Wendun, 2019. "Panel threshold regressions with latent group structures," Economics and Statistics Working Papers 13-2019, Singapore Management University, School of Economics.
- Saptorshee Kanto Chakraborty & Massimiliano Mazzanti, 2021.
"Revisiting the literature on the dynamic Environmental Kuznets Curves using a latent structure approach,"
Economia Politica: Journal of Analytical and Institutional Economics, Springer;Fondazione Edison, vol. 38(3), pages 923-941, October.
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- Wang, Wuyi & Su, Liangjun, 2017.
"Identifying Latent Group Structures in Nonlinear Panels,"
Economics and Statistics Working Papers
19-2017, Singapore Management University, School of Economics.
- Wang, Wuyi & Su, Liangjun, 2021. "Identifying latent group structures in nonlinear panels," Journal of Econometrics, Elsevier, vol. 220(2), pages 272-295.
- Denis Chetverikov & Elena Manresa, 2022. "Spectral and post-spectral estimators for grouped panel data models," Papers 2212.13324, arXiv.org, revised Dec 2022.
- Ando, Tomohiro & Bai, Jushan, 2021. "Large-scale generalized linear longitudinal data models with grouped patterns of unobserved heterogeneity," MPRA Paper 111431, University Library of Munich, Germany.
- Nibbering, D. & Paap, R., 2019. "Panel Forecasting with Asymmetric Grouping," Econometric Institute Research Papers EI-2019-30, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute.
- Mehrabani, Ali, 2023. "Estimation and identification of latent group structures in panel data," Journal of Econometrics, Elsevier, vol. 235(2), pages 1464-1482.
- Su, Liangjun & Ju, Gaosheng, 2018. "Identifying latent grouped patterns in panel data models with interactive fixed effects," Journal of Econometrics, Elsevier, vol. 206(2), pages 554-573.
- Okui, Ryo & Wang, Wendun, 2021.
"Heterogeneous structural breaks in panel data models,"
Journal of Econometrics, Elsevier, vol. 220(2), pages 447-473.
- Ryo Okui & Wendun Wang, 2018. "Heterogeneous structural breaks in panel data models," Papers 1801.04672, arXiv.org, revised Nov 2018.
- Max Cytrynbaum, 2020. "Blocked Clusterwise Regression," Papers 2001.11130, arXiv.org.
- Dzemski, Andreas & Okui, Ryo, 2018. "Confidence Set for Group Membership," Working Papers in Economics 727, University of Gothenburg, Department of Economics.
- Didier Nibbering & Richard Paap, 2024. "Forecasting carbon emissions using asymmetric grouping," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 43(6), pages 2228-2256, September.
- Lumsdaine, Robin L. & Okui, Ryo & Wang, Wendun, 2023. "Estimation of panel group structure models with structural breaks in group memberships and coefficients," Journal of Econometrics, Elsevier, vol. 233(1), pages 45-65.
- Su, Liangjun & Wang, Wuyi & Xu, Xingbai, 2023. "Identifying latent group structures in spatial dynamic panels," Journal of Econometrics, Elsevier, vol. 235(2), pages 1955-1980.
- Yiren Wang & Liangjun Su & Yichong Zhang, 2022. "Low-rank Panel Quantile Regression: Estimation and Inference," Papers 2210.11062, arXiv.org.
- Yu, Lu & Gu, Jiaying & Volgushev, Stanislav, 2024. "Spectral clustering with variance information for group structure estimation in panel data," Journal of Econometrics, Elsevier, vol. 241(1).
- Langevin, R.;, 2024. "Consistent Estimation of Finite Mixtures: An Application to Latent Group Panel Structures," Health, Econometrics and Data Group (HEDG) Working Papers 24/16, HEDG, c/o Department of Economics, University of York.
- Marie-Hélène Felt, 2020. "Losing Contact: The Impact of Contactless Payments on Cash Usage," Staff Working Papers 20-56, Bank of Canada.
- Stefan Hoderlein & Liangjun Su & Halbert White & Thomas Tao Yang, 2016.
"Testing for Monotonicity in Unobservables under Unconfoundedness,"
Working Papers
03-2016, Singapore Management University, School of Economics.
Cited by:
- Babii, Andrii & Florens, Jean-Pierre, 2017.
"Are unobservables separable?,"
TSE Working Papers
17-802, Toulouse School of Economics (TSE).
- Andrii Babii & Jean-Pierre Florens, 2020. "Are unobservables separable?," Working Papers hal-02532383, HAL.
- Andrii Babii & Jean-Pierre Florens, 2017. "Are Unobservables Separable?," Papers 1705.01654, arXiv.org, revised Mar 2021.
- Christoph Breunig, 2019. "Specification Testing in Nonparametric Instrumental Quantile Regression," Papers 1909.10129, arXiv.org.
- Su, Liangjun & Ura, Takuya & Zhang, Yichong, 2017.
"Non-separable Models with High-dimensional Data,"
Economics and Statistics Working Papers
15-2017, Singapore Management University, School of Economics.
- Su, Liangjun & Ura, Takuya & Zhang, Yichong, 2019. "Non-separable models with high-dimensional data," Journal of Econometrics, Elsevier, vol. 212(2), pages 646-677.
- Tatiana Komarova & Javier Hidalgo, 2019. "Testing nonparametric shape restrictions," Papers 1909.01675, arXiv.org, revised Jun 2020.
- Nir Billfeld & Moshe Kim, 2024. "Context-dependent Causality (the Non-Nonotonic Case)," Papers 2404.05021, arXiv.org.
- Babii, Andrii & Florens, Jean-Pierre, 2017.
"Are unobservables separable?,"
TSE Working Papers
17-802, Toulouse School of Economics (TSE).
- Xun Lu & Liangjun Su & Halbert White, 2016.
"Granger Causality and Structural Causality in Cross-Section and Panel Data,"
Working Papers
04-2016, Singapore Management University, School of Economics.
Cited by:
- Issam Khelfaoui & Yuantao Xie & Muhammad Hafeez & Danish Ahmed & Houssem Eddine Degha & Hicham Meskher, 2022. "Information Communication Technology and Infant Mortality in Low-Income Countries: Empirical Study Using Panel Data Models," IJERPH, MDPI, vol. 19(12), pages 1-24, June.
- Shujie Ma & Liangjun Su, 2016.
"Estimation of Large Dimensional Factor Models with an Unknown Number of Breaks,"
Working Papers
05-2016, Singapore Management University, School of Economics.
Cited by:
- Barigozzi, Matteo & Cho, Haeran & Fryzlewicz, Piotr, 2018.
"Simultaneous multiple change-point and factor analysis for high-dimensional time series,"
Journal of Econometrics, Elsevier, vol. 206(1), pages 187-225.
- Barigozzi, Matteo & Cho, Haeran & Fryzlewicz, Piotr, 2018. "Simultaneous multiple change-point and factor analysis for high-dimensional time series," LSE Research Online Documents on Economics 88110, London School of Economics and Political Science, LSE Library.
- Barigozzi, Matteo & Cho, Haeran & Fryzlewicz, Piotr, 2018.
"Simultaneous multiple change-point and factor analysis for high-dimensional time series,"
Journal of Econometrics, Elsevier, vol. 206(1), pages 187-225.
- Xun Lu & Su Liangjun, 2015.
"Shrinkage Estimation of Dynamic Panel Data Models with Interactive Fixed Effects,"
Working Papers
02-2015, Singapore Management University, School of Economics.
- Lu, Xun & Su, Liangjun, 2016. "Shrinkage estimation of dynamic panel data models with interactive fixed effects," Journal of Econometrics, Elsevier, vol. 190(1), pages 148-175.
Cited by:
- Ma, Shujie & Su, Liangjun, 2018. "Estimation of large dimensional factor models with an unknown number of breaks," Journal of Econometrics, Elsevier, vol. 207(1), pages 1-29.
- Yiren Wang & Peter C. B. Phillips & Liangjun Su, 2023.
"Panel Data Models with Time-Varying Latent Group Structures,"
Cowles Foundation Discussion Papers
2364, Cowles Foundation for Research in Economics, Yale University.
- Yiren Wang & Peter C B Phillips & Liangjun Su, 2023. "Panel Data Models with Time-Varying Latent Group Structures," Papers 2307.15863, arXiv.org.
- Wang, Yiren & Phillips, Peter C.B. & Su, Liangjun, 2024. "Panel data models with time-varying latent group structures," Journal of Econometrics, Elsevier, vol. 240(1).
- Badi Baltagi & Qu Feng & Chihwa Kao, 2019.
"Structural Changes in Heterogeneous Panels with Endogenous Regressors,"
Center for Policy Research Working Papers
214, Center for Policy Research, Maxwell School, Syracuse University.
- Badi H. Baltagi & Qu Feng & Chihwa Kao, 2019. "Structural changes in heterogeneous panels with endogenous regressors," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 34(6), pages 883-892, September.
- Otilia Boldea & Bettina Drepper & Zhuojiong Gan, 2018.
"Change Point Estimation in Panel Data with Time-Varying Individual Effects,"
Papers
1808.03109, arXiv.org.
- Otilia Boldea & Bettina Drepper & Zhuojiong Gan, 2020. "Change point estimation in panel data with time‐varying individual effects," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 35(6), pages 712-727, September.
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"Post-Selection Inference In Three-Dimensional Panel Data,"
Econometric Theory, Cambridge University Press, vol. 39(3), pages 623-658, June.
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- Miao, Ke & Li, Kunpeng & Su, Liangjun, 2020. "Panel threshold models with interactive fixed effects," Journal of Econometrics, Elsevier, vol. 219(1), pages 137-170.
- Jan Ditzen & Yiannis Karavias & Joakim Westerlund, 2023.
"Multiple structural breaks in interactive effects panel data and the impace of quantitative easing on bank lending,"
Discussion Papers
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Economics and Statistics Working Papers
15-2017, Singapore Management University, School of Economics.
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Cambridge Working Papers in Economics
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"Estimation of Heterogeneous Panels with Structural Breaks,"
Center for Policy Research Working Papers
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Boston College Working Papers in Economics
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"Non-separable Models with High-dimensional Data,"
Economics and Statistics Working Papers
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Economia Politica: Journal of Analytical and Institutional Economics, Springer;Fondazione Edison, vol. 38(3), pages 923-941, October.
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"Interactive Effects Panel Data Models with General Factors and Regressors,"
Monash Econometrics and Business Statistics Working Papers
23/21, Monash University, Department of Econometrics and Business Statistics.
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"Revisiting the literature on the dynamic Environmental Kuznets Curves using a latent structure approach,"
Economia Politica: Journal of Analytical and Institutional Economics, Springer;Fondazione Edison, vol. 38(3), pages 923-941, October.
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Cited by:
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"Estimation of a Partially Linear Regression in Triangular Systems,"
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18-05, Department of Economics, West Virginia University.
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"Nonparametric estimation of additive models with errors-in-variables,"
Econometric Reviews, Taylor & Francis Journals, vol. 41(10), pages 1164-1204, November.
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"Additive Nonparametric Instrumental Regressions: A Guide to Implementation,"
Journal of Econometric Methods, De Gruyter, vol. 6(1), pages 1-25, January.
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- Chi‐Yang Chu & Mingming Jiang, 2021. "Financial depth, income inequality, and economic transition," Southern Economic Journal, John Wiley & Sons, vol. 88(1), pages 199-244, July.
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"Endogeneity in Semiparametric Threshold Regression,"
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- Mustafa Koroglu, 2019. "Growth and Debt: An Endogenous Smooth Coefficient Approach," JRFM, MDPI, vol. 12(1), pages 1-22, February.
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"Identifying Latent Structures in Panel Data,"
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1965, Cowles Foundation for Research in Economics, Yale University.
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- Liangjun Su & Zhentao Shi & Peter C. B. Phillips, 2014. "Identifying Latent Structures in Panel Data," Working Papers 07-2014, Singapore Management University, School of Economics.
Cited by:
- Srinivasan, Shweta & Kholod, Nazar & Chaturvedi, Vaibhav & Ghosh, Probal Pratap & Mathur, Ritu & Clarke, Leon & Evans, Meredydd & Hejazi, Mohamad & Kanudia, Amit & Koti, Poonam Nagar & Liu, Bo & Parik, 2018. "Water for electricity in India: A multi-model study of future challenges and linkages to climate change mitigation," Applied Energy, Elsevier, vol. 210(C), pages 673-684.
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"Identification and estimation of categorical random coefficient models,"
Empirical Economics, Springer, vol. 64(6), pages 2543-2588, June.
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"Panel Data Models with Time-Varying Latent Group Structures,"
Cowles Foundation Discussion Papers
2364, Cowles Foundation for Research in Economics, Yale University.
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Journal of Econometrics, Elsevier, vol. 235(2), pages 1799-1826.
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"Post-Selection Inference In Three-Dimensional Panel Data,"
Econometric Theory, Cambridge University Press, vol. 39(3), pages 623-658, June.
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GLO Discussion Paper Series
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- Tadao Hoshino, 2020. "A Pairwise Strategic Network Formation Model with Group Heterogeneity: With an Application to International Travel," Papers 2012.14886, arXiv.org, revised Feb 2021.
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"Specification testing with grouped fixed effects,"
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- Liu, Yanbo & Phillips, Peter C. B. & Yu, Jun, 2022.
"A Panel Clustering Approach to Analyzing Bubble Behavior,"
Economics and Statistics Working Papers
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- Yanbo Liu & Peter C. B. Phillips & Jun Yu, 2022. "A Panel Clustering Approach to Analyzing Bubble Behavior," Cowles Foundation Discussion Papers 2323, Cowles Foundation for Research in Economics, Yale University.
- Ruiqi Liu & Ben Boukai & Zuofeng Shang, 2019. "Statistical Inference on Partially Linear Panel Model under Unobserved Linearity," Papers 1911.08830, arXiv.org.
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"Nonstationary Panel Models with Latent Group Structures and Cross-Section Dependence,"
Economics and Statistics Working Papers
7-2020, Singapore Management University, School of Economics.
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"The Heterogeneous Effects of the Minimum Wage on Employment Across States,"
Economics and Statistics Working Papers
11-2018, Singapore Management University, School of Economics.
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- Miao, Ke & Su, Liangjun & Wang, Wendun, 2020.
"Panel threshold regressions with latent group structures,"
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- Shujie Ma & Liangjun Su & Yichong Zhang, 2020.
"Detecting Latent Communities in Network Formation Models,"
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2005.03226, arXiv.org, revised Mar 2021.
- Ma, Shujie & Su, Liangjun & Zhang, Yichong, 2020. "Detecting Latent Communities in Network Formation Models," Economics and Statistics Working Papers 12-2020, Singapore Management University, School of Economics.
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"Classification of nonparametric regression functions in heterogeneous panels,"
CeMMAP working papers
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- Michael Vogt & Oliver Linton, 2015. "Classification of nonparametric regression functions in heterogeneous panels," CeMMAP working papers CWP06/15, Centre for Microdata Methods and Practice, Institute for Fiscal Studies.
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"On LASSO for predictive regression,"
Journal of Econometrics, Elsevier, vol. 229(2), pages 322-349.
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- Saptorshee Kanto Chakraborty & Massimiliano Mazzanti, 2021.
"Revisiting the literature on the dynamic Environmental Kuznets Curves using a latent structure approach,"
Economia Politica: Journal of Analytical and Institutional Economics, Springer;Fondazione Edison, vol. 38(3), pages 923-941, October.
- Saptorshee Kanto Chakraborty & Massimiliano Mazzanti, 2021. "Revisiting the literature on the dynamic Environmental Kuznets Curves using a latent structure approach," SEEDS Working Papers 0521, SEEDS, Sustainability Environmental Economics and Dynamics Studies, revised May 2021.
- In Choi & Rui Lin & Yongcheol Shin, 2020.
"Canonical Correlation-based Model Selection for the Multilevel Factors,"
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2008, Nam Duck-Woo Economic Research Institute, Sogang University (Former Research Institute for Market Economy).
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- Jia Chen, 2019.
"Estimating latent group structure in time-varying coefficient panel data models,"
The Econometrics Journal, Royal Economic Society, vol. 22(3), pages 223-240.
- Jia Chen, 2018. "Estimating Latent Group Structure in Time-Varying Coefficient Panel Data Models," Discussion Papers 18/15, Department of Economics, University of York.
- Wang, Wuyi & Su, Liangjun, 2017.
"Identifying Latent Group Structures in Nonlinear Panels,"
Economics and Statistics Working Papers
19-2017, Singapore Management University, School of Economics.
- Wang, Wuyi & Su, Liangjun, 2021. "Identifying latent group structures in nonlinear panels," Journal of Econometrics, Elsevier, vol. 220(2), pages 272-295.
- Simon Freyaldenhoven & Christian Hansen & Jorge Perez Perez & Jesse Shapiro, 2021.
"Visualization, Identification, and stimation in the Linear Panel Event-Study Design,"
Working Papers
21-44, Federal Reserve Bank of Philadelphia.
- Jorge Eduardo Pérez, 2022. "Visualization, identification, and estimation in linear panel event-study design," Colombian Stata Users' Group Meetings 2022 05, Stata Users Group.
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- Simon Freyaldenhoven & Christian Hansen & Jorge Pérez Pérez & Jesse M. Shapiro, 2021. "Visualization, Identification, and Estimation in the Linear Panel Event-Study Design," NBER Working Papers 29170, National Bureau of Economic Research, Inc.
- Jianning Kong & Peter C.B. Phillips & Donggyu Sul, 2017.
"Weak s- Convergence: Theory and Applications,"
Cowles Foundation Discussion Papers
2072, Cowles Foundation for Research in Economics, Yale University.
- Kong, Jianning & Phillips, Peter C.B. & Sul, Donggyu, 2019. "Weak σ-convergence: Theory and applications," Journal of Econometrics, Elsevier, vol. 209(2), pages 185-207.
- Degui Li & Bin Peng & Songqiao Tang & Weibiao Wu, 2023. "Inference of Grouped Time-Varying Network Vector Autoregression Models," Monash Econometrics and Business Statistics Working Papers 5/23, Monash University, Department of Econometrics and Business Statistics.
- Yannick V. Markhof, 2020. "Divide to Conquer? Latent Preference Types and Country-level Heterogeneity," CSAE Working Paper Series 2020-05, Centre for the Study of African Economies, University of Oxford.
- Andrea Orame, 2020. "The role of bank supply in the Italian credit market: evidence from a new regional survey," Temi di discussione (Economic working papers) 1279, Bank of Italy, Economic Research and International Relations Area.
- Yoonseok Lee & Donggyu Sul, 2022.
"Trimmed Mean Group Estimation,"
Advances in Econometrics, in: Essays in Honor of M. Hashem Pesaran: Panel Modeling, Micro Applications, and Econometric Methodology, volume 43, pages 177-202,
Emerald Group Publishing Limited.
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"Panel data analysis with heterogeneous dynamics,"
Journal of Econometrics, Elsevier, vol. 212(2), pages 451-475.
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"The boosted HP filter is more general than you might think,"
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"Nonparametric Testing for Anomaly Effects in Empirical Asset Pricing Models,"
Working Papers
09-2014, Singapore Management University, School of Economics.
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"Identifying Latent Group Structures in Nonlinear Panels,"
Economics and Statistics Working Papers
19-2017, Singapore Management University, School of Economics.
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"Efficient Combined Estimation under Structural Breaks,"
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Cited by:
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"Shrinkage Estimation of Dynamic Panel Data Models with Interactive Fixed Effects,"
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02-2015, Singapore Management University, School of Economics.
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"A Semiparametric Generalized Ridge Estimator and Link with Model Averaging,"
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201412, University of California at Riverside, Department of Economics.
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"Predictive quantile regression with mixed roots and increasing dimensions: The ALQR approach,"
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"Weighted-average least squares estimation of generalized linear models,"
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"Sieve instrumental variable quantile regression estimation of functional coefficient models,"
Journal of Econometrics, Elsevier, vol. 191(1), pages 231-254.
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"Time-varying Model Averaging,"
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202001, University of California at Riverside, Department of Economics.
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"Focused Information Criterion and Model Averaging for Large Panels with a Multifactor Error Structure,"
IEAS Working Paper : academic research
16-A016, Institute of Economics, Academia Sinica, Taipei, Taiwan.
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"Specification Testing for Transformation Models with an Application to Generalized Accelerated Failure-time Models,"
Boston College Working Papers in Economics
817, Boston College Department of Economics, revised 01 May 2013.
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Cited by:
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"Are unobservables separable?,"
TSE Working Papers
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"Nonparametric identification and estimation of transformation models,"
Journal of Econometrics, Elsevier, vol. 188(1), pages 22-39.
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"Specification testing in random coefficient models,"
SFB 649 Discussion Papers
2015-053, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk.
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"Testing for monotonicity in unobservables under unconfoundedness,"
Journal of Econometrics, Elsevier, vol. 193(1), pages 183-202.
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"Non-separable Models with High-dimensional Data,"
Economics and Statistics Working Papers
15-2017, Singapore Management University, School of Economics.
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"Testing for Common Trends in Semiparametric Panel Data Models with Fixed Effects,"
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- Uddin, Md. Main & Mishra, Vinod & Smyth, Russell, 2020. "Income inequality and CO2 emissions in the G7, 1870–2014: Evidence from non-parametric modelling," Energy Economics, Elsevier, vol. 88(C).
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- Hidalgo, Javier & Schafgans, Marcia, 2017. "Inference and testing breaks in large dynamic panels with strong cross sectional dependence," Journal of Econometrics, Elsevier, vol. 196(2), pages 259-274.
- Jiti Gao & Kai Xia, 2017. "Heterogeneous panel data models with cross-sectional dependence," Monash Econometrics and Business Statistics Working Papers 16/17, Monash University, Department of Econometrics and Business Statistics.
- Ivanovski, Kris & Hailemariam, Abebe, 2022. "Time-varying geopolitical risk and oil prices," International Review of Economics & Finance, Elsevier, vol. 77(C), pages 206-221.
- Awaworyi Churchill, Sefa & Inekwe, John & Ivanovski, Kris & Smyth, Russell, 2020. "The Environmental Kuznets Curve across Australian states and territories," Energy Economics, Elsevier, vol. 90(C).
- Jia Chen, 2019.
"Estimating latent group structure in time-varying coefficient panel data models,"
The Econometrics Journal, Royal Economic Society, vol. 22(3), pages 223-240.
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- Javier Hidalgo & Jungyoon Lee, 2014. "A Cusum Test of Common Trends in Large Heterogeneous Panels," STICERD - Econometrics Paper Series 576, Suntory and Toyota International Centres for Economics and Related Disciplines, LSE.
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- Gao, Jiti & Xia, Kai & Zhu, Huanjun, 2020. "Heterogeneous panel data models with cross-sectional dependence," Journal of Econometrics, Elsevier, vol. 219(2), pages 329-353.
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- Ghazouani, Tarek, 2022. "Dynamic impact of globalization on renewable energy consumption: Non-parametric modelling evidence," Technological Forecasting and Social Change, Elsevier, vol. 185(C).
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- Dogan, Ergun & Zhang, Xibin, 2023. "A nonparametric panel data model for examining the contribution of tourism to economic growth," Economic Modelling, Elsevier, vol. 128(C).
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- Khismatullina, Marina & Vogt, Michael, 2023. "Nonparametric comparison of epidemic time trends: The case of COVID-19," Journal of Econometrics, Elsevier, vol. 232(1), pages 87-108.
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- Ye Chen & Liangjun Su & Aman Ullah, 2009.
"Functional Coefficient Estimation with Both Categorical and Continuous Data,"
Working Papers
200909, University of California at Riverside, Department of Economics, revised Jun 2009.
Cited by:
- Tae-Hwy Lee & Shahnaz Parsaeian & Aman Ullah, 2022.
"Forecasting under Structural Breaks Using Improved Weighted Estimation,"
WORKING PAPERS SERIES IN THEORETICAL AND APPLIED ECONOMICS
202212, University of Kansas, Department of Economics.
- Tae-Hwy Lee & Shahnaz Parsaeian & Aman Ullah, 2022. "Forecasting under Structural Breaks Using Improved Weighted Estimation," Working Papers 202210, University of California at Riverside, Department of Economics.
- Tae‐Hwy Lee & Shahnaz Parsaeian & Aman Ullah, 2022. "Forecasting Under Structural Breaks Using Improved Weighted Estimation," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 84(6), pages 1485-1501, December.
- Yan Li & Liangjun Su & Yuewu Xu, 2014.
"A Combined Approach to the Inference of Conditional Factor Models,"
Working Papers
10-2014, Singapore Management University, School of Economics.
- Yan Li & Liangjun Su & Yuewu Xu, 2015. "A Combined Approach to the Inference of Conditional Factor Models," Journal of Business & Economic Statistics, Taylor & Francis Journals, vol. 33(2), pages 203-220, April.
- Tae-Hwy Lee & Shahnaz Parsaeian & Aman Ullah, 2022.
"Forecasting under Structural Breaks Using Improved Weighted Estimation,"
WORKING PAPERS SERIES IN THEORETICAL AND APPLIED ECONOMICS
202212, University of Kansas, Department of Economics.
- Xiangdong Long & Liangjun Su & Aman Ullah, 2009.
"Estimation and Forecasting of Dynamic Conditional Covariance: A Semiparametric Multivariate Model Variables with Econometric Applications,"
Working Papers
200908, University of California at Riverside, Department of Economics, revised Jul 2009.
Cited by:
- Matteo Barigozzi & Christian T. Brownlees & Giampiero M. Gallo & David Veredas, 2010. "Disentangling Systematic and Idiosyncratic Risk for Large Panels of Assets," Econometrics Working Papers Archive wp2010_06, Universita' degli Studi di Firenze, Dipartimento di Statistica, Informatica, Applicazioni "G. Parenti".
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"Volatility spillovers between food and energy markets: A semiparametric approach,"
Energy Economics, Elsevier, vol. 33(6), pages 1155-1164.
- Serra, Teresa, 2011. "Volatility Spillovers between Food and Energy Markets, A Semiparametric Approach," 2011 International Congress, August 30-September 2, 2011, Zurich, Switzerland 115997, European Association of Agricultural Economists.
- Peter C.B. Phillips & Liangjun Su, 2009.
"Nonparametric Structural Estimation via Continuous Location Shifts in an Endogenous Regressor,"
Cowles Foundation Discussion Papers
1702, Cowles Foundation for Research in Economics, Yale University.
Cited by:
- Peter C.B. Phillips & Liangjun Su, 2009. "A Paradox of Inconsistent Parametric and Consistent Nonparametric Regression," Cowles Foundation Discussion Papers 1704, Cowles Foundation for Research in Economics, Yale University.
- Liangjun Su & Zhenlin Yang, 2008.
"Asymptotics and Bootstrap for Transformed Panel Data Regressions,"
Development Economics Working Papers
22477, East Asian Bureau of Economic Research.
- Liangjun Su & Zhenlin Yang, 2009. "Asymptotics and Bootstrap for Transformed Panel Data Regressions," Working Papers 03-2009, Singapore Management University, School of Economics.
Cited by:
- Jin, Fei & Lee, Lung-fei, 2015. "On the bootstrap for Moran’s I test for spatial dependence," Journal of Econometrics, Elsevier, vol. 184(2), pages 295-314.
- Ou Bianling & Long Zhihe & Li Wenqian, 2019. "Bootstrap LM Tests for Spatial Dependence in Panel Data Models with Fixed Effects," Journal of Systems Science and Information, De Gruyter, vol. 7(4), pages 330-343, August.
- Liangjun Su & Zhenlin Yang, 2007.
"Instrumental Variable Quantile Estimation of Spatial Autoregressive Models,"
Development Economics Working Papers
22476, East Asian Bureau of Economic Research.
- Zhenlin Yang & Liangjun Su, 2007. "Instrumental Variable Quantile Estimation of Spatial Autoregressive Models," Working Papers 05-2007, Singapore Management University, School of Economics.
Cited by:
- Su, Liangjun, 2012. "Semiparametric GMM estimation of spatial autoregressive models," Journal of Econometrics, Elsevier, vol. 167(2), pages 543-560.
- Coro Chasco & Julie Le Gallo, 2015. "Heterogeneity in Perceptions of Noise and Air Pollution: A Spatial Quantile Approach on the City of Madrid," Spatial Economic Analysis, Taylor & Francis Journals, vol. 10(3), pages 317-343, September.
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"Smoothed GMM for quantile models,"
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Journal of Econometrics, Elsevier, vol. 182(1), pages 27-44.
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"A Flexible Nonparametric Test for Conditional Independence,"
University of California at San Diego, Economics Working Paper Series
qt3pt89204, Department of Economics, UC San Diego.
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FGV EPGE Economics Working Papers (Ensaios Economicos da EPGE)
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EconomiX Working Papers
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"Testing Conditional Independence Via Empirical Likelihood,"
University of California at San Diego, Economics Working Paper Series
qt35v8g0fm, Department of Economics, UC San Diego.
- Su, Liangjun & White, Halbert, 2014. "Testing conditional independence via empirical likelihood," Journal of Econometrics, Elsevier, vol. 182(1), pages 27-44.
Cited by:
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"A Flexible Nonparametric Test for Conditional Independence,"
University of California at San Diego, Economics Working Paper Series
qt3pt89204, Department of Economics, UC San Diego.
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Journal of Econometrics, Elsevier, vol. 193(1), pages 183-202.
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- Taoufik Bouezmarni & Jeroen V.K. Rombouts & Abderrahim Taamouti, 2011.
"Nonparametric Copula-Based Test for Conditional Independence with Applications to Granger Causality,"
Journal of Business & Economic Statistics, Taylor & Francis Journals, vol. 30(2), pages 275-287, October.
- BOUEZMARNI, Taoufik & ROMBOUTS, Jeroen & TAAMOUTI, Abderrahim, 2009. "A nonparametric copula based test for conditional independence with applications to Granger causality," LIDAM Discussion Papers CORE 2009041, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
- Taoufik Bouezmarni & Jeroen Rombouts & Abderrahim Taamouti, 2009. "A Nonparametric Copula Based Test for Conditional Independence with Applications to Granger Causality," CIRANO Working Papers 2009s-28, CIRANO.
- Taoufik Bouezmarni & Jeroen V.K. Rombouts & Abderrahim Taamouti, 2009. "A Nonparametric Copula Based Test for Conditional Independence with Applications to Granger Causality," Cahiers de recherche 0927, CIRPEE.
- Bouezmarni, Taoufik & Rombouts, Jeroen V. K., 2009. "A nonparametric copula based test for conditional independence with applications to granger causality," UC3M Working papers. Economics we093419, Universidad Carlos III de Madrid. Departamento de EconomÃa.
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EconomiX Working Papers
2014-18, University of Paris Nanterre, EconomiX.
- Bertrand Candelon & Sessi Tokpavi, 2016. "A Nonparametric Test for Granger Causality in Distribution With Application to Financial Contagion," Journal of Business & Economic Statistics, Taylor & Francis Journals, vol. 34(2), pages 240-253, April.
- Xuehu Zhu & Jun Lu & Jun Zhang & Lixing Zhu, 2021. "Testing for conditional independence: A groupwise dimension reduction‐based adaptive‐to‐model approach," Scandinavian Journal of Statistics, Danish Society for Theoretical Statistics;Finnish Statistical Society;Norwegian Statistical Association;Swedish Statistical Association, vol. 48(2), pages 549-576, June.
- Fan, Jianqing & Feng, Yang & Xia, Lucy, 2020. "A projection-based conditional dependence measure with applications to high-dimensional undirected graphical models," Journal of Econometrics, Elsevier, vol. 218(1), pages 119-139.
- Ai, Chunrong & Sun, Li-Hsien & Zhang, Zheng & Zhu, Liping, 2024. "Testing unconditional and conditional independence via mutual information," Journal of Econometrics, Elsevier, vol. 240(2).
- Kyungchul Song, 2007. "Testing Conditional Independence via Rosenblatt Transforms," PIER Working Paper Archive 07-026, Penn Institute for Economic Research, Department of Economics, University of Pennsylvania.
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"Panel data models with time-varying latent group structures,"
Journal of Econometrics, Elsevier, vol. 240(1).
See citations under working paper version above.
- Yiren Wang & Peter C B Phillips & Liangjun Su, 2023. "Panel Data Models with Time-Varying Latent Group Structures," Papers 2307.15863, arXiv.org.
- Yiren Wang & Peter C. B. Phillips & Liangjun Su, 2023. "Panel Data Models with Time-Varying Latent Group Structures," Cowles Foundation Discussion Papers 2364, Cowles Foundation for Research in Economics, Yale University.
- Lu, Xun & Su, Liangjun, 2023.
"Uniform inference in linear panel data models with two-dimensional heterogeneity,"
Journal of Econometrics, Elsevier, vol. 235(2), pages 694-719.
Cited by:
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"Panel Data Models with Time-Varying Latent Group Structures,"
Cowles Foundation Discussion Papers
2364, Cowles Foundation for Research in Economics, Yale University.
- Yiren Wang & Peter C B Phillips & Liangjun Su, 2023. "Panel Data Models with Time-Varying Latent Group Structures," Papers 2307.15863, arXiv.org.
- Wang, Yiren & Phillips, Peter C.B. & Su, Liangjun, 2024. "Panel data models with time-varying latent group structures," Journal of Econometrics, Elsevier, vol. 240(1).
- Yiren Wang & Peter C. B. Phillips & Liangjun Su, 2023.
"Panel Data Models with Time-Varying Latent Group Structures,"
Cowles Foundation Discussion Papers
2364, Cowles Foundation for Research in Economics, Yale University.
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"High-dimensional VARs with common factors,"
Journal of Econometrics, Elsevier, vol. 233(1), pages 155-183.
See citations under working paper version above.
- Ke Miao & Peter C.B. Phillips & Liangjun Su, 2020. "High-Dimensional VARs with Common Factors," Cowles Foundation Discussion Papers 2252, Cowles Foundation for Research in Economics, Yale University.
- Hong, Shengjie & Su, Liangjun & Jiang, Tao, 2023.
"Profile GMM estimation of panel data models with interactive fixed effects,"
Journal of Econometrics, Elsevier, vol. 235(2), pages 927-948.
Cited by:
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"Panel Data Models with Time-Varying Latent Group Structures,"
Cowles Foundation Discussion Papers
2364, Cowles Foundation for Research in Economics, Yale University.
- Yiren Wang & Peter C B Phillips & Liangjun Su, 2023. "Panel Data Models with Time-Varying Latent Group Structures," Papers 2307.15863, arXiv.org.
- Wang, Yiren & Phillips, Peter C.B. & Su, Liangjun, 2024. "Panel data models with time-varying latent group structures," Journal of Econometrics, Elsevier, vol. 240(1).
- Shittu, Ibrahim & Abdul Latiff, Abdul Rais Bin & Baharudin, Siti 'Aisyah, 2024. "Closing the clean cooking gap: Which policies and institutional qualities matter?," Energy Policy, Elsevier, vol. 185(C).
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"Panel Data Models with Time-Varying Latent Group Structures,"
Cowles Foundation Discussion Papers
2364, Cowles Foundation for Research in Economics, Yale University.
- Su, Liangjun & Wang, Wuyi & Xu, Xingbai, 2023.
"Identifying latent group structures in spatial dynamic panels,"
Journal of Econometrics, Elsevier, vol. 235(2), pages 1955-1980.
Cited by:
- Yiren Wang & Peter C. B. Phillips & Liangjun Su, 2023.
"Panel Data Models with Time-Varying Latent Group Structures,"
Cowles Foundation Discussion Papers
2364, Cowles Foundation for Research in Economics, Yale University.
- Yiren Wang & Peter C B Phillips & Liangjun Su, 2023. "Panel Data Models with Time-Varying Latent Group Structures," Papers 2307.15863, arXiv.org.
- Wang, Yiren & Phillips, Peter C.B. & Su, Liangjun, 2024. "Panel data models with time-varying latent group structures," Journal of Econometrics, Elsevier, vol. 240(1).
- Yiren Wang & Peter C. B. Phillips & Liangjun Su, 2023.
"Panel Data Models with Time-Varying Latent Group Structures,"
Cowles Foundation Discussion Papers
2364, Cowles Foundation for Research in Economics, Yale University.
- Wenxin Huang & Liangjun Su & Yuan Zhuang, 2023.
"Detecting Unobserved Heterogeneity in Efficient Prices via Classifier-Lasso,"
Journal of Business & Economic Statistics, Taylor & Francis Journals, vol. 41(2), pages 509-522, April.
Cited by:
- Long, Yunshen & Yan, Jingzhou & Wu, Liang & Long, Xingchen, 2024. "Market price determination: Interpreting quote order imbalance under zero-profit equilibrium," Economic Modelling, Elsevier, vol. 134(C).
- Huang, Wenxin & Jin, Sainan & Phillips, Peter C.B. & Su, Liangjun, 2021.
"Nonstationary panel models with latent group structures and cross-section dependence,"
Journal of Econometrics, Elsevier, vol. 221(1), pages 198-222.
See citations under working paper version above.
- Huang, Wenxin & Jin, Sainan & Phillips, Peter C.B. & Su, Liangjun, 2020. "Nonstationary Panel Models with Latent Group Structures and Cross-Section Dependence," Economics and Statistics Working Papers 7-2020, Singapore Management University, School of Economics.
- Wang, Wuyi & Su, Liangjun, 2021.
"Identifying latent group structures in nonlinear panels,"
Journal of Econometrics, Elsevier, vol. 220(2), pages 272-295.
See citations under working paper version above.
- Wang, Wuyi & Su, Liangjun, 2017. "Identifying Latent Group Structures in Nonlinear Panels," Economics and Statistics Working Papers 19-2017, Singapore Management University, School of Economics.
- Jin, Sainan & Miao, Ke & Su, Liangjun, 2021.
"On factor models with random missing: EM estimation, inference, and cross validation,"
Journal of Econometrics, Elsevier, vol. 222(1), pages 745-777.
See citations under working paper version above.
- Su, Liangjun & Miao, Ke & Jin, Sainan, 2019. "On Factor Models with Random Missing: EM Estimation, Inference, and Cross Validation," Economics and Statistics Working Papers 4-2019, Singapore Management University, School of Economics.
- Xun Lu & Ke Miao & Liangjun Su, 2021.
"Determination of different types of fixed effects in three-dimensional panels,"
Econometric Reviews, Taylor & Francis Journals, vol. 40(9), pages 867-898, October.
See citations under working paper version above.
- Lu, Xun & Miao, Ke & Su, Liangjun, 2018. "Determination of Different Types of Fixed Effects in Three-Dimensional Panels," Economics and Statistics Working Papers 10-2018, Singapore Management University, School of Economics.
- Shujie Ma & Wei Lan & Liangjun Su & Chih-Ling Tsai, 2020.
"Testing Alphas in Conditional Time-Varying Factor Models With High-Dimensional Assets,"
Journal of Business & Economic Statistics, Taylor & Francis Journals, vol. 38(1), pages 214-227, January.
See citations under working paper version above.
- Ma, Shujie & Lan, Wei & Su, Liangjun & Tsai, Chih-Ling, 2018. "Testing Alphas in Conditional Time-Varying Factor Models with High Dimensional Assets," Economics and Statistics Working Papers 9-2018, Singapore Management University, School of Economics.
- Lu, Xun & Su, Liangjun, 2020.
"Determining individual or time effects in panel data models,"
Journal of Econometrics, Elsevier, vol. 215(1), pages 60-83.
Cited by:
- Vira Semenova & Matt Goldman & Victor Chernozhukov & Matt Taddy, 2023. "Inference on heterogeneous treatment effects in high‐dimensional dynamic panels under weak dependence," Quantitative Economics, Econometric Society, vol. 14(2), pages 471-510, May.
- Stanislav Zabojník & Dusan Steinhauser & Viktoria Pestova, 2023. "EU Decarbonisation: Do EU Electricity Costs Harm Export Competitiveness?," The AMFITEATRU ECONOMIC journal, Academy of Economic Studies - Bucharest, Romania, vol. 25(63), pages 522-522, April.
- Steinhauser Dušan & Kittová Zuzana & Khúlová Lucia, 2024. "Relationship Between CO2 Emissions and Trade: The Case of the EU," Intereconomics: Review of European Economic Policy, Sciendo, vol. 59(1), pages 41-47, February.
- Huang, Wenxin & Jin, Sainan & Su, Liangjun, 2020.
"Identifying Latent Grouped Patterns In Cointegrated Panels,"
Econometric Theory, Cambridge University Press, vol. 36(3), pages 410-456, June.
See citations under working paper version above.
- Huang, Wenxin & Jin, Sainan & Su, Liangjun, 2018. "Identifying Latent Grouped Patterns in Cointegrated Panels," Economics and Statistics Working Papers 3-2019, Singapore Management University, School of Economics.
- Su, Liangjun & Wang, Xia, 2020.
"Testing For Structural Changes In Factor Models Via A Nonparametric Regression,"
Econometric Theory, Cambridge University Press, vol. 36(6), pages 1127-1158, December.
Cited by:
- Yiren Wang & Peter C. B. Phillips & Liangjun Su, 2023.
"Panel Data Models with Time-Varying Latent Group Structures,"
Cowles Foundation Discussion Papers
2364, Cowles Foundation for Research in Economics, Yale University.
- Yiren Wang & Peter C B Phillips & Liangjun Su, 2023. "Panel Data Models with Time-Varying Latent Group Structures," Papers 2307.15863, arXiv.org.
- Wang, Yiren & Phillips, Peter C.B. & Su, Liangjun, 2024. "Panel data models with time-varying latent group structures," Journal of Econometrics, Elsevier, vol. 240(1).
- Chen, Qitong & Hong, Yongmiao & Li, Haiqi, 2024. "Time-varying forecast combination for factor-augmented regressions with smooth structural changes," Journal of Econometrics, Elsevier, vol. 240(1).
- Bai, Jushan & Duan, Jiangtao & Han, Xu, 2024.
"The likelihood ratio test for structural changes in factor models,"
Journal of Econometrics, Elsevier, vol. 238(2).
- Jushan Bai & Jiangtao Duan & Xu Han, 2022. "Likelihood ratio test for structural changes in factor models," Papers 2206.08052, arXiv.org, revised Dec 2023.
- Fu, Zhonghao & Hong, Yongmiao & Wang, Xia, 2023. "Testing for structural changes in large dimensional factor models via discrete Fourier transform," Journal of Econometrics, Elsevier, vol. 233(1), pages 302-331.
- Yang, Qing & Zhang, Yi, 2022. "Change-point detection for the link function in a single-index model," Statistics & Probability Letters, Elsevier, vol. 186(C).
- Wei, Jie & Zhang, Yonghui, 2020. "A time-varying diffusion index forecasting model," Economics Letters, Elsevier, vol. 193(C).
- Yiren Wang & Peter C. B. Phillips & Liangjun Su, 2023.
"Panel Data Models with Time-Varying Latent Group Structures,"
Cowles Foundation Discussion Papers
2364, Cowles Foundation for Research in Economics, Yale University.
- Miao, Ke & Li, Kunpeng & Su, Liangjun, 2020.
"Panel threshold models with interactive fixed effects,"
Journal of Econometrics, Elsevier, vol. 219(1), pages 137-170.
Cited by:
- Piaopeng Song & Yuxiao Gu & Bin Su & Arifa Tanveer & Qiao Peng & Weijun Gao & Shaomin Wu & Shihong Zeng, 2023. "The Impact of Green Technology Research and Development (R&D) Investment on Performance: A Case Study of Listed Energy Companies in Beijing, China," Sustainability, MDPI, vol. 15(16), pages 1-24, August.
- Paravee Maneejuk & Woraphon Yamaka, 2021. "The Impact of Higher Education on Economic Growth in ASEAN-5 Countries," Sustainability, MDPI, vol. 13(2), pages 1-28, January.
- Miao, Ke & Su, Liangjun & Wang, Wendun, 2020.
"Panel threshold regressions with latent group structures,"
Journal of Econometrics, Elsevier, vol. 214(2), pages 451-481.
See citations under working paper version above.
- Ke, Miao & Su, Liangjun & Wang, Wendun, 2019. "Panel threshold regressions with latent group structures," Economics and Statistics Working Papers 13-2019, Singapore Management University, School of Economics.
- Liangjun Su & Xia Wang & Sainan Jin, 2019.
"Sieve Estimation of Time-Varying Panel Data Models With Latent Structures,"
Journal of Business & Economic Statistics, Taylor & Francis Journals, vol. 37(2), pages 334-349, April.
Cited by:
- Fu, Zhonghao & Hong, Yongmiao & Su, Liangjun & Wang, Xia, 2023. "Specification tests for time-varying coefficient models," Journal of Econometrics, Elsevier, vol. 235(2), pages 720-744.
- Boyuan Zhang, 2020. "Forecasting with Bayesian Grouped Random Effects in Panel Data," Papers 2007.02435, arXiv.org, revised Oct 2020.
- Yiren Wang & Peter C. B. Phillips & Liangjun Su, 2023.
"Panel Data Models with Time-Varying Latent Group Structures,"
Cowles Foundation Discussion Papers
2364, Cowles Foundation for Research in Economics, Yale University.
- Yiren Wang & Peter C B Phillips & Liangjun Su, 2023. "Panel Data Models with Time-Varying Latent Group Structures," Papers 2307.15863, arXiv.org.
- Wang, Yiren & Phillips, Peter C.B. & Su, Liangjun, 2024. "Panel data models with time-varying latent group structures," Journal of Econometrics, Elsevier, vol. 240(1).
- Xiaorong Yang & Jia Chen & Degui Li & Runze Li, 2023.
"Functional-Coefficient Quantile Regression for Panel Data with Latent Group Structure,"
Papers
2303.13218, arXiv.org.
- Xiaorong Yang & Jia Chen & Degui Li & Runze Li, 2024. "Functional-Coefficient Quantile Regression for Panel Data with Latent Group Structure," Journal of Business & Economic Statistics, Taylor & Francis Journals, vol. 42(3), pages 1026-1040, July.
- Huang, Danyang & Hu, Wei & Jing, Bingyi & Zhang, Bo, 2023. "Grouped spatial autoregressive model," Computational Statistics & Data Analysis, Elsevier, vol. 178(C).
- Oh, Dong Hwan & Patton, Andrew J., 2023. "Dynamic factor copula models with estimated cluster assignments," Journal of Econometrics, Elsevier, vol. 237(2).
- Sun, Yan & Wan, Chuang & Zhang, Wenyang & Zhong, Wei, 2024. "A Multi-Kink quantile regression model with common structure for panel data analysis," Journal of Econometrics, Elsevier, vol. 239(2).
- Vasilis Sarafidis & Tom Wansbeek, 2020. "Celebrating 40 Years of Panel Data Analysis: Past, Present and Future," Monash Econometrics and Business Statistics Working Papers 6/20, Monash University, Department of Econometrics and Business Statistics.
- Boyuan Zhang, 2022. "Incorporating Prior Knowledge of Latent Group Structure in Panel Data Models," Papers 2211.16714, arXiv.org, revised Oct 2023.
- Dong Hwan Oh & Andrew J. Patton, 2021. "Dynamic Factor Copula Models with Estimated Cluster Assignments," Finance and Economics Discussion Series 2021-029r1, Board of Governors of the Federal Reserve System (U.S.), revised 06 May 2022.
- Liu, Ruiqi & Shang, Zuofeng & Zhang, Yonghui & Zhou, Qiankun, 2020.
"Identification and estimation in panel models with overspecified number of groups,"
Journal of Econometrics, Elsevier, vol. 215(2), pages 574-590.
- Ruiqi Liu & Anton Schick & Zuofeng Shang & Yonghui Zhang & Qiankun Zhou, 2018. "Identification and estimation in panel models with overspecified number of groups," Departmental Working Papers 2018-03, Department of Economics, Louisiana State University.
- Freeman, Hugo & Weidner, Martin, 2023. "Linear panel regressions with two-way unobserved heterogeneity," Journal of Econometrics, Elsevier, vol. 237(1).
- Huang, Wenxin & Jin, Sainan & Phillips, Peter C.B. & Su, Liangjun, 2020.
"Nonstationary Panel Models with Latent Group Structures and Cross-Section Dependence,"
Economics and Statistics Working Papers
7-2020, Singapore Management University, School of Economics.
- Huang, Wenxin & Jin, Sainan & Phillips, Peter C.B. & Su, Liangjun, 2021. "Nonstationary panel models with latent group structures and cross-section dependence," Journal of Econometrics, Elsevier, vol. 221(1), pages 198-222.
- Miao, Ke & Su, Liangjun & Wang, Wendun, 2020.
"Panel threshold regressions with latent group structures,"
Journal of Econometrics, Elsevier, vol. 214(2), pages 451-481.
- Ke, Miao & Su, Liangjun & Wang, Wendun, 2019. "Panel threshold regressions with latent group structures," Economics and Statistics Working Papers 13-2019, Singapore Management University, School of Economics.
- Wang, Wuyi & Su, Liangjun, 2017.
"Identifying Latent Group Structures in Nonlinear Panels,"
Economics and Statistics Working Papers
19-2017, Singapore Management University, School of Economics.
- Wang, Wuyi & Su, Liangjun, 2021. "Identifying latent group structures in nonlinear panels," Journal of Econometrics, Elsevier, vol. 220(2), pages 272-295.
- Degui Li & Bin Peng & Songqiao Tang & Weibiao Wu, 2023. "Inference of Grouped Time-Varying Network Vector Autoregression Models," Monash Econometrics and Business Statistics Working Papers 5/23, Monash University, Department of Econometrics and Business Statistics.
- Zhan Gao & Zhentao Shi, 2018.
"Implementing Convex Optimization in R: Two Econometric Examples,"
Papers
1806.10423, arXiv.org, revised Aug 2019.
- Zhan Gao & Zhentao Shi, 2021. "Implementing Convex Optimization in R: Two Econometric Examples," Computational Economics, Springer;Society for Computational Economics, vol. 58(4), pages 1127-1135, December.
- Mehrabani, Ali, 2023. "Estimation and identification of latent group structures in panel data," Journal of Econometrics, Elsevier, vol. 235(2), pages 1464-1482.
- Okui, Ryo & Wang, Wendun, 2021.
"Heterogeneous structural breaks in panel data models,"
Journal of Econometrics, Elsevier, vol. 220(2), pages 447-473.
- Ryo Okui & Wendun Wang, 2018. "Heterogeneous structural breaks in panel data models," Papers 1801.04672, arXiv.org, revised Nov 2018.
- Lu, Xun & Su, Liangjun, 2023. "Uniform inference in linear panel data models with two-dimensional heterogeneity," Journal of Econometrics, Elsevier, vol. 235(2), pages 694-719.
- Hong, Shengjie & Su, Liangjun & Jiang, Tao, 2023. "Profile GMM estimation of panel data models with interactive fixed effects," Journal of Econometrics, Elsevier, vol. 235(2), pages 927-948.
- Daniel Czarnowske, 2022. "A Classifier-Lasso Approach for Estimating Production Functions with Latent Group Structures," Papers 2203.02220, arXiv.org.
- Su, Liangjun & Wang, Wuyi & Xu, Xingbai, 2023. "Identifying latent group structures in spatial dynamic panels," Journal of Econometrics, Elsevier, vol. 235(2), pages 1955-1980.
- Yiren Wang & Liangjun Su & Yichong Zhang, 2022. "Low-rank Panel Quantile Regression: Estimation and Inference," Papers 2210.11062, arXiv.org.
- Degui Li & Bin Peng & Songqiao Tang & Weibiao Wu, 2023. "Estimation of Grouped Time-Varying Network Vector Autoregression Models," Papers 2303.10117, arXiv.org, revised Mar 2024.
- Katerina Chrysikou & George Kapetanios, 2024. "Heterogeneous Grouping Structures in Panel Data," Papers 2407.19509, arXiv.org.
- Langevin, R.;, 2024. "Consistent Estimation of Finite Mixtures: An Application to Latent Group Panel Structures," Health, Econometrics and Data Group (HEDG) Working Papers 24/16, HEDG, c/o Department of Economics, University of York.
- Zhentao Shi & Liangjun Su & Tian Xie, 2020. "L2-Relaxation: With Applications to Forecast Combination and Portfolio Analysis," Papers 2010.09477, arXiv.org, revised Aug 2022.
- Feng, Guohua & Peng, Bin & Su, Liangjun & Yang, Thomas Tao, 2019.
"Semi-parametric single-index panel data models with interactive fixed effects: Theory and practice,"
Journal of Econometrics, Elsevier, vol. 212(2), pages 607-622.
Cited by:
- Juodis, Arturas & Sarafidis, Vasilis, 2020.
"An Incidental Parameters Free Inference Approach for Panels with Common Shocks,"
MPRA Paper
104906, University Library of Munich, Germany.
- Juodis, Artūras & Sarafidis, Vasilis, 2022. "An incidental parameters free inference approach for panels with common shocks," Journal of Econometrics, Elsevier, vol. 229(1), pages 19-54.
- Fei Liu & Jiti Gao & Yanrong Yang, 2019. "Nonparametric Estimation in Panel Data Models with Heterogeneity and Time Varyingness," Monash Econometrics and Business Statistics Working Papers 24/19, Monash University, Department of Econometrics and Business Statistics.
- Jiti Gao & Fei Liu & Bin Peng & Yayi Yan, 2020.
"Binary Response Models for Heterogeneous Panel Data with Interactive Fixed Effects,"
Papers
2012.03182, arXiv.org, revised Nov 2021.
- Gao, Jiti & Liu, Fei & Peng, Bin & Yan, Yayi, 2023. "Binary response models for heterogeneous panel data with interactive fixed effects," Journal of Econometrics, Elsevier, vol. 235(2), pages 1654-1679.
- Juodis, Arturas & Sarafidis, Vasilis, 2020.
"An Incidental Parameters Free Inference Approach for Panels with Common Shocks,"
MPRA Paper
104906, University Library of Munich, Germany.
- Liangjun Su & Pai Xu, 2019.
"Common threshold in quantile regressions with an application to pricing for reputation,"
Econometric Reviews, Taylor & Francis Journals, vol. 38(4), pages 417-450, April.
Cited by:
- Li, Zheng & Zeng, Jingjing & Hensher, David A., 2023. "An efficient approach to structural breaks and the case of automobile gasoline consumption in Australia," Transportation Research Part A: Policy and Practice, Elsevier, vol. 169(C).
- Junho Lee & Ying Sun & Huixia Judy Wang, 2021. "Spatial cluster detection with threshold quantile regression," Environmetrics, John Wiley & Sons, Ltd., vol. 32(8), December.
- Martins, Luis F., 2021. "The US debt–growth nexus along the business cycle," The North American Journal of Economics and Finance, Elsevier, vol. 58(C).
- Hong, Yanran & Li, Pan & Wang, Lu & Zhang, Yaojie, 2023. "New evidence of extreme risk transmission between financial stress and international crude oil markets," Research in International Business and Finance, Elsevier, vol. 64(C).
- Su, Liangjun & Ura, Takuya & Zhang, Yichong, 2019.
"Non-separable models with high-dimensional data,"
Journal of Econometrics, Elsevier, vol. 212(2), pages 646-677.
See citations under working paper version above.
- Su, Liangjun & Ura, Takuya & Zhang, Yichong, 2017. "Non-separable Models with High-dimensional Data," Economics and Statistics Working Papers 15-2017, Singapore Management University, School of Economics.
- Wang, Wuyi & Phillips, Peter C.B. & Su, Liangjun, 2019.
"The heterogeneous effects of the minimum wage on employment across states,"
Economics Letters, Elsevier, vol. 174(C), pages 179-185.
See citations under working paper version above.
- Wang, Wuyi & Phillips, Peter C.B. & Su, Liangjun, 2018. "The Heterogeneous Effects of the Minimum Wage on Employment Across States," Economics and Statistics Working Papers 11-2018, Singapore Management University, School of Economics.
- Ma, Shujie & Su, Liangjun, 2018.
"Estimation of large dimensional factor models with an unknown number of breaks,"
Journal of Econometrics, Elsevier, vol. 207(1), pages 1-29.
Cited by:
- Zhou, Ruichao & Wu, Jianhong, 2023. "Determining the number of change-points in high-dimensional factor models by cross-validation with matrix completion," Economics Letters, Elsevier, vol. 232(C).
- Badi Baltagi & Qu Feng & Chihwa Kao, 2019.
"Structural Changes in Heterogeneous Panels with Endogenous Regressors,"
Center for Policy Research Working Papers
214, Center for Policy Research, Maxwell School, Syracuse University.
- Badi H. Baltagi & Qu Feng & Chihwa Kao, 2019. "Structural changes in heterogeneous panels with endogenous regressors," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 34(6), pages 883-892, September.
- Urga, Giovanni & Wang, Fa, 2022. "Estimation and Inference for High Dimensional Factor Model with Regime Switching," MPRA Paper 117012, University Library of Munich, Germany, revised 10 Apr 2023.
- Duan, Jiangtao & Bai, Jushan & Han, Xu, 2023.
"Quasi-maximum likelihood estimation of break point in high-dimensional factor models,"
Journal of Econometrics, Elsevier, vol. 233(1), pages 209-236.
- Jiangtao Duan & Jushan Bai & Xu Han, 2021. "Quasi-maximum likelihood estimation of break point in high-dimensional factor models," Papers 2102.12666, arXiv.org, revised Mar 2021.
- Thomas Despois & Catherine Doz, 2021. "Identifying and interpreting the factors in factor models via sparsity: Different approaches," Working Papers halshs-02235543, HAL.
- Wang, Lu & Zhou, Ruichao & Wu, Jianhong, 2021. "Determining the number of breaks in large dimensional factor models with structural changes," Economics Letters, Elsevier, vol. 199(C).
- Li, Degui, 2024. "Estimation of Large Dynamic Covariance Matrices: A Selective Review," Econometrics and Statistics, Elsevier, vol. 29(C), pages 16-30.
- Wang, Lu & Wu, Jianhong, 2022. "Estimation of high-dimensional factor models with multiple structural changes," Economic Modelling, Elsevier, vol. 108(C).
- Urga, Giovanni & Wang, Fa, 2022.
"Estimation and inference for high dimensional factor model with regime switching,"
MPRA Paper
113172, University Library of Munich, Germany.
- Giovanni Urga & Fa Wang, 2022. "Estimation and Inference for High Dimensional Factor Model with Regime Switching," Papers 2205.12126, arXiv.org, revised Apr 2023.
- Wu, Jianhong, 2021. "Estimation of high dimensional factor model with multiple threshold-type regime shifts," Computational Statistics & Data Analysis, Elsevier, vol. 157(C).
- Catherine Doz & Peter Fuleky, 2019.
"Dynamic Factor Models,"
PSE Working Papers
halshs-02262202, HAL.
- Catherine Doz & Peter Fuleky, 2020. "Dynamic Factor Models," Post-Print halshs-02491811, HAL.
- Catherine Doz & Peter Fuleky, 2019. "Dynamic Factor Models," Working Papers 2019-4, University of Hawaii Economic Research Organization, University of Hawaii at Manoa.
- Catherine Doz & Peter Fuleky, 2019. "Dynamic Factor Models," Working Papers halshs-02262202, HAL.
- Catherine Doz & Peter Fuleky, 2020. "Dynamic Factor Models," PSE-Ecole d'économie de Paris (Postprint) halshs-02491811, HAL.
- Bai, Jushan & Duan, Jiangtao & Han, Xu, 2024.
"The likelihood ratio test for structural changes in factor models,"
Journal of Econometrics, Elsevier, vol. 238(2).
- Jushan Bai & Jiangtao Duan & Xu Han, 2022. "Likelihood ratio test for structural changes in factor models," Papers 2206.08052, arXiv.org, revised Dec 2023.
- Xialu Liu & Elynn Y. Chen, 2022. "Identification and estimation of threshold matrix‐variate factor models," Scandinavian Journal of Statistics, Danish Society for Theoretical Statistics;Finnish Statistical Society;Norwegian Statistical Association;Swedish Statistical Association, vol. 49(3), pages 1383-1417, September.
- Thomas Despois & Catherine Doz, 2021. "Identifying and interpreting the factors in factor models via sparsity: Different approaches," PSE Working Papers halshs-02235543, HAL.
- Bai, Jushan & Han, Xu & Shi, Yutang, 2020. "Estimation and inference of change points in high-dimensional factor models," Journal of Econometrics, Elsevier, vol. 219(1), pages 66-100.
- Wang, Hanchao & Peng, Bin & Li, Degui & Leng, Chenlei, 2021. "Nonparametric estimation of large covariance matrices with conditional sparsity," Journal of Econometrics, Elsevier, vol. 223(1), pages 53-72.
- Urga, Giovanni & Wang, Fa, 2024. "Estimation and inference for high dimensional factor model with regime switching," Journal of Econometrics, Elsevier, vol. 241(2).
- Yiren Wang & Liangjun Su & Yichong Zhang, 2022. "Low-rank Panel Quantile Regression: Estimation and Inference," Papers 2210.11062, arXiv.org.
- Baltagi, Badi H. & Kao, Chihwa & Wang, Fa, 2021.
"Estimating and testing high dimensional factor models with multiple structural changes,"
Journal of Econometrics, Elsevier, vol. 220(2), pages 349-365.
- Baltagi, Badi H. & Kao, Chihwa & Wang, Fa, 2016. "Estimating and testing high dimensional factor models with multiple structural changes," MPRA Paper 98489, University Library of Munich, Germany, revised 26 Jul 2019.
- Xialu Liu & John Guerard & Rong Chen & Ruey Tsay, 2024. "Improving Estimation of Portfolio Risk Using New Statistical Factors," Papers 2409.17182, arXiv.org.
- Ma, Chenchen & Tu, Yundong, 2023. "Group fused Lasso for large factor models with multiple structural breaks," Journal of Econometrics, Elsevier, vol. 233(1), pages 132-154.
- Su, Liangjun & Ju, Gaosheng, 2018.
"Identifying latent grouped patterns in panel data models with interactive fixed effects,"
Journal of Econometrics, Elsevier, vol. 206(2), pages 554-573.
Cited by:
- Yiren Wang & Peter C. B. Phillips & Liangjun Su, 2023.
"Panel Data Models with Time-Varying Latent Group Structures,"
Cowles Foundation Discussion Papers
2364, Cowles Foundation for Research in Economics, Yale University.
- Yiren Wang & Peter C B Phillips & Liangjun Su, 2023. "Panel Data Models with Time-Varying Latent Group Structures," Papers 2307.15863, arXiv.org.
- Wang, Yiren & Phillips, Peter C.B. & Su, Liangjun, 2024. "Panel data models with time-varying latent group structures," Journal of Econometrics, Elsevier, vol. 240(1).
- Lamarche, Carlos & Parker, Thomas, 2023.
"Wild bootstrap inference for penalized quantile regression for longitudinal data,"
Journal of Econometrics, Elsevier, vol. 235(2), pages 1799-1826.
- Carlos Lamarche & Thomas Parker, 2022. "Wild Bootstrap Inference For Penalized Quantile Regression For Longitudinal Data," Working Papers 22003 Classification-C15,, University of Waterloo, Department of Economics.
- Carlos Lamarche & Thomas Parker, 2020. "Wild Bootstrap Inference for Penalized Quantile Regression for Longitudinal Data," Papers 2004.05127, arXiv.org, revised May 2022.
- Jorge A. Rivero, 2023. "Unobserved Grouped Heteroskedasticity and Fixed Effects," Papers 2310.14068, arXiv.org, revised Oct 2023.
- Chiang, Harold D. & Rodrigue, Joel & Sasaki, Yuya, 2023.
"Post-Selection Inference In Three-Dimensional Panel Data,"
Econometric Theory, Cambridge University Press, vol. 39(3), pages 623-658, June.
- Harold D. Chiang & Joel Rodrigue & Yuya Sasaki, 2019. "Post-Selection Inference in Three-Dimensional Panel Data," Papers 1904.00211, arXiv.org, revised Apr 2019.
- Miao, Ke & Li, Kunpeng & Su, Liangjun, 2020. "Panel threshold models with interactive fixed effects," Journal of Econometrics, Elsevier, vol. 219(1), pages 137-170.
- Boyuan Zhang, 2022. "Incorporating Prior Knowledge of Latent Group Structure in Panel Data Models," Papers 2211.16714, arXiv.org, revised Oct 2023.
- Liu, Ruiqi & Shang, Zuofeng & Zhang, Yonghui & Zhou, Qiankun, 2020.
"Identification and estimation in panel models with overspecified number of groups,"
Journal of Econometrics, Elsevier, vol. 215(2), pages 574-590.
- Ruiqi Liu & Anton Schick & Zuofeng Shang & Yonghui Zhang & Qiankun Zhou, 2018. "Identification and estimation in panel models with overspecified number of groups," Departmental Working Papers 2018-03, Department of Economics, Louisiana State University.
- Michael Vogt & Oliver Linton, 2018.
"Multiscale clustering of nonparametric regression curves,"
CeMMAP working papers
CWP08/18, Centre for Microdata Methods and Practice, Institute for Fiscal Studies.
- Vogt, Michael & Linton, Oliver, 2020. "Multiscale clustering of nonparametric regression curves," Journal of Econometrics, Elsevier, vol. 216(1), pages 305-325.
- Huang, Wenxin & Jin, Sainan & Phillips, Peter C.B. & Su, Liangjun, 2020.
"Nonstationary Panel Models with Latent Group Structures and Cross-Section Dependence,"
Economics and Statistics Working Papers
7-2020, Singapore Management University, School of Economics.
- Huang, Wenxin & Jin, Sainan & Phillips, Peter C.B. & Su, Liangjun, 2021. "Nonstationary panel models with latent group structures and cross-section dependence," Journal of Econometrics, Elsevier, vol. 221(1), pages 198-222.
- Wang, Wuyi & Phillips, Peter C.B. & Su, Liangjun, 2018.
"The Heterogeneous Effects of the Minimum Wage on Employment Across States,"
Economics and Statistics Working Papers
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Cambridge Working Papers in Economics
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Journal of the American Statistical Association, Taylor & Francis Journals, vol. 111(516), pages 1804-1819, October.
Cited by:
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"Panel Data Models with Time-Varying Latent Group Structures,"
Cowles Foundation Discussion Papers
2364, Cowles Foundation for Research in Economics, Yale University.
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Center for Policy Research Working Papers
214, Center for Policy Research, Maxwell School, Syracuse University.
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1808.03109, arXiv.org.
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"Post-Selection Inference In Three-Dimensional Panel Data,"
Econometric Theory, Cambridge University Press, vol. 39(3), pages 623-658, June.
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"Multiple structural breaks in interactive effects panel data and the impace of quantitative easing on bank lending,"
Discussion Papers
23-02, Department of Economics, University of Birmingham.
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"Nonstationary Panel Models with Latent Group Structures and Cross-Section Dependence,"
Economics and Statistics Working Papers
7-2020, Singapore Management University, School of Economics.
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Economia Politica: Journal of Analytical and Institutional Economics, Springer;Fondazione Edison, vol. 38(3), pages 923-941, October.
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Boston University - Department of Economics - Working Papers Series
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"Interactive Effects Panel Data Models with General Factors and Regressors,"
Monash Econometrics and Business Statistics Working Papers
23/21, Monash University, Department of Econometrics and Business Statistics.
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"Heterogeneous structural breaks in panel data models,"
Journal of Econometrics, Elsevier, vol. 220(2), pages 447-473.
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"Shrinkage Estimation Of Regression Models With Multiple Structural Changes,"
Econometric Theory, Cambridge University Press, vol. 32(6), pages 1376-1433, December.
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"Shrinkage estimation of dynamic panel data models with interactive fixed effects,"
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"Sieve instrumental variable quantile regression estimation of functional coefficient models,"
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Cited by:
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"Panel Data Models with Time-Varying Latent Group Structures,"
Cowles Foundation Discussion Papers
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"Change Point Estimation in Panel Data with Time-Varying Individual Effects,"
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1808.03109, arXiv.org.
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"Post-Selection Inference In Three-Dimensional Panel Data,"
Econometric Theory, Cambridge University Press, vol. 39(3), pages 623-658, June.
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"Multiple structural breaks in interactive effects panel data and the impace of quantitative easing on bank lending,"
Discussion Papers
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"Nonstationary Panel Models with Latent Group Structures and Cross-Section Dependence,"
Economics and Statistics Working Papers
7-2020, Singapore Management University, School of Economics.
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Journal of Econometrics, Elsevier, vol. 220(2), pages 447-473.
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"Efficient estimation of nonparametric regression in the presence of dynamic heteroskedasticity,"
Journal of Econometrics, Elsevier, vol. 213(2), pages 608-631.
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"Nonparametric testing for anomaly effects in empirical asset pricing models,"
Empirical Economics, Springer, vol. 48(1), pages 9-36, February.
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"Specification test for panel data models with interactive fixed effects,"
Journal of Econometrics, Elsevier, vol. 186(1), pages 222-244.
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Econometric Reviews, Taylor & Francis Journals, vol. 34(6-10), pages 1057-1088, December.
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Discussion Paper
2015-003, Tilburg University, Center for Economic Research.
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8a4b2e5d-6787-4685-8b9e-1, Tilburg University, School of Economics and Management.
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Computational Statistics & Data Analysis, Elsevier, vol. 138(C), pages 107-125.
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IZA Discussion Papers
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Computational Statistics & Data Analysis, Elsevier, vol. 55(1), pages 475-490, January.
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"GMM Estimation of Fixed Effects Dynamic Panel Data Models with Spatial Lag and Spatial Errors (Replaced by CentER DP 2015-003),"
Discussion Paper
2011-134, Tilburg University, Center for Economic Research.
- Cizek, P. & Jacobs, J.P.A.M. & Ligthart, J.E. & Vrijburg, H., 2011. "GMM Estimation of Fixed Effects Dynamic Panel Data Models with Spatial Lag and Spatial Errors (Replaced by CentER DP 2015-003)," Other publications TiSEM b80cf367-c435-4f20-8e4c-8, Tilburg University, School of Economics and Management.
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CESifo Working Paper Series
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IZA Discussion Papers
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Economics and Statistics Working Papers
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Small Business Economics, Springer, vol. 43(1), pages 213-228, June.
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"A Spatial Dynamic Panel Model with Random Effects Applied to Commuting Times,"
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"Structural change estimation in time series regressions with endogenous variables,"
Economics Letters, Elsevier, vol. 125(3), pages 415-421.
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"Robustify Financial Time Series Forecasting with Bagging,"
Econometric Reviews, Taylor & Francis Journals, vol. 33(5-6), pages 575-605, August.
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"Economic Predictions With Big Data: The Illusion of Sparsity,"
Econometrica, Econometric Society, vol. 89(5), pages 2409-2437, September.
- Domenico Giannone & Michele Lenza & Giorgio E. Primiceri, 2018. "Economic Predictions with Big Data: The Illusion of Sparsity," Liberty Street Economics 20180521, Federal Reserve Bank of New York.
- Domenico Giannone & Michele Lenza & Giorgio E. Primiceri, 2018. "Economic predictions with big data: the illusion of sparsity," Staff Reports 847, Federal Reserve Bank of New York.
- Giannone, Domenico & Lenza, Michele & Primiceri, Giorgio, 2017. "Economic Predictions with Big Data: The Illusion Of Sparsity," CEPR Discussion Papers 12256, C.E.P.R. Discussion Papers.
- Giannone, Domenico & Lenza, Michele & Primiceri, Giorgio E., 2021. "Economic predictions with big data: the illusion of sparsity," Working Paper Series 2542, European Central Bank.
- Ribeiro, Pinho J., 2017. "Selecting exchange rate fundamentals by bootstrap," International Journal of Forecasting, Elsevier, vol. 33(4), pages 894-914.
- Lu, Xun & Su, Liangjun, 2015.
"Jackknife model averaging for quantile regressions,"
Journal of Econometrics, Elsevier, vol. 188(1), pages 40-58.
- Xun Lu & Liangjun Su, 2014. "Jackknife Model Averaging for Quantile Regressions," Working Papers 11-2014, Singapore Management University, School of Economics.
- Hu, Huanling & Wang, Lin & Peng, Lu & Zeng, Yu-Rong, 2020. "Effective energy consumption forecasting using enhanced bagged echo state network," Energy, Elsevier, vol. 193(C).
- Dantas, Tiago Mendes & Cyrino Oliveira, Fernando Luiz, 2018. "Improving time series forecasting: An approach combining bootstrap aggregation, clusters and exponential smoothing," International Journal of Forecasting, Elsevier, vol. 34(4), pages 748-761.
- Yongmiao Hong & Tae-Hwy Lee & Yuying Sun & Shouyang Wang & Xinyu Zhang, 2017.
"Time-varying Model Averaging,"
Working Papers
202001, University of California at Riverside, Department of Economics.
- Sun, Yuying & Hong, Yongmiao & Lee, Tae-Hwy & Wang, Shouyang & Zhang, Xinyu, 2021. "Time-varying model averaging," Journal of Econometrics, Elsevier, vol. 222(2), pages 974-992.
- Pedro Henrique Melo Albuquerque & Yaohao Peng & João Pedro Fontoura da Silva, 2022. "Making the whole greater than the sum of its parts: A literature review of ensemble methods for financial time series forecasting," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 41(8), pages 1701-1724, December.
- Luo, Qin & Bu, Jinfeng & Xu, Weiju & Huang, Dengshi, 2023. "Stock market volatility prediction: Evidence from a new bagging model," International Review of Economics & Finance, Elsevier, vol. 87(C), pages 445-456.
- Kitova, Olga & Savinova, Victoria, 2021. "Development of an Ensemble of Models for Predicting Socio-Economic Indicators of the Russian Federation using IRT-Theory and Bagging Methods," MPRA Paper 110824, University Library of Munich, Germany.
- Haowen Bao & Zongwu Cai & Yuying Sun & Shouyang Wang, 2023. "Penalized Model Averaging for High Dimensional Quantile Regressions," WORKING PAPERS SERIES IN THEORETICAL AND APPLIED ECONOMICS 202302, University of Kansas, Department of Economics, revised Jan 2023.
- Deniz Ozabaci & Daniel J. Henderson & Liangjun Su, 2014.
"Additive Nonparametric Regression in the Presence of Endogenous Regressors,"
Journal of Business & Economic Statistics, Taylor & Francis Journals, vol. 32(4), pages 555-575, October.
See citations under working paper version above.
- Ozabaci, Deniz & Henderson, Daniel J. & Su, Liangjun, 2014. "Additive Nonparametric Regression in the Presence of Endogenous Regressors," IZA Discussion Papers 8144, Institute of Labor Economics (IZA).
- Su, Liangjun & White, Halbert, 2014.
"Testing conditional independence via empirical likelihood,"
Journal of Econometrics, Elsevier, vol. 182(1), pages 27-44.
See citations under working paper version above.
- Su, Liangjun & White, Halbert, 2003. "Testing Conditional Independence Via Empirical Likelihood," University of California at San Diego, Economics Working Paper Series qt35v8g0fm, Department of Economics, UC San Diego.
- Su, Liangjun & Ullah, Aman, 2013.
"A Nonparametric Goodness-Of-Fit-Based Test For Conditional Heteroskedasticity,"
Econometric Theory, Cambridge University Press, vol. 29(1), pages 187-212, February.
Cited by:
- Fu, Zhonghao & Hong, Yongmiao & Su, Liangjun & Wang, Xia, 2023. "Specification tests for time-varying coefficient models," Journal of Econometrics, Elsevier, vol. 235(2), pages 720-744.
- Aman Ullah & Huansha Wang, 2013. "Parametric and Nonparametric Frequentist Model Selection and Model Averaging," Econometrics, MDPI, vol. 1(2), pages 1-23, September.
- Liangjun Su & Stefan Hoderlein & Halbert White, 2013. "Testing Monotonicity in Unobservables with Panel Data," Boston College Working Papers in Economics 892, Boston College Department of Economics, revised 01 Feb 2016.
- Liangjun Su & Sainan Jin & Yonghui Zhang, 2014.
"Specification Test for Panel Data Models with Interactive Fixed Effects,"
Working Papers
08-2014, Singapore Management University, School of Economics.
- Su, Liangjun & Jin, Sainan & Zhang, Yonghui, 2015. "Specification test for panel data models with interactive fixed effects," Journal of Econometrics, Elsevier, vol. 186(1), pages 222-244.
- Yan Li & Liangjun Su & Yuewu Xu, 2014.
"A Combined Approach to the Inference of Conditional Factor Models,"
Working Papers
10-2014, Singapore Management University, School of Economics.
- Yan Li & Liangjun Su & Yuewu Xu, 2015. "A Combined Approach to the Inference of Conditional Factor Models," Journal of Business & Economic Statistics, Taylor & Francis Journals, vol. 33(2), pages 203-220, April.
- Hu, Yue & Li, Haiqi & Tan, Falong, 2024. "Testing the parametric form of the conditional variance in regressions based on distance covariance," Computational Statistics & Data Analysis, Elsevier, vol. 189(C).
- Lu, Xun & Su, Liangjun, 2015.
"Jackknife model averaging for quantile regressions,"
Journal of Econometrics, Elsevier, vol. 188(1), pages 40-58.
- Xun Lu & Liangjun Su, 2014. "Jackknife Model Averaging for Quantile Regressions," Working Papers 11-2014, Singapore Management University, School of Economics.
- Li, Zhaoyuan & Yao, Jianfeng, 2019. "Testing for heteroscedasticity in high-dimensional regressions," Econometrics and Statistics, Elsevier, vol. 9(C), pages 122-139.
- Li, Hongjun & Li, Qi & Liu, Ruixuan, 2016. "Consistent model specification tests based on k-nearest-neighbor estimation method," Journal of Econometrics, Elsevier, vol. 194(1), pages 187-202.
- Su, Liangjun & Chen, Qihui, 2013.
"Testing Homogeneity In Panel Data Models With Interactive Fixed Effects,"
Econometric Theory, Cambridge University Press, vol. 29(6), pages 1079-1135, December.
Cited by:
- Xun Lu & Su Liangjun, 2015.
"Shrinkage Estimation of Dynamic Panel Data Models with Interactive Fixed Effects,"
Working Papers
02-2015, Singapore Management University, School of Economics.
- Lu, Xun & Su, Liangjun, 2016. "Shrinkage estimation of dynamic panel data models with interactive fixed effects," Journal of Econometrics, Elsevier, vol. 190(1), pages 148-175.
- Yiren Wang & Peter C. B. Phillips & Liangjun Su, 2023.
"Panel Data Models with Time-Varying Latent Group Structures,"
Cowles Foundation Discussion Papers
2364, Cowles Foundation for Research in Economics, Yale University.
- Yiren Wang & Peter C B Phillips & Liangjun Su, 2023. "Panel Data Models with Time-Varying Latent Group Structures," Papers 2307.15863, arXiv.org.
- Wang, Yiren & Phillips, Peter C.B. & Su, Liangjun, 2024. "Panel data models with time-varying latent group structures," Journal of Econometrics, Elsevier, vol. 240(1).
- Baglan, Deniz & Ege Yazgan, M. & Yilmazkuday, Hakan, 2016.
"Relative price variability and inflation: New evidence,"
Journal of Macroeconomics, Elsevier, vol. 48(C), pages 263-282.
- Deniz Baglan & M. Ege Yazgan & Hakan Yilmazkuday, 2015. "Relative Price Variability and Inflation: New evidence," Working Papers 1502, Florida International University, Department of Economics.
- Levent Kutlu & Robin C. Sickles & Mike G. Tsionas & Emmanuel Mamatzakis, 2022. "Heterogeneous decision-making and market power: an application to Eurozone banks," Empirical Economics, Springer, vol. 63(6), pages 3061-3092, December.
- Jean-Baptiste Hasse & Quentin Lajaunie, 2020.
"Does the Yield Curve Signal Recessions? New Evidence from an International Panel Data Analysis,"
AMSE Working Papers
2013, Aix-Marseille School of Economics, France.
- Jean-Baptiste Hasse & Quentin Lajaunie, 2022. "Does the yield curve signal recessions? New evidence from an international panel data analysis," Post-Print hal-03740235, HAL.
- Hasse, Jean-Baptiste & Lajaunie, Quentin, 2022. "Does the yield curve signal recessions? New evidence from an international panel data analysis," LIDAM Reprints LFIN 2022004, Université catholique de Louvain, Louvain Finance (LFIN).
- Hasse, Jean-Baptiste & Lajaunie, Quentin, 2022. "Does the yield curve signal recessions? New evidence from an international panel data analysis," The Quarterly Review of Economics and Finance, Elsevier, vol. 84(C), pages 9-22.
- Jean-Baptiste Hasse & Quentin Lajaunie, 2020. "Does the Yield Curve Signal Recessions? New Evidence from an International Panel Data Analysis," Working Papers halshs-02549044, HAL.
- Bai, Jushan, 2013.
"Likelihood approach to dynamic panel models with interactive effects,"
MPRA Paper
50267, University Library of Munich, Germany.
- Bai, Jushan, 2024. "Likelihood approach to dynamic panel models with interactive effects," Journal of Econometrics, Elsevier, vol. 240(1).
- Kutlu, Levent & Sickles, Robin & Tsionas, Mike G., 2019. "Heterogeneous Decision-Making and Market Power," Working Papers 19-008, Rice University, Department of Economics.
- Miao, Ke & Li, Kunpeng & Su, Liangjun, 2020. "Panel threshold models with interactive fixed effects," Journal of Econometrics, Elsevier, vol. 219(1), pages 137-170.
- Hidalgo, Javier & Schafgans, Marcia, 2017. "Inference and testing breaks in large dynamic panels with strong cross sectional dependence," Journal of Econometrics, Elsevier, vol. 196(2), pages 259-274.
- Feng Xu & Zekai He, 2020. "Testing slope homogeneity in panel data models with a multifactor error structure," Statistical Papers, Springer, vol. 61(1), pages 201-224, February.
- Hansen, Christian & Liao, Yuan, 2016.
"The Factor-Lasso and K-Step Bootstrap Approach for Inference in High-Dimensional Economic Applications,"
MPRA Paper
75313, University Library of Munich, Germany.
- Christian Hansen & Yuan Liao, 2016. "The Factor-Lasso and K-Step Bootstrap Approach for Inference in High-Dimensional Economic Applications," Papers 1611.09420, arXiv.org, revised Dec 2016.
- Hansen, Christian & Liao, Yuan, 2019. "The Factor-Lasso And K-Step Bootstrap Approach For Inference In High-Dimensional Economic Applications," Econometric Theory, Cambridge University Press, vol. 35(3), pages 465-509, June.
- Christian Hansen & Yuan Liao, 2016. "The Factor-Lasso and K-Step Bootstrap Approach for Inference in High-Dimensional Economic Applications," Departmental Working Papers 201610, Rutgers University, Department of Economics.
- Liangjun Su & Sainan Jin & Yonghui Zhang, 2014.
"Specification Test for Panel Data Models with Interactive Fixed Effects,"
Working Papers
08-2014, Singapore Management University, School of Economics.
- Su, Liangjun & Jin, Sainan & Zhang, Yonghui, 2015. "Specification test for panel data models with interactive fixed effects," Journal of Econometrics, Elsevier, vol. 186(1), pages 222-244.
- Sainan Jin & Liangjun Su & Yonghui Zhang, 2014.
"Nonparametric Testing for Anomaly Effects in Empirical Asset Pricing Models,"
Working Papers
09-2014, Singapore Management University, School of Economics.
- Sainan Jin & Liangjun Su & Yonghui Zhang, 2015. "Nonparametric testing for anomaly effects in empirical asset pricing models," Empirical Economics, Springer, vol. 48(1), pages 9-36, February.
- Liu, Ruiqi & Shang, Zuofeng & Zhang, Yonghui & Zhou, Qiankun, 2020.
"Identification and estimation in panel models with overspecified number of groups,"
Journal of Econometrics, Elsevier, vol. 215(2), pages 574-590.
- Ruiqi Liu & Anton Schick & Zuofeng Shang & Yonghui Zhang & Qiankun Zhou, 2018. "Identification and estimation in panel models with overspecified number of groups," Departmental Working Papers 2018-03, Department of Economics, Louisiana State University.
- Freeman, Hugo & Weidner, Martin, 2023. "Linear panel regressions with two-way unobserved heterogeneity," Journal of Econometrics, Elsevier, vol. 237(1).
- Andreea Halunga & Chris D. Orme & Takashi Yamagata, 2011.
"A Heteroskedasticity Robust Breusch-Pagan Test for Contemporaneous Correlation in Dynamic Panel Data Models,"
Economics Discussion Paper Series
1118, Economics, The University of Manchester.
- Halunga, Andreea G. & Orme, Chris D. & Yamagata, Takashi, 2017. "A heteroskedasticity robust Breusch–Pagan test for Contemporaneous correlation in dynamic panel data models," Journal of Econometrics, Elsevier, vol. 198(2), pages 209-230.
- Ruiqi Liu & Ben Boukai & Zuofeng Shang, 2019. "Statistical Inference on Partially Linear Panel Model under Unobserved Linearity," Papers 1911.08830, arXiv.org.
- Su, Liangjun & Wang, Xia, 2017. "On time-varying factor models: Estimation and testing," Journal of Econometrics, Elsevier, vol. 198(1), pages 84-101.
- Miao, Ke & Su, Liangjun & Wang, Wendun, 2020.
"Panel threshold regressions with latent group structures,"
Journal of Econometrics, Elsevier, vol. 214(2), pages 451-481.
- Ke, Miao & Su, Liangjun & Wang, Wendun, 2019. "Panel threshold regressions with latent group structures," Economics and Statistics Working Papers 13-2019, Singapore Management University, School of Economics.
- Yunus Emre Ergemen & Carlos Velasco, 2019.
"Persistence Heterogeneity Testing in Panels with Interactive Fixed Effects,"
Journal of Time Series Analysis, Wiley Blackwell, vol. 40(4), pages 573-589, July.
- Yunus Emre Ergemen & Carlos Velasco, 2018. "Persistence Heterogeneity Testing in Panels with Interactive Fixed Effects," CREATES Research Papers 2018-11, Department of Economics and Business Economics, Aarhus University.
- Saptorshee Kanto Chakraborty & Massimiliano Mazzanti, 2021.
"Revisiting the literature on the dynamic Environmental Kuznets Curves using a latent structure approach,"
Economia Politica: Journal of Analytical and Institutional Economics, Springer;Fondazione Edison, vol. 38(3), pages 923-941, October.
- Saptorshee Kanto Chakraborty & Massimiliano Mazzanti, 2021. "Revisiting the literature on the dynamic Environmental Kuznets Curves using a latent structure approach," SEEDS Working Papers 0521, SEEDS, Sustainability Environmental Economics and Dynamics Studies, revised May 2021.
- Wang, Wuyi & Su, Liangjun, 2017.
"Identifying Latent Group Structures in Nonlinear Panels,"
Economics and Statistics Working Papers
19-2017, Singapore Management University, School of Economics.
- Wang, Wuyi & Su, Liangjun, 2021. "Identifying latent group structures in nonlinear panels," Journal of Econometrics, Elsevier, vol. 220(2), pages 272-295.
- Juan Romero-Padilla, 2018. "A method for clustering panel data based on parameter homogeneity," Journal of Statistical and Econometric Methods, SCIENPRESS Ltd, vol. 7(3), pages 1-3.
- Liangjun Su & Zhentao Shi & Peter C. B. Phillips, 2016.
"Identifying Latent Structures in Panel Data,"
Econometrica, Econometric Society, vol. 84, pages 2215-2264, November.
- Liangjun Su & Zhentao Shi & Peter C.B. Phillips, 2014. "Identifying Latent Structures in Panel Data," Cowles Foundation Discussion Papers 1965, Cowles Foundation for Research in Economics, Yale University.
- Liangjun Su & Zhentao Shi & Peter C. B. Phillips, 2014. "Identifying Latent Structures in Panel Data," Working Papers 07-2014, Singapore Management University, School of Economics.
- Olatunji A. Shobande & Simplice A. Asongu, 2021.
"Financial Development, Human Capital Development and Climate Change in East and Southern Africa,"
Research Africa Network Working Papers
21/042, Research Africa Network (RAN).
- Olatunji A. Shobande & Simplice A. Asongu, 2021. "Financial Development, Human Capital Development and Climate Change in East and Southern Africa," Working Papers of the African Governance and Development Institute. 21/042, African Governance and Development Institute..
- Shobande, Olatunji & Asongu, Simplice, 2021. "Financial Development, Human Capital Development and Climate Change in East and Southern Africa," MPRA Paper 110639, University Library of Munich, Germany.
- Olatunji A. Shobande & Simplice A. Asongu, 2021. "Financial Development, Human Capital Development and Climate Change in East and Southern Africa," Working Papers 21/042, European Xtramile Centre of African Studies (EXCAS).
- Kudabayeva Lyazzat & Aktolkin Abubakirova & Omarova Aizhan Igilikovna & Taskinbaikyzy Zhanargul & Saubetova Bibigul Suleimenovna, 2023. "The Relationship between Energy Consumption, Carbon Emissions and Economic Growth in ASEAN-5 Countries," International Journal of Energy Economics and Policy, Econjournals, vol. 13(2), pages 265-271, March.
- Mehrabani, Ali, 2023. "Estimation and identification of latent group structures in panel data," Journal of Econometrics, Elsevier, vol. 235(2), pages 1464-1482.
- Su, Liangjun & Ju, Gaosheng, 2018. "Identifying latent grouped patterns in panel data models with interactive fixed effects," Journal of Econometrics, Elsevier, vol. 206(2), pages 554-573.
- Okui, Ryo & Wang, Wendun, 2021.
"Heterogeneous structural breaks in panel data models,"
Journal of Econometrics, Elsevier, vol. 220(2), pages 447-473.
- Ryo Okui & Wendun Wang, 2018. "Heterogeneous structural breaks in panel data models," Papers 1801.04672, arXiv.org, revised Nov 2018.
- Ali Mehrabani & Aman Ullah, 2020.
"Improved Average Estimation in Seemingly Unrelated Regressions,"
Econometrics, MDPI, vol. 8(2), pages 1-22, April.
- Ali Mehrabani & Aman Ullah, 2020. "Improved Average Estimation in Seemingly Unrelated Regressions," Working Papers 202013, University of California at Riverside, Department of Economics, revised Jun 2020.
- Su, Liangjun & Ura, Takuya & Zhang, Yichong, 2017.
"Non-separable Models with High-dimensional Data,"
Economics and Statistics Working Papers
15-2017, Singapore Management University, School of Economics.
- Su, Liangjun & Ura, Takuya & Zhang, Yichong, 2019. "Non-separable models with high-dimensional data," Journal of Econometrics, Elsevier, vol. 212(2), pages 646-677.
- Daniel Borup & Bent Jesper Christensen & Yunus Emre Ergemen, 2019. "Assessing predictive accuracy in panel data models with long-range dependence," CREATES Research Papers 2019-04, Department of Economics and Business Economics, Aarhus University.
- Hugo Freeman & Martin Weidner, 2021. "Linear Panel Regressions with Two-Way Unobserved Heterogeneity," Papers 2109.11911, arXiv.org, revised Aug 2022.
- Jiti Gao & Fei Liu & Bin Peng & Yayi Yan, 2020.
"Binary Response Models for Heterogeneous Panel Data with Interactive Fixed Effects,"
Papers
2012.03182, arXiv.org, revised Nov 2021.
- Gao, Jiti & Liu, Fei & Peng, Bin & Yan, Yayi, 2023. "Binary response models for heterogeneous panel data with interactive fixed effects," Journal of Econometrics, Elsevier, vol. 235(2), pages 1654-1679.
- Lu, Xun & Su, Liangjun, 2023. "Uniform inference in linear panel data models with two-dimensional heterogeneity," Journal of Econometrics, Elsevier, vol. 235(2), pages 694-719.
- Su, Liangjun & Zhang, Yonghui & Wei, Jie, 2016. "A practical test for strict exogeneity in linear panel data models with fixed effects," Economics Letters, Elsevier, vol. 147(C), pages 27-31.
- Jin, Sainan & Miao, Ke & Su, Liangjun, 2021.
"On factor models with random missing: EM estimation, inference, and cross validation,"
Journal of Econometrics, Elsevier, vol. 222(1), pages 745-777.
- Su, Liangjun & Miao, Ke & Jin, Sainan, 2019. "On Factor Models with Random Missing: EM Estimation, Inference, and Cross Validation," Economics and Statistics Working Papers 4-2019, Singapore Management University, School of Economics.
- Feng, Guohua & Peng, Bin & Su, Liangjun & Yang, Thomas Tao, 2019. "Semi-parametric single-index panel data models with interactive fixed effects: Theory and practice," Journal of Econometrics, Elsevier, vol. 212(2), pages 607-622.
- Hong, Shengjie & Su, Liangjun & Jiang, Tao, 2023. "Profile GMM estimation of panel data models with interactive fixed effects," Journal of Econometrics, Elsevier, vol. 235(2), pages 927-948.
- Ando, Tomohiro & Bai, Jushan, 2014.
"A simple new test for slope homogeneity in panel data models with interactive effects,"
MPRA Paper
60795, University Library of Munich, Germany.
- Ando, Tomohiro & Bai, Jushan, 2015. "A simple new test for slope homogeneity in panel data models with interactive effects," Economics Letters, Elsevier, vol. 136(C), pages 112-117.
- Mohitosh Kejriwal & Xiaoxiao Li & Evan Totty, 2020.
"Multidimensional skills and the returns to schooling: Evidence from an interactive fixed‐effects approach and a linked survey‐administrative data set,"
Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 35(5), pages 548-566, August.
- Mohitosh Kejriwal & Xiaoxiao Li & Evan Totty, 2018. "Multidimensional Skills and the Returns to Schooling: Evidence from an Interactive Fixed Effects Approach and a Linked Survey-Administrative Dataset," Purdue University Economics Working Papers 1309, Purdue University, Department of Economics.
- Ivan Fernandez-Val & Martin Weidner, 2014. "Individual and time effects in nonlinear panel models with large N , T," CeMMAP working papers 32/14, Institute for Fiscal Studies.
- Mohitosh Kejriwal & Xiaoxiao Li & Evan Totty, 2019. "Multidemsional Skills and Returns to Schooling: Evidence from an Interactive Fixed Effects Aproach and a Linked Survey-Administrative Dataset," Purdue University Economics Working Papers 1316, Purdue University, Department of Economics.
- Qian, Junhui & Su, Liangjun, 2016. "Shrinkage estimation of common breaks in panel data models via adaptive group fused Lasso," Journal of Econometrics, Elsevier, vol. 191(1), pages 86-109.
- Yang, Qing & Zhang, Yi, 2022. "Change-point detection for the link function in a single-index model," Statistics & Probability Letters, Elsevier, vol. 186(C).
- Christis Katsouris, 2023. "Optimal Estimation Methodologies for Panel Data Regression Models," Papers 2311.03471, arXiv.org, revised Nov 2023.
- Bai, Jushan & Liao, Yuan, 2017. "Inferences in panel data with interactive effects using large covariance matrices," Journal of Econometrics, Elsevier, vol. 200(1), pages 59-78.
- Hugo Freeman & Martin Weidner, 2021. "Linear panel regressions with two-way unobserved heterogeneity," CeMMAP working papers CWP39/21, Centre for Microdata Methods and Practice, Institute for Fiscal Studies.
- Su, Liangjun & Wang, Wuyi & Xu, Xingbai, 2023. "Identifying latent group structures in spatial dynamic panels," Journal of Econometrics, Elsevier, vol. 235(2), pages 1955-1980.
- Yiren Wang & Liangjun Su & Yichong Zhang, 2022. "Low-rank Panel Quantile Regression: Estimation and Inference," Papers 2210.11062, arXiv.org.
- Guowei Cui & Kazuhiko Hayakawa & Shuichi Nagata & Takashi Yamagata, 2018. "A robust approach to heteroskedasticity, error serial correlation and slope heterogeneity for large linear panel data models with interactive effects," ISER Discussion Paper 1037r, Institute of Social and Economic Research, Osaka University, revised Jun 2019.
- Likai Chen & Georg Keilbar & Liangjun Su & Weining Wang, 2023. "Inference on many jumps in nonparametric panel regression models," Papers 2312.01162, arXiv.org, revised Jan 2025.
- Hidalgo, Javier & Schafgans, Marcia, 2017. "Inference and testing breaks in large dynamic panels with strong cross sectional dependence," LSE Research Online Documents on Economics 68839, London School of Economics and Political Science, LSE Library.
- Chen, Bin & Huang, Liquan, 2018. "Nonparametric testing for smooth structural changes in panel data models," Journal of Econometrics, Elsevier, vol. 202(2), pages 245-267.
- Xun Lu & Su Liangjun, 2015.
"Shrinkage Estimation of Dynamic Panel Data Models with Interactive Fixed Effects,"
Working Papers
02-2015, Singapore Management University, School of Economics.
- Su, Liangjun & Lu, Xun, 2013.
"Nonparametric dynamic panel data models: Kernel estimation and specification testing,"
Journal of Econometrics, Elsevier, vol. 176(2), pages 112-133.
Cited by:
- Wei, Honglei & Zhang, Hongfan & Jiang, Hui & Huang, Lei, 2022. "On the semi-varying coefficient dynamic panel data model with autocorrelated errors," Computational Statistics & Data Analysis, Elsevier, vol. 173(C).
- Liangjun Su & Sainan Jin & Yonghui Zhang, 2014.
"Specification Test for Panel Data Models with Interactive Fixed Effects,"
Working Papers
08-2014, Singapore Management University, School of Economics.
- Su, Liangjun & Jin, Sainan & Zhang, Yonghui, 2015. "Specification test for panel data models with interactive fixed effects," Journal of Econometrics, Elsevier, vol. 186(1), pages 222-244.
- Sainan Jin & Liangjun Su & Yonghui Zhang, 2014.
"Nonparametric Testing for Anomaly Effects in Empirical Asset Pricing Models,"
Working Papers
09-2014, Singapore Management University, School of Economics.
- Sainan Jin & Liangjun Su & Yonghui Zhang, 2015. "Nonparametric testing for anomaly effects in empirical asset pricing models," Empirical Economics, Springer, vol. 48(1), pages 9-36, February.
- Hoshino, Tadao, 2022. "Sieve IV estimation of cross-sectional interaction models with nonparametric endogenous effect," Journal of Econometrics, Elsevier, vol. 229(2), pages 263-275.
- Rodriguez-Poo, Juan M. & Soberón, Alexandra, 2015. "Nonparametric estimation of fixed effects panel data varying coefficient models," Journal of Multivariate Analysis, Elsevier, vol. 133(C), pages 95-122.
- Yashar Tarverdi, 2018. "Aspects of Governance and $$\hbox {CO}_2$$ CO 2 Emissions: A Non-linear Panel Data Analysis," Environmental & Resource Economics, Springer;European Association of Environmental and Resource Economists, vol. 69(1), pages 167-194, January.
- Christopher F. Parmeter & Jeffrey S. Racine, 2018. "Nonparametric Estimation and Inference for Panel Data Models," Department of Economics Working Papers 2018-02, McMaster University.
- Li, Cong & Liang, Zhongwen, 2015. "Asymptotics for nonparametric and semiparametric fixed effects panel models," Journal of Econometrics, Elsevier, vol. 185(2), pages 420-434.
- Green, Carl & Long, Wei & Hsiao, Cheng, 2015. "Testing error serial correlation in fixed effects nonparametric panel data models," Journal of Econometrics, Elsevier, vol. 188(2), pages 466-473.
- Juan Rodriguez-Poo & Alexandra Soberón, 2015. "Differencing techniques in semi-parametric panel data varying coefficient models with fixed effects: a Monte Carlo study," Computational Statistics, Springer, vol. 30(3), pages 885-906, September.
- Li, Hongjun & Li, Qi & Liu, Ruixuan, 2016. "Consistent model specification tests based on k-nearest-neighbor estimation method," Journal of Econometrics, Elsevier, vol. 194(1), pages 187-202.
- Chu, Chi-Yang & Henderson, Daniel J. & Parmeter, Christopher F., 2017. "On discrete Epanechnikov kernel functions," Computational Statistics & Data Analysis, Elsevier, vol. 116(C), pages 79-105.
- Liangjun Su & Martin Spindler, 2013.
"Nonparametric Testing for Asymmetric Information,"
Journal of Business & Economic Statistics, Taylor & Francis Journals, vol. 31(2), pages 208-225, April.
Cited by:
- Georges Dionne, 2012.
"The Empirical Measure of Information Problems with Emphasis on Insurance Fraud and Dynamic Data,"
Cahiers de recherche
1233, CIRPEE.
- Dionne, Georges, 2012. "The empirical measure of information problems with emphasis on insurance fraud and dynamic data," Working Papers 12-10, HEC Montreal, Canada Research Chair in Risk Management.
- Polanski, Arnold & Stoja, Evarist & Chiu, Ching-Wai (Jeremy), 2019. "Tail risk interdependence," Bank of England working papers 815, Bank of England.
- Helmi Jedidi & Georges Dionne, 2024.
"Nonparametric Testing for Information Asymmetry in the Mortgage Servicing Market,"
Risks, MDPI, vol. 12(12), pages 1-40, November.
- Jedidi, Helmi & Dionne, Georges, 2024. "Nonparametric testing for information asymmetry in the mortgage servicing market," Working Papers 19-1, HEC Montreal, Canada Research Chair in Risk Management, revised 28 Oct 2019.
- Choi Yun Jeong & Chen Joe & Sawada Yasuyuki, 2015. "Life Insurance and Suicide: Asymmetric Information Revisited," The B.E. Journal of Economic Analysis & Policy, De Gruyter, vol. 15(3), pages 1127-1149, July.
- Spindler, Martin & Winter, Joachim & Hagmayer, Steffen, 2012.
"Asymmetric Information in the Market for Automobile Insurance: Evidence from Germany,"
MEA discussion paper series
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"Semiparametric Trending Panel Data Models with Cross-Sectional Dependence,"
Monash Econometrics and Business Statistics Working Papers
15/11, Monash University, Department of Econometrics and Business Statistics.
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"Specification Test for Panel Data Models with Interactive Fixed Effects,"
Working Papers
08-2014, Singapore Management University, School of Economics.
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"A varying-coefficient panel data model with fixed effects: Theory and an application to US commercial banks,"
Journal of Econometrics, Elsevier, vol. 196(1), pages 68-82.
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- Bing Jiang & Yanrong Yang & Jiti Gao & Cheng Hsiao, 2017.
"Recursive estimation in large panel data models: Theory and practice,"
Monash Econometrics and Business Statistics Working Papers
5/17, Monash University, Department of Econometrics and Business Statistics.
- Jiang, Bin & Yang, Yanrong & Gao, Jiti & Hsiao, Cheng, 2021. "Recursive estimation in large panel data models: Theory and practice," Journal of Econometrics, Elsevier, vol. 224(2), pages 439-465.
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- Miao, Ke & Su, Liangjun & Wang, Wendun, 2020.
"Panel threshold regressions with latent group structures,"
Journal of Econometrics, Elsevier, vol. 214(2), pages 451-481.
- Ke, Miao & Su, Liangjun & Wang, Wendun, 2019. "Panel threshold regressions with latent group structures," Economics and Statistics Working Papers 13-2019, Singapore Management University, School of Economics.
- Katharina Hauck & Xiaohui Zhang, 2016. "Heterogeneity in the Effect of Common Shocks on Healthcare Expenditure Growth," Health Economics, John Wiley & Sons, Ltd., vol. 25(9), pages 1090-1103, September.
- Qingliang Fan & Zijian Guo & Ziwei Mei & Cun-Hui Zhang, 2023. "Inference for Nonlinear Endogenous Treatment Effects Accounting for High-Dimensional Covariate Complexity," Papers 2310.08063, arXiv.org, revised Jun 2024.
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- Chaohua Dong & Jiti Gao & Bin Peng, 2016. "Another Look at Single-Index Models Based on Series Estimation," Monash Econometrics and Business Statistics Working Papers 19/16, Monash University, Department of Econometrics and Business Statistics.
- Chaohua Dong & Jiti Gao & Bin Peng, 2015. "Partially Linear Panel Data Models with Cross-Sectional Dependence and Nonstationarity," Monash Econometrics and Business Statistics Working Papers 7/15, Monash University, Department of Econometrics and Business Statistics.
- Massimiliano Mazzanti & Antonio Musolesi, 2020. "A Semiparametric Analysis of Green Inventions and Environmental Policies," SEEDS Working Papers 0920, SEEDS, Sustainability Environmental Economics and Dynamics Studies, revised Jun 2020.
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- Eduardo A. Souza-Rodrigues, 2016. "Nonparametric Regression with Common Shocks," Econometrics, MDPI, vol. 4(3), pages 1-17, September.
- Georgios Gioldasis & Antonio Musolesi & Michel Simioni, 2019. "Nonparametric estimation of R&D international spillovers," Post-Print hal-02789474, HAL.
- Feng, Guohua & Gao, Jiti & Peng, Bin, 2022.
"An integrated panel data approach to modelling economic growth,"
Journal of Econometrics, Elsevier, vol. 228(2), pages 379-397.
- Guohua Feng & Jiti Gao & Bin Peng, 2019. "An Integrated Panel Data Approach to Modelling Economic Growth," Papers 1903.07948, arXiv.org.
- Gao, J. & Linton, O. & Peng, B., 2022.
"A Nonparametric Panel Model for Climate Data with Seasonal and Spatial Variation,"
Cambridge Working Papers in Economics
2239, Faculty of Economics, University of Cambridge.
- Jiti Gao & Oliver Linton & Bin Peng, 2022. "A Nonparametric Panel Model for Climate Data with Seasonal and Spatial Variation," Monash Econometrics and Business Statistics Working Papers 9/22, Monash University, Department of Econometrics and Business Statistics.
- Gao, J. & Linton, O. & Peng, B., 2022. "A Nonparametric Panel Model for Climate Data with Seasonal and Spatial Variation," Janeway Institute Working Papers 2215, Faculty of Economics, University of Cambridge.
- Christis Katsouris, 2023. "High Dimensional Time Series Regression Models: Applications to Statistical Learning Methods," Papers 2308.16192, arXiv.org.
- Su, Liangjun & Hoshino, Tadao, 2016.
"Sieve instrumental variable quantile regression estimation of functional coefficient models,"
Journal of Econometrics, Elsevier, vol. 191(1), pages 231-254.
- Su Liangjun & Tadao Hoshino, 2015. "Sieve Instrumental Variable Quantile Regression Estimation of Functional Coefficient Models," Working Papers 01-2015, Singapore Management University, School of Economics.
- Isabel Casas & Jiti Gao & Bin Peng & Shangyu Xie, 2019.
"Time-Varying Income Elasticities of Healthcare Expenditure for the OECD and Eurozone,"
Monash Econometrics and Business Statistics Working Papers
28/19, Monash University, Department of Econometrics and Business Statistics.
- Isabel Casas & Jiti Gao & Bin Peng & Shangyu Xie, 2021. "Time‐varying income elasticities of healthcare expenditure for the OECD and Eurozone," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 36(3), pages 328-345, April.
- Guohua Feng & Jiti Gao & Bin Peng, 2019. "An Integrated Panel Data Approach to Modelling Economic Growth," Monash Econometrics and Business Statistics Working Papers 6/19, Monash University, Department of Econometrics and Business Statistics.
- Feng, Guohua & Peng, Bin & Su, Liangjun & Yang, Thomas Tao, 2019. "Semi-parametric single-index panel data models with interactive fixed effects: Theory and practice," Journal of Econometrics, Elsevier, vol. 212(2), pages 607-622.
- Artūras Juodis, 2022. "A regularization approach to common correlated effects estimation," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 37(4), pages 788-810, June.
- Dong, Chaohua & Gao, Jiti & Peng, Bin, 2015.
"Semiparametric single-index panel data models with cross-sectional dependence,"
Journal of Econometrics, Elsevier, vol. 188(1), pages 301-312.
- Bin Peng & Chaohua Dong & Jiti Gao, 2014. "Semiparametric Single-Index Panel Data Models with Cross-Sectional Dependence," Monash Econometrics and Business Statistics Working Papers 9/14, Monash University, Department of Econometrics and Business Statistics.
- Antonio Musolesi & Michel Simioni & Georgios Gioldasis, 2018. "Nonparametric estimation of international R&D spillovers," Working Papers 2018037, University of Ferrara, Department of Economics.
- Wolter, James Lewis, 2016. "Kernel estimation of hazard functions when observations have dependent and common covariates," Journal of Econometrics, Elsevier, vol. 193(1), pages 1-16.
- Chaohua Dong & Jiti Gao & Bin Peng, 2018. "Varying-coefficient panel data models with partially observed factor structure," Monash Econometrics and Business Statistics Working Papers 1/18, Monash University, Department of Econometrics and Business Statistics.
- Taining Wang & Jinjing Tian & Feng Yao, 2021. "Does high debt ratio influence Chinese firms’ performance? A semiparametric stochastic frontier approach with zero inefficiency," Empirical Economics, Springer, vol. 61(2), pages 587-636, August.
- Georgios Gioldasis & Antonio Musolesi & Michel Simioni, 2021. "Interactive R&D Spillovers: an estimation strategy based on forecasting-driven model selection," Working Papers hal-03224910, HAL.
- Difang Huang & Jiti Gao & Tatsushi Oka, 2022.
"Semiparametric Single-Index Estimation for Average Treatment Effects,"
Monash Econometrics and Business Statistics Working Papers
10/22, Monash University, Department of Econometrics and Business Statistics.
- Difang Huang & Jiti Gao & Tatsushi Oka, 2022. "Semiparametric Single-Index Estimation for Average Treatment Effects," Papers 2206.08503, arXiv.org, revised Jan 2025.
- Georgios Gioldasis & Antonio Musolesi & Michel Simioni, 2018. "Nonparametric estimation of international R&D spillovers," SEEDS Working Papers 0318, SEEDS, Sustainability Environmental Economics and Dynamics Studies, revised Mar 2018.
- Román Mínguez & Roberto Basile & María Durbán, 2020. "An alternative semiparametric model for spatial panel data," Statistical Methods & Applications, Springer;Società Italiana di Statistica, vol. 29(4), pages 669-708, December.
- Cai, Zongwu & Fang, Ying & Xu, Qiuhua, 2022. "Testing capital asset pricing models using functional-coefficient panel data models with cross-sectional dependence," Journal of Econometrics, Elsevier, vol. 227(1), pages 114-133.
- Xiao Huang, 2013. "Nonparametric Estimation in Large Panels with Cross-Sectional Dependence," Econometric Reviews, Taylor & Francis Journals, vol. 32(5-6), pages 754-777, August.
- Raffaello Seri & Samuele Centorrino & Michele Bernasconi, 2019. "Nonparametric Estimation and Inference in Economic and Psychological Experiments," Papers 1904.11156, arXiv.org, revised Dec 2019.
- Georgios Gioldasis & Antonio Musolesi & Michel Simioni, 2020. "Model uncertainty, nonlinearities and out-of-sample comparison: evidence from international technology diffusion," SEEDS Working Papers 0120, SEEDS, Sustainability Environmental Economics and Dynamics Studies, revised Jan 2020.
- James Wolter, 2015. "Kernel Estimation Of Hazard Functions When Observations Have Dependent and Common Covariates," Economics Series Working Papers 761, University of Oxford, Department of Economics.
- Alexandra Soberon & Antonio Musolesi & Juan M. Rodriguez‐Poo, 2024. "A Semi‐parametric Panel Data Model with Common Factors and Spatial Dependence," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 86(4), pages 905-927, August.
- Ma, Yingying & Guo, Shaojun & Wang, Hansheng, 2023. "Sparse spatio-temporal autoregressions by profiling and bagging," Journal of Econometrics, Elsevier, vol. 232(1), pages 132-147.
- Dong, Chaohua & Linton, Oliver, 2018.
"Additive nonparametric models with time variable and both stationary and nonstationary regressors,"
Journal of Econometrics, Elsevier, vol. 207(1), pages 212-236.
- Long, Xiangdong & Su, Liangjun & Ullah, Aman, 2011.
"Estimation and Forecasting of Dynamic Conditional Covariance: A Semiparametric Multivariate Model,"
Journal of Business & Economic Statistics, American Statistical Association, vol. 29(1), pages 109-125.
- Xiangdong Long & Liangjun Su & Aman Ullah, 2011. "Estimation and Forecasting of Dynamic Conditional Covariance: A Semiparametric Multivariate Model," Journal of Business & Economic Statistics, Taylor & Francis Journals, vol. 29(1), pages 109-125, January.
Cited by:
- Serra, Teresa & Gil, José M., 2012.
"Biodiesel as a motor fuel price stabilization mechanism,"
Energy Policy, Elsevier, vol. 50(C), pages 689-698.
- Serra, Teresa & Gil, Jose Maria, 2012. "Biodiesel as a motor fuel price stabilization mechanism," 2012 Conference, August 18-24, 2012, Foz do Iguacu, Brazil 126056, International Association of Agricultural Economists.
- Aslanidis, Nektarios & Martínez Ibáñez, Óscar, 2012. "Modelling world investment markets using threshold conditional correlation models," Working Papers 2072/203167, Universitat Rovira i Virgili, Department of Economics.
- Silvennoinen, Annastiina & Teräsvirta, Timo, 2024.
"Consistency and asymptotic normality of maximum likelihood estimators of a multiplicative time-varying smooth transition correlation GARCH model,"
Econometrics and Statistics, Elsevier, vol. 32(C), pages 57-72.
- Annastiina Silvennoinen & Timo Teräsvirta, 2017. "Consistency and asymptotic normality of maximum likelihood estimators of a multiplicative time-varying smooth transition correlation GARCH model," CREATES Research Papers 2017-28, Department of Economics and Business Economics, Aarhus University.
- Mark J Jensen & John M Maheu, 2012.
"Bayesian semiparametric multivariate GARCH modeling,"
Working Papers
tecipa-458, University of Toronto, Department of Economics.
- Mark J. Jensen & John M. Maheu, 2012. "Bayesian semiparametric multivariate GARCH modeling," FRB Atlanta Working Paper 2012-09, Federal Reserve Bank of Atlanta.
- Mark J. Jensen & John M. Maheu, 2012. "Bayesian Semiparametric Multivariate GARCH Modeling," Working Paper series 48_12, Rimini Centre for Economic Analysis.
- Jensen, Mark J. & Maheu, John M., 2013. "Bayesian semiparametric multivariate GARCH modeling," Journal of Econometrics, Elsevier, vol. 176(1), pages 3-17.
- Gardebroek, Cornelis & Hernandez, Manuel A., 2013.
"Do energy prices stimulate food price volatility? Examining volatility transmission between US oil, ethanol and corn markets,"
Energy Economics, Elsevier, vol. 40(C), pages 119-129.
- Hernandez, Manuel A. & Gardebroek, Cornelis, 2012. "Do energy prices stimulate food price volatility? Examining volatility transmission between US oil, ethanol and corn markets," 2012 Annual Meeting, August 12-14, 2012, Seattle, Washington 124583, Agricultural and Applied Economics Association.
- Gardebroek, Cornelis & Hernandez, Manuel A., 2012. "Do energy prices stimulate food price volatility? Examining volatility transmission between US oil, ethanol and corn markets," 123rd Seminar, February 23-24, 2012, Dublin, Ireland 122476, European Association of Agricultural Economists.
- Serra, Teresa, 2011.
"Volatility spillovers between food and energy markets: A semiparametric approach,"
Energy Economics, Elsevier, vol. 33(6), pages 1155-1164.
- Serra, Teresa, 2011. "Volatility Spillovers between Food and Energy Markets, A Semiparametric Approach," 2011 International Congress, August 30-September 2, 2011, Zurich, Switzerland 115997, European Association of Agricultural Economists.
- Aman Ullah & Mardi Dungey & Xiangdong Long & Yun Wang, 2014.
"A Semiparametric Conditional Duration Model,"
Working Papers
201408, University of California at Riverside, Department of Economics.
- Dungey, Mardi & Long, Xiangdong & Ullah, Aman & Wang, Yun, 2014. "A semiparametric conditional duration model," Economics Letters, Elsevier, vol. 124(3), pages 362-366.
- Jose Fernandez & Bruce Morley, 2015.
"Interdependence among Agricultural Commodity Markets, Macroeconomic Factors, Crude Oil and Commodity Index,"
Department of Economics Working Papers
42/15, University of Bath, Department of Economics.
- Fernandez-Diaz, Jose M. & Morley, Bruce, 2019. "Interdependence among agricultural commodity markets, macroeconomic factors, crude oil and commodity index," Research in International Business and Finance, Elsevier, vol. 47(C), pages 174-194.
- Abdelradi, Fadi & Serra, Teresa, 2015. "Food–energy nexus in Europe: Price volatility approach," Energy Economics, Elsevier, vol. 48(C), pages 157-167.
- Tae-Hwy Lee & Millie Yi Mao & Aman Ullah, 2021.
"Estimation of high-dimensional dynamic conditional precision matrices with an application to forecast combination,"
Econometric Reviews, Taylor & Francis Journals, vol. 40(10), pages 905-918, November.
- Tae-Hwy Lee & Millie Yi Mao & Aman Ullah, 2020. "Estimation of High-Dimensional Dynamic Conditional Precision Matrices with an Application to Forecast Combination," Working Papers 202012, University of California at Riverside, Department of Economics.
- Dimitrios Thomakos & Johannes Klepsch & Dimitris N. Politis, 2020. "Model Free Inference on Multivariate Time Series with Conditional Correlations," Stats, MDPI, vol. 3(4), pages 1-26, November.
- Paul Catani & Timo Teräsvirta & Meiqun Yin, 2017.
"A Lagrange multiplier test for testing the adequacy of constant conditional correlation GARCH model,"
Econometric Reviews, Taylor & Francis Journals, vol. 36(6-9), pages 599-621, October.
- Paul Catani & Timo Teräsvirta & Meiqun Yin, 2014. "A Lagrange Multiplier Test for Testing the Adequacy of the Constant Conditional Correlation GARCH Model," CREATES Research Papers 2014-03, Department of Economics and Business Economics, Aarhus University.
- Kotlyarova, Yulia & Schafgans, Marcia M. A. & Zinde‐Walsh, Victoria, 2011.
"Adapting kernel estimation to uncertain smoothness,"
LSE Research Online Documents on Economics
42015, London School of Economics and Political Science, LSE Library.
- Yulia Kotlyarova & Marcia Schafgans & Victoria Zinde-Walsh, 2011. "Adapting Kernel Estimation to Uncertain Smoothness," Working Papers daleconwp2011-01, Dalhousie University, Department of Economics.
- Yulia Kotlyarova & Marcia M Schafgans & Victoria Zinde-Walsh, 2011. "Adapting Kernel Estimation to Uncertain Smoothness," STICERD - Econometrics Paper Series 557, Suntory and Toyota International Centres for Economics and Related Disciplines, LSE.
- Zhang, Yongli & Rolling, Craig & Yang, Yuhong, 2021. "Estimating and forecasting dynamic correlation matrices: A nonlinear common factor approach," Journal of Multivariate Analysis, Elsevier, vol. 183(C).
- Kristoufek, Ladislav & Janda, Karel & Zilberman, David, 2012. "Relationship Between Prices of Food, Fuel and Biofuel," 131st Seminar, September 18-19, 2012, Prague, Czech Republic 135793, European Association of Agricultural Economists.
- Pick Schen Yip & Robert Brooks & Hung Xuan Do & Duc Khuong Nguyen, 2019.
"Dynamic Volatility Spillover Effect between Oil and Agricultural Products,"
Working Papers
2019-009, Department of Research, Ipag Business School.
- Yip, Pick Schen & Brooks, Robert & Do, Hung Xuan & Nguyen, Duc Khuong, 2020. "Dynamic volatility spillover effects between oil and agricultural products," International Review of Financial Analysis, Elsevier, vol. 69(C).
- Serra, Teresa, 2012. "Biofuel-related price volatility literature: a review and new approaches," 2012 Conference, August 18-24, 2012, Foz do Iguacu, Brazil 126057, International Association of Agricultural Economists.
- Yan Li & Liangjun Su & Yuewu Xu, 2014.
"A Combined Approach to the Inference of Conditional Factor Models,"
Working Papers
10-2014, Singapore Management University, School of Economics.
- Yan Li & Liangjun Su & Yuewu Xu, 2015. "A Combined Approach to the Inference of Conditional Factor Models," Journal of Business & Economic Statistics, Taylor & Francis Journals, vol. 33(2), pages 203-220, April.
- Aslanidis, Nektarios & Martinez, Oscar, 2021. "Correlation regimes in international equity and bond returns," Economic Modelling, Elsevier, vol. 97(C), pages 397-410.
- Gardebroek, Cornelis & Hernandez, Manuel A. & Robles, Miguel, 2013.
"Market interdependence and volatility transmission among major crops,"
2013 Annual Meeting, August 4-6, 2013, Washington, D.C.
150119, Agricultural and Applied Economics Association.
- Gardebroek, Cornelis & Hernandez, Manuel A. & Robles, Miguel, 2014. "Market interdependence and volatility transmission among major crops:," IFPRI discussion papers 1344, International Food Policy Research Institute (IFPRI).
- Cornelis Gardebroek & Manuel A. Hernandez & Miguel Robles, 2016. "Market interdependence and volatility transmission among major crops," Agricultural Economics, International Association of Agricultural Economists, vol. 47(2), pages 141-155, March.
- López Cabrera, Brenda & Schulz, Franziska, 2013.
"Volatility linkages between energy and agricultural commodity prices,"
SFB 649 Discussion Papers
2013-042, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk.
- López Cabrera, Brenda & Schulz, Franziska, 2016. "Volatility linkages between energy and agricultural commodity prices," Energy Economics, Elsevier, vol. 54(C), pages 190-203.
- Matteo Barigozzi & Christian T. Brownlees & Giampiero M. Gallo & David Veredas, 2014.
"Disentangling Systematic and Idiosyncratic Dynamics in Panels of Volatility Measures,"
Econometrics Working Papers Archive
2014_02, Universita' degli Studi di Firenze, Dipartimento di Statistica, Informatica, Applicazioni "G. Parenti", revised Feb 2014.
- Barigozzi, Matteo & Brownlees, Christian & Gallo, Giampiero M. & Veredas, David, 2014. "Disentangling systematic and idiosyncratic dynamics in panels of volatility measures," Journal of Econometrics, Elsevier, vol. 182(2), pages 364-384.
- Kristoufek, Ladislav & Janda, Karel & Zilberman, David, 2012. "Correlations between biofuels and related commodities before and during the food crisis: A taxonomy perspective," Energy Economics, Elsevier, vol. 34(5), pages 1380-1391.
- Lu, Xun & Su, Liangjun, 2015.
"Jackknife model averaging for quantile regressions,"
Journal of Econometrics, Elsevier, vol. 188(1), pages 40-58.
- Xun Lu & Liangjun Su, 2014. "Jackknife Model Averaging for Quantile Regressions," Working Papers 11-2014, Singapore Management University, School of Economics.
- Teresa Serra & José M. Gil, 2013.
"Price volatility in food markets: can stock building mitigate price fluctuations?,"
European Review of Agricultural Economics, Oxford University Press and the European Agricultural and Applied Economics Publications Foundation, vol. 40(3), pages 507-528, July.
- Serra, Teresa & Gil, Jose Maria, 2012. "Price volatility in food markets: can stock building mitigate price fluctuations?," 2012 Conference, August 18-24, 2012, Foz do Iguacu, Brazil 126055, International Association of Agricultural Economists.
- Amer Ait Sidhoum & Teresa Serra, 2016. "Volatility Spillovers in the Spanish Food Marketing Chain: The Case of Tomato," Agribusiness, John Wiley & Sons, Ltd., vol. 32(1), pages 45-63, January.
- José Fernández, 2015.
"Interdependence among Agricultural Commodity Markets, Macroeconomic Factors, Crude Oil and Commodity Index,"
Bristol Economics Discussion Papers
15/666, School of Economics, University of Bristol, UK.
- Fernandez-Diaz, Jose M. & Morley, Bruce, 2019. "Interdependence among agricultural commodity markets, macroeconomic factors, crude oil and commodity index," Research in International Business and Finance, Elsevier, vol. 47(C), pages 174-194.
- Peter C. B. Phillips & Liangjun Su, 2011.
"Non‐parametric regression under location shifts,"
Econometrics Journal, Royal Economic Society, vol. 14(3), pages 457-486, October.
Cited by:
- Gao, Jiti & Phillips, Peter C.B., 2013. "Semiparametric estimation in triangular system equations with nonstationarity," Journal of Econometrics, Elsevier, vol. 176(1), pages 59-79.
- Ping Yu & Peter C.B. Phillips, 2014.
"Threshold Regression with Endogeneity,"
Cowles Foundation Discussion Papers
1966, Cowles Foundation for Research in Economics, Yale University.
- Yu, Ping & Phillips, Peter C.B., 2018. "Threshold regression with endogeneity," Journal of Econometrics, Elsevier, vol. 203(1), pages 50-68.
- Su, Liangjun & White, Halbert, 2010.
"Testing Structural Change In Partially Linear Models,"
Econometric Theory, Cambridge University Press, vol. 26(6), pages 1761-1806, December.
Cited by:
- Lu, Xun & White, Halbert, 2014. "Robustness checks and robustness tests in applied economics," Journal of Econometrics, Elsevier, vol. 178(P1), pages 194-206.
- Su, Liangjun & White, Halbert, 2014.
"Testing conditional independence via empirical likelihood,"
Journal of Econometrics, Elsevier, vol. 182(1), pages 27-44.
- Su, Liangjun & White, Halbert, 2003. "Testing Conditional Independence Via Empirical Likelihood," University of California at San Diego, Economics Working Paper Series qt35v8g0fm, Department of Economics, UC San Diego.
- Liangjun Su & Stefan Hoderlein & Halbert White, 2013. "Testing Monotonicity in Unobservables with Panel Data," Boston College Working Papers in Economics 892, Boston College Department of Economics, revised 01 Feb 2016.
- Huang, Meng & Sun, Yixiao & White, Hal, 2013.
"A Flexible Nonparametric Test for Conditional Independence,"
University of California at San Diego, Economics Working Paper Series
qt3pt89204, Department of Economics, UC San Diego.
- Huang, Meng & Sun, Yixiao & White, Halbert, 2016. "A Flexible Nonparametric Test For Conditional Independence," Econometric Theory, Cambridge University Press, vol. 32(6), pages 1434-1482, December.
- Su, Liangjun & Hoshino, Tadao, 2016.
"Sieve instrumental variable quantile regression estimation of functional coefficient models,"
Journal of Econometrics, Elsevier, vol. 191(1), pages 231-254.
- Su Liangjun & Tadao Hoshino, 2015. "Sieve Instrumental Variable Quantile Regression Estimation of Functional Coefficient Models," Working Papers 01-2015, Singapore Management University, School of Economics.
- Stefan Sperlich, 2013. "Comments on: An updated review of Goodness-of-Fit tests for regression models," TEST: An Official Journal of the Spanish Society of Statistics and Operations Research, Springer;Sociedad de Estadística e Investigación Operativa, vol. 22(3), pages 419-427, September.
- Fu, Zhonghao & Hong, Yongmiao, 2019. "A model-free consistent test for structural change in regression possibly with endogeneity," Journal of Econometrics, Elsevier, vol. 211(1), pages 206-242.
- Qian, Junhui & Su, Liangjun, 2016. "Shrinkage estimation of common breaks in panel data models via adaptive group fused Lasso," Journal of Econometrics, Elsevier, vol. 191(1), pages 86-109.
- Stefan Sperlich, 2014. "On the choice of regularization parameters in specification testing: a critical discussion," Empirical Economics, Springer, vol. 47(2), pages 427-450, September.
- Su, Liangjun & Jin, Sainan, 2010.
"Profile quasi-maximum likelihood estimation of partially linear spatial autoregressive models,"
Journal of Econometrics, Elsevier, vol. 157(1), pages 18-33, July.
Cited by:
- Bent Jesper Christensen & Christian M. Dahl & Emma M. Iglesias, 2008.
"Semiparametric Inference in a GARCH-in-Mean Model,"
CREATES Research Papers
2008-46, Department of Economics and Business Economics, Aarhus University.
- Christensen, Bent Jesper & Dahl, Christian M. & Iglesias, Emma M., 2012. "Semiparametric inference in a GARCH-in-mean model," Journal of Econometrics, Elsevier, vol. 167(2), pages 458-472.
- Zhiyong Chen & Jianbao Chen, 2022. "Bayesian analysis of partially linear, single-index, spatial autoregressive models," Computational Statistics, Springer, vol. 37(1), pages 327-353, March.
- Su, Liangjun, 2012. "Semiparametric GMM estimation of spatial autoregressive models," Journal of Econometrics, Elsevier, vol. 167(2), pages 543-560.
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- Geng, Xin & Janssens, Wendy & Kramer, Berber, 2018. "Liquid milk: Cash Constraints and Recurring Savings among Dairy Farmers in Kenya," 2018 Annual Meeting, August 5-7, Washington, D.C. 273823, Agricultural and Applied Economics Association.
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"Varying Coefficient Panel Data Model in the Presence of Endogenous Selectivity and Fixed Effects,"
MPRA Paper
55993, University Library of Munich, Germany.
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"Nonparametric Estimation of the Marginal Effect in Fixed-Effect Panel Data Models,"
Working Papers
201901, University of California at Riverside, Department of Economics.
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MPRA Paper
108497, University Library of Munich, Germany, revised 30 May 2021.
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- Aman Ullah & Tao Wang & Weixin Yao, 2021.
"Modal regression for fixed effects panel data,"
Empirical Economics, Springer, vol. 60(1), pages 261-308, January.
- Aman Ullah & Tao Wang & Weixin Yao, 2020. "Modal Regression for Fixed Effects Panel Data," Working Papers 202102, University of California at Riverside, Department of Economics, revised Nov 2020.
- Baglan Deniz & Yoldas Emre, 2016. "Public debt and macroeconomic activity: a predictive analysis for advanced economies," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 20(3), pages 301-324, June.
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- Daniel J. Henderson, 2010.
"A test for multimodality of regression derivatives with application to nonparametric growth regressions,"
Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 25(3), pages 458-480.
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- Tae-Hwy Lee & Bai Huang & Aman Ullah, 2018.
"Combined Estimation of Semiparametric Panel Data Models,"
Working Papers
201915, University of California at Riverside, Department of Economics.
- Huang, Bai & Lee, Tae-Hwy & Ullah, Aman, 2020. "Combined estimation of semiparametric panel data models," Econometrics and Statistics, Elsevier, vol. 15(C), pages 30-45.
- Hao Xu & Peilin Wang & Kai Ding, 2024. "Transforming Agriculture: Empirical Insights into How the Digital Economy Elevates Agricultural Productivity in China," Sustainability, MDPI, vol. 16(23), pages 1-20, November.
- Li, Gaorong & Peng, Heng & Tong, Tiejun, 2013. "Simultaneous confidence band for nonparametric fixed effects panel data models," Economics Letters, Elsevier, vol. 119(3), pages 229-232.
- Li, Rui & Wan, Alan T.K. & You, Jinhong, 2016. "Semiparametric GMM estimation and variable selection in dynamic panel data models with fixed effects," Computational Statistics & Data Analysis, Elsevier, vol. 100(C), pages 401-423.
- Taining Wang & Feng Yao & Subal C. Kumbhakar, 2024. "A flexible stochastic production frontier model with panel data," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 39(4), pages 564-588, June.
- Peter Pütz & Thomas Kneib, 2016. "A Penalized Spline Estimator for Fixed Effects Panel Data Models," SOEPpapers on Multidisciplinary Panel Data Research 827, DIW Berlin, The German Socio-Economic Panel (SOEP).
- Li, Cong & Liang, Zhongwen, 2015. "Asymptotics for nonparametric and semiparametric fixed effects panel models," Journal of Econometrics, Elsevier, vol. 185(2), pages 420-434.
- Feng, Sanying & He, Wenqi & Li, Feng, 2020. "Model detection and estimation for varying coefficient panel data models with fixed effects," Computational Statistics & Data Analysis, Elsevier, vol. 152(C).
- Su, Liangjun & Lu, Xun, 2013. "Nonparametric dynamic panel data models: Kernel estimation and specification testing," Journal of Econometrics, Elsevier, vol. 176(2), pages 112-133.
- Zongwu Cai & Linna Chen & Ying Fang, 2015. "Semiparametric Estimation of Partially Varying-Coefficient Dynamic Panel Data Models," Econometric Reviews, Taylor & Francis Journals, vol. 34(6-10), pages 695-719, December.
- Mishra, Sagarika & Narayan, Paresh Kumar, 2015. "A nonparametric model of financial system and economic growth," International Review of Economics & Finance, Elsevier, vol. 39(C), pages 175-191.
- Peter Pütz & Thomas Kneib, 2018. "A penalized spline estimator for fixed effects panel data models," AStA Advances in Statistical Analysis, Springer;German Statistical Society, vol. 102(2), pages 145-166, April.
- Ma, Shujie & Liang, Hua & Tsai, Chih-Ling, 2014. "Partially linear single index models for repeated measurements," Journal of Multivariate Analysis, Elsevier, vol. 130(C), pages 354-375.
- Xuemei Hu & Weiming Yang, 2019. "Semi-parametric small area inference in generalized semi-varying coefficient mixed effects models," Statistical Papers, Springer, vol. 60(4), pages 1039-1058, August.
- Lai, Peng & Li, Gaorong & Lian, Heng, 2013. "Semiparametric estimation of fixed effects panel data single-index model," Statistics & Probability Letters, Elsevier, vol. 83(6), pages 1595-1602.
- Bogui Li & Jianbao Chen & Shuangshuang Li, 2023. "Estimation of Fixed Effects Partially Linear Varying Coefficient Panel Data Regression Model with Nonseparable Space-Time Filters," Mathematics, MDPI, vol. 11(6), pages 1-24, March.
- Geng, Xin & Janssens, Wendy & Kramer, Berber N., 2017. "Liquid milk: Cash constraints and day-to-day intertemporal choice in financial diaries," IFPRI discussion papers 1602, International Food Policy Research Institute (IFPRI).
- De Monte Enrico, 2024. "Nonparametric Instrumental Regression with Two-Way Fixed Effects," Journal of Econometric Methods, De Gruyter, vol. 13(1), pages 49-66, January.
- Syed F. Mahmud & Murat Tiniç, 2018. "Herding in Chinese stock markets: a nonparametric approach," Empirical Economics, Springer, vol. 55(2), pages 679-711, September.
- Halder, Shaymal C. & Malikov, Emir, 2020. "Smoothed LSDV estimation of functional-coefficient panel data models with two-way fixed effects," Economics Letters, Elsevier, vol. 192(C).
- Lin, Zhongjian & Li, Qi & Sun, Yiguo, 2014. "A consistent nonparametric test of parametric regression functional form in fixed effects panel data models," Journal of Econometrics, Elsevier, vol. 178(P1), pages 167-179.
- Taining Wang & Jinjing Tian, 2020. "Recasting the trade impact on labor share: a fixed-effect semiparametric estimation study," Empirical Economics, Springer, vol. 58(5), pages 2465-2511, May.
- António Afonso & Michael G. Arghyrou & María Dolores Gadea & Alexandros Kontonikas, 2017.
""Whatever it takes" to resolve the European sovereign debt crisis? Bond pricing regime switches and monetary policy effects,"
Working Papers REM
2017/02, ISEG - Lisbon School of Economics and Management, REM, Universidade de Lisboa.
- Su, Liangjun & Ullah, Aman, 2006.
"More Efficient Estimation In Nonparametric Regression With Nonparametric Autocorrelated Errors,"
Econometric Theory, Cambridge University Press, vol. 22(1), pages 98-126, February.
Cited by:
- Ioannis Kyriakou & Parastoo Mousavi & Jens Perch Nielsen & Michael Scholz, 2020. "Longer-Term Forecasting of Excess Stock Returns—The Five-Year Case," Mathematics, MDPI, vol. 8(6), pages 1-20, June.
- Ioannis Kyriakou & Parastoo Mousavi & Jens Perch Nielsen & Michael Scholz, 2021. "Short-Term Exuberance and Long-Term Stability: A Simultaneous Optimization of Stock Return Predictions for Short and Long Horizons," Mathematics, MDPI, vol. 9(6), pages 1-19, March.
- Liangjun Su & Stefan Hoderlein & Halbert White, 2013. "Testing Monotonicity in Unobservables with Panel Data," Boston College Working Papers in Economics 892, Boston College Department of Economics, revised 01 Feb 2016.
- Wei, Honglei & Zhang, Hongfan & Jiang, Hui & Huang, Lei, 2022. "On the semi-varying coefficient dynamic panel data model with autocorrelated errors," Computational Statistics & Data Analysis, Elsevier, vol. 173(C).
- Martins-Filho, Carlos & Yao, Feng, 2009. "Nonparametric regression estimation with general parametric error covariance," Journal of Multivariate Analysis, Elsevier, vol. 100(3), pages 309-333, March.
- Su, Liangjun & Ullah, Aman, 2008. "Local polynomial estimation of nonparametric simultaneous equations models," Journal of Econometrics, Elsevier, vol. 144(1), pages 193-218, May.
- Linton, Oliver & Xiao, Zhijie, 2019.
"Efficient estimation of nonparametric regression in the presence of dynamic heteroskedasticity,"
Journal of Econometrics, Elsevier, vol. 213(2), pages 608-631.
- Linton, O. & Xiao, Z., 2019. "Efficient Estimation of Nonparametric Regression in The Presence of Dynamic Heteroskedasticity," Cambridge Working Papers in Economics 1907, Faculty of Economics, University of Cambridge.
- Ke Yang, 2012. "Multivariate Local Polynomial Regression With Autocorrelated Errors," Economics Bulletin, AccessEcon, vol. 32(4), pages 3298-3305.
- David Jacho-Chavez & Arthur Lewbel & Oliver Linton, 2006.
"Identification and Nonparametric Estimation of a Transformed Additively Separable Model,"
Boston College Working Papers in Economics
652, Boston College Department of Economics, revised 26 Nov 2008.
- Jacho-Chávez, David & Lewbel, Arthur & Linton, Oliver, 2010. "Identification and nonparametric estimation of a transformed additively separable model," Journal of Econometrics, Elsevier, vol. 156(2), pages 392-407, June.
- Jacho-Chávez, David & Lewbel, Arthur & Linton, Oliver, 2006. "Identification and nonparametric estimation of a transformed additively separable model," LSE Research Online Documents on Economics 4416, London School of Economics and Political Science, LSE Library.
- Liu, Jun M. & Chen, Rong & Yao, Qiwei, 2010. "Nonparametric transfer function models," Journal of Econometrics, Elsevier, vol. 157(1), pages 151-164, July.
- Tanujit Dey & Kun Ho Kim & Chae Young Lim, 2018. "Bayesian time series regression with nonparametric modeling of autocorrelation," Computational Statistics, Springer, vol. 33(4), pages 1715-1731, December.
- Su, Liangjun & Lu, Xun, 2013. "Nonparametric dynamic panel data models: Kernel estimation and specification testing," Journal of Econometrics, Elsevier, vol. 176(2), pages 112-133.
- Enno Mammen & Jens Perch Nielsen & Michael Scholz & Stefan Sperlich, 2019. "Conditional Variance Forecasts for Long-Term Stock Returns," Risks, MDPI, vol. 7(4), pages 1-22, November.
- Ioannis Kyriakou & Parastoo Mousavi & Jens Perch Nielsen & Michael Scholz, 2019. "Machine Learning for Forecasting Excess Stock Returns The Five-Year-View," Graz Economics Papers 2019-06, University of Graz, Department of Economics.
- Ioannis Kyriakou & Parastoo Mousavi & Jens Perch Nielsen & Michael Scholz, 2020. "Short-Term Exuberance and long-term stability: A simultaneous optimization of stock return predictions for short and long horizons," Graz Economics Papers 2020-20, University of Graz, Department of Economics.
- Qi Li & Jeffrey Scott Racine, 2006. "Nonparametric Econometrics: Theory and Practice," Economics Books, Princeton University Press, edition 1, volume 1, number 8355.
- Liangjun Su & Aman Ullah & Yun Wang, 2013. "Nonparametric regression estimation with general parametric error covariance: a more efficient two-step estimator," Empirical Economics, Springer, vol. 45(2), pages 1009-1024, October.
- Liangjun Su & Sainan Jin, 2005.
"A Bootstrap Test for Conditional Symmetry,"
Annals of Economics and Finance, Society for AEF, vol. 6(2), pages 251-261, November.
Cited by:
- Henderson, Daniel J. & Parmeter, Christopher F., 2015. "A consistent bootstrap procedure for nonparametric symmetry tests," Economics Letters, Elsevier, vol. 131(C), pages 78-82.
Chapters
- Liangjun Su & Yonghui Zhang, 2016.
"Semiparametric Estimation of Partially Linear Dynamic Panel Data Models with Fixed Effects,"
Advances in Econometrics, in: Essays in Honor of Aman Ullah, volume 36, pages 137-204,
Emerald Group Publishing Limited.
Cited by:
- Chiang, Harold D. & Rodrigue, Joel & Sasaki, Yuya, 2023.
"Post-Selection Inference In Three-Dimensional Panel Data,"
Econometric Theory, Cambridge University Press, vol. 39(3), pages 623-658, June.
- Harold D. Chiang & Joel Rodrigue & Yuya Sasaki, 2019. "Post-Selection Inference in Three-Dimensional Panel Data," Papers 1904.00211, arXiv.org, revised Apr 2019.
- Hsiao, Cheng, 2018. "Panel models with interactive effects," Journal of Econometrics, Elsevier, vol. 206(2), pages 645-673.
- Wei, Honglei & Zhang, Hongfan & Jiang, Hui & Huang, Lei, 2022. "On the semi-varying coefficient dynamic panel data model with autocorrelated errors," Computational Statistics & Data Analysis, Elsevier, vol. 173(C).
- Ruiqi Liu & Ben Boukai & Zuofeng Shang, 2019. "Statistical Inference on Partially Linear Panel Model under Unobserved Linearity," Papers 1911.08830, arXiv.org.
- Huang, Wenxin & Jin, Sainan & Phillips, Peter C.B. & Su, Liangjun, 2020.
"Nonstationary Panel Models with Latent Group Structures and Cross-Section Dependence,"
Economics and Statistics Working Papers
7-2020, Singapore Management University, School of Economics.
- Huang, Wenxin & Jin, Sainan & Phillips, Peter C.B. & Su, Liangjun, 2021. "Nonstationary panel models with latent group structures and cross-section dependence," Journal of Econometrics, Elsevier, vol. 221(1), pages 198-222.
- Ye, Xiaoqing & Xu, Juan & Wu, Xiangjun, 2018. "Estimation of an unbalanced panel data Tobit model with interactive effects," Journal of choice modelling, Elsevier, vol. 28(C), pages 108-123.
- T. Thomson & S. Hossain, 2018. "Efficient Shrinkage for Generalized Linear Mixed Models Under Linear Restrictions," Sankhya A: The Indian Journal of Statistics, Springer;Indian Statistical Institute, vol. 80(2), pages 385-410, August.
- Ayden Higgins & Federico Martellosio, 2019. "Shrinkage Estimation of Network Spillovers with Factor Structured Errors," Papers 1909.02823, arXiv.org, revised Nov 2021.
- Hyungsik Roger Moon & Martin Weidner, 2019.
"Nuclear norm regularized estimation of panel regression models,"
CeMMAP working papers
CWP14/19, Centre for Microdata Methods and Practice, Institute for Fiscal Studies.
- Hyungsik Roger Moon & Martin Weidner, 2018. "Nuclear Norm Regularized Estimation of Panel Regression Models," Papers 1810.10987, arXiv.org, revised Jun 2023.
- Vogt, M. & Walsh, C. & Linton, O., 2022.
"CCE Estimation of High-Dimensional Panel Data Models with Interactive Fixed Effects,"
Janeway Institute Working Papers
2218, Faculty of Economics, University of Cambridge.
- Vogt, M. & Walsh, C. & Linton, O., 2022. "CCE Estimation of High-Dimensional Panel Data Models with Interactive Fixed Effects," Cambridge Working Papers in Economics 2242, Faculty of Economics, University of Cambridge.
- Feng, Guohua & Gao, Jiti & Peng, Bin, 2022.
"An integrated panel data approach to modelling economic growth,"
Journal of Econometrics, Elsevier, vol. 228(2), pages 379-397.
- Guohua Feng & Jiti Gao & Bin Peng, 2019. "An Integrated Panel Data Approach to Modelling Economic Growth," Papers 1903.07948, arXiv.org.
- Yufeng Mao & Bin Peng & Mervyn J Silvapulle & Param Silvapulle & Yanrong Yang, 2021. "Decomposition of Bilateral Trade Flows Using a Three-Dimensional Panel Data Model," Monash Econometrics and Business Statistics Working Papers 7/21, Monash University, Department of Econometrics and Business Statistics.
- Cheng Hsiao & Yimeng Xie & Qiankun Zhou, 2021. "Factor dimension determination for panel interactive effects models: an orthogonal projection approach," Computational Statistics, Springer, vol. 36(2), pages 1481-1497, June.
- Yuki Takara & Shingo Takagi, 2023. "An empirical approach to measure unobserved cultural relations using music trade data," Journal of Cultural Economics, Springer;The Association for Cultural Economics International, vol. 47(2), pages 205-245, June.
- Chiang, Harold D. & Rodrigue, Joel & Sasaki, Yuya, 2023.
"Post-Selection Inference In Three-Dimensional Panel Data,"
Econometric Theory, Cambridge University Press, vol. 39(3), pages 623-658, June.
- Liangjun Su & Halbert L. White, 2012.
"Conditional Independence Specification Testing for Dependent Processes with Local Polynomial Quantile Regression,"
Advances in Econometrics, in: Essays in Honor of Jerry Hausman, pages 355-434,
Emerald Group Publishing Limited.
Cited by:
- O‐Chia Chuang & Xiaojun Song & Abderrahim Taamouti, 2022. "Testing for Asymmetric Comovements," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 84(5), pages 1153-1180, October.
- Liangjun Su & Ye Chen & Aman Ullah, 2009.
"Functional coefficient estimation with both categorical and continuous data,"
Advances in Econometrics, in: Nonparametric Econometric Methods, pages 131-167,
Emerald Group Publishing Limited.
Cited by:
- Tae-Hwy Lee & Shahnaz Parsaeian & Aman Ullah, 2022.
"Forecasting under Structural Breaks Using Improved Weighted Estimation,"
WORKING PAPERS SERIES IN THEORETICAL AND APPLIED ECONOMICS
202212, University of Kansas, Department of Economics.
- Tae-Hwy Lee & Shahnaz Parsaeian & Aman Ullah, 2022. "Forecasting under Structural Breaks Using Improved Weighted Estimation," Working Papers 202210, University of California at Riverside, Department of Economics.
- Tae‐Hwy Lee & Shahnaz Parsaeian & Aman Ullah, 2022. "Forecasting Under Structural Breaks Using Improved Weighted Estimation," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 84(6), pages 1485-1501, December.
- Tae-Hwy Lee & Shahnaz Parsaeian & Aman Ullah, 2022.
"Forecasting under Structural Breaks Using Improved Weighted Estimation,"
WORKING PAPERS SERIES IN THEORETICAL AND APPLIED ECONOMICS
202212, University of Kansas, Department of Economics.
Books
- Racine, Jeffrey & Su, Liangjun & Ullah, Aman, 2014.
"The Oxford Handbook of Applied Nonparametric and Semiparametric Econometrics and Statistics,"
OUP Catalogue,
Oxford University Press, number 9780199857944.
Cited by:
- Aman Ullah & Huansha Wang, 2013. "Parametric and Nonparametric Frequentist Model Selection and Model Averaging," Econometrics, MDPI, vol. 1(2), pages 1-23, September.
- Arthur Lewbel & Xun Tang, 2012.
"Identification and Estimation of Games with Incomplete Information Using Excluded Regressors,"
Boston College Working Papers in Economics
808, Boston College Department of Economics, revised 05 Mar 2013.
- Lewbel, Arthur & Tang, Xun, 2015. "Identification and estimation of games with incomplete information using excluded regressors," Journal of Econometrics, Elsevier, vol. 189(1), pages 229-244.
- Hwang, Jungbin & Sun, Yixiao, 2016.
"Simple, Robust, and Accurate F and t Tests in Cointegrated Systems,"
University of California at San Diego, Economics Working Paper Series
qt82k1x4rd, Department of Economics, UC San Diego.
- Hwang, Jungbin & Sun, Yixiao, 2018. "SIMPLE, ROBUST, AND ACCURATE F AND t TESTS IN COINTEGRATED SYSTEMS," Econometric Theory, Cambridge University Press, vol. 34(5), pages 949-984, October.
- Hwang., Jungbin & Sun, Yixiao, 2017. "Simple, Robust, and Accurate F and t Tests in Cointegrated Systems," University of California at San Diego, Economics Working Paper Series qt83b4q8pk, Department of Economics, UC San Diego.
- Abdelaati Daouia & Jean-Pierre Florens & Léopold Simar, 2020.
"Robust frontier estimation from noisy data: a Tikhonov regularization approach,"
Post-Print
hal-02573853, HAL.
- Daouia, Abdelaati & Florens, Jean-Pierre & Simar, Léopold, 2020. "Robust frontier estimation from noisy data: A Tikhonov regularization approach," Econometrics and Statistics, Elsevier, vol. 14(C), pages 1-23.
- Daouia, Abdelaati & Florens, Jean-Pierre & Simar, Leopold, 2016. "Robust frontier estimation from noisy data: a Tikhonov regularization approach," LIDAM Discussion Papers ISBA 2016028, Université catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA).
- Daouia, Abdelaati & Florens, Jean-Pierre & Simar, Léopold, 2016. "Robust frontier estimation from noisy data: a Tikhonov regularization approach," TSE Working Papers 16-665, Toulouse School of Economics (TSE), revised Jul 2018.
- Steven F. Koch & Jeffrey S. Racine, 2013.
"Health Care Facility Choice and User Fee Abolition: Regression Discontinuity in a Multinomial Choice Setting,"
Working Papers
201353, University of Pretoria, Department of Economics.
- Jeffrey S. Racine & Steven F. Koch, 2013. "Health Care Facility Choice and User Fee Abolition: Regression Discontinuity in a Multinomial Choice Setting," Working Papers 373, Economic Research Southern Africa.
- Steven F. Koch & Jeffrey S. Racine, 2013. "Health Care Facility Choice and User Fee Abolition: Regression Discontinuity in a Multinomial Choice Setting," Department of Economics Working Papers 2013-14, McMaster University.
- Steven F. Koch & Jeffrey S. Racine, 2016. "Healthcare facility choice and user fee abolition: regression discontinuity in a multinomial choice setting," Journal of the Royal Statistical Society Series A, Royal Statistical Society, vol. 179(4), pages 927-950, October.
- Deniz Ozabaci & Daniel Henderson, 2015.
"Additive kernel estimates of returns to schooling,"
Empirical Economics, Springer, vol. 48(1), pages 227-251, February.
- Ozabaci, Deniz & Henderson, Daniel J., 2014. "Additive Kernel Estimates of Returns to Schooling," IZA Discussion Papers 8736, Institute of Labor Economics (IZA).
- Alexandra Ferreira‐Lopes & Luís Filipe Martins & Ruben Espanhol, 2020. "The relationship between tax rates and tax revenues in eurozone member countries ‐ exploring the Laffer curve," Bulletin of Economic Research, Wiley Blackwell, vol. 72(2), pages 121-145, April.
- Simioni, Michel & Thomas-Agnan, Christine & Trinh, Thi-Huong, 2017.
"Calorie intake and income in China: New evidence using semiparametric modelling with generalized additive models,"
TSE Working Papers
17-826, Toulouse School of Economics (TSE).
- Thi Huong Trinh & Christine Thomas-Agnan & Michel Simioni, 2016. "Calorie intake and income in China: new evidence using semiparametric modelling with generalized additive models," Post-Print hal-01515007, HAL.
- Arthur Lewbel, 2018.
"The Identification Zoo - Meanings of Identification in Econometrics,"
Boston College Working Papers in Economics
957, Boston College Department of Economics, revised 14 Dec 2019.
- Arthur Lewbel, 2019. "The Identification Zoo: Meanings of Identification in Econometrics," Journal of Economic Literature, American Economic Association, vol. 57(4), pages 835-903, December.
- Feeny, Simon & Vuong, Vu, 2017. "Explaining Aid Project and Program Success: Findings from Asian Development Bank Interventions," World Development, Elsevier, vol. 90(C), pages 329-343.
- Pablo Mitnik & Victoria Bryant & David Grusky, 2018. "A Very Uneven Playing Field: Economic Mobility in the United States," Working Papers 2018-097, Human Capital and Economic Opportunity Working Group.
- Xavier D'Haultfoeuille & Arnaud Maurel & Yichong Zhang, 2014.
"Extremal Quantile Regressions for Selection Models and the Black-White Wage Gap,"
NBER Working Papers
20257, National Bureau of Economic Research, Inc.
- D'Haultfoeuille, Xavier & Maurel, Arnaud & Zhang, Yichong, 2014. "Extremal Quantile Regressions for Selection Models and the Black-White Wage Gap," IZA Discussion Papers 8256, Institute of Labor Economics (IZA).
- D’Haultfœuille, Xavier & Maurel, Arnaud & Zhang, Yichong, 2018. "Extremal quantile regressions for selection models and the black–white wage gap," Journal of Econometrics, Elsevier, vol. 203(1), pages 129-142.
- Patrick Saart & Jiti Gao, 2012.
"Semiparametric Methods in Nonlinear Time Series Analysis: A Selective Review,"
Monash Econometrics and Business Statistics Working Papers
21/12, Monash University, Department of Econometrics and Business Statistics.
- Patrick Saart & Jiti Gao & Nam Hyun Kim, 2014. "Semiparametric methods in nonlinear time series analysis: a selective review," Journal of Nonparametric Statistics, Taylor & Francis Journals, vol. 26(1), pages 141-169, March.
- Lewbel, Arthur & Yang, Thomas Tao, 2016. "Identifying the average treatment effect in ordered treatment models without unconfoundedness," Journal of Econometrics, Elsevier, vol. 195(1), pages 1-22.
- Isabel Proença & Stefan Sperlich & Duygu Savaşcı, 2015. "Semi-mixed effects gravity models for bilateral trade," Empirical Economics, Springer, vol. 48(1), pages 361-387, February.
- Lewbel, Arthur & Lu, Xun & Su, Liangjun, 2015.
"Specification testing for transformation models with an application to generalized accelerated failure-time models,"
Journal of Econometrics, Elsevier, vol. 184(1), pages 81-96.
- Arthur Lewbel & Xun Lu & Liangjun Su, 2012. "Specification Testing for Transformation Models with an Application to Generalized Accelerated Failure-time Models," Boston College Working Papers in Economics 817, Boston College Department of Economics, revised 01 May 2013.
- Steven Berry & Philip Haile, 2023.
"Nonparametric Identification of Differentiated Products Demand Using Micro Data,"
Cowles Foundation Discussion Papers
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