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Essays in Honor of Cheng Hsiao
Including contributions spanning a variety of theoretical and applied topics in econometrics, this volume of Advances in Econometricsis published in honour of Cheng Hsiao.
| Clasificación: | Libro Electrónico |
|---|---|
| Autor principal: | |
| Otros Autores: | , |
| Formato: | Electrónico eBook |
| Idioma: | Inglés |
| Publicado: |
Bingley :
Emerald Publishing Limited,
2020.
|
| Colección: | Advances in Econometrics Ser.
|
| Temas: | |
| Acceso en línea: | Texto completo Texto completo |
MARC
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| 100 | 1 | |a Terrell, Dek. | |
| 245 | 1 | 0 | |a Essays in Honor of Cheng Hsiao |h [electronic resource]. |
| 260 | |a Bingley : |b Emerald Publishing Limited, |c 2020. | ||
| 300 | |a 1 online resource (468 p.). | ||
| 336 | |a text |b txt |2 rdacontent | ||
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| 338 | |a online resource |b cr |2 rdacarrier | ||
| 490 | 1 | |a Advances in Econometrics Ser. ; |v v.41 | |
| 500 | |a Description based upon print version of record. | ||
| 505 | 0 | |a Intro -- Title Page -- Copyright Page -- Contents -- Introduction -- References -- Chapter 1: Correction for the Asymptotical Bias of the Arellano-Bond type GMM Estimation of Dynamic Panel Models -- 1. Introduction -- 2. Model and the Arellano-Bond GMM Estimation -- 2.1. The Arellano-Bond GMM Estimation and its Asymptotical Bias -- 2.2. JIVE Estimation -- 3. Model with Exogenous Variables -- 4. Monte Carlo Simulation -- 5. Conclusion -- Notes -- References -- Appendix -- Chapter 2: Testing Convergence Using HAR Inference -- 1. Introduction | |
| 505 | 8 | |a 2. Preliminaries on Robust Inference Concerning Trend -- 3. Testing Convergence -- 4. Robust Testing -- 4.1. Null and Alternative Hypotheses -- 4.2. Test Statistics and Alternative Nonparametric Studentization -- 4.3. Limit Theory under the Null -- 4.4. Limit Theory under the Alternative of Convergence -- 5. Monte Carlo Simulations and an Empirical Example -- 5.1. Monte Carlo Simulations -- 5.2. Empirical Example: State Unemployment Rates -- 6. Concluding Remarks -- References -- Appendix -- Assumptions -- Proof of Theorem 2 -- Chapter 3: Model Selection for Explosive Models -- 1. Introduction | |
| 505 | 8 | |a 2. Models, Information Criteria, and a Literature Review -- 3. Limit Properties Based on the OLS Estimator -- 4. Limit Properties Based on the Indirect Inference Estimator -- 5. Monte Carlo Study -- 6. Conclusion -- References -- Appendix -- A. Proof of Theorem 3.1 -- B. Proof of Theorem 3.4 -- C. Proof of Theorem 3.6 -- D. Proof of Theorem 3.8 -- E. Proof of Proposition 3.10 -- F. Proof of Theorem 4.1 -- G. Proof of Theorem 4.4 -- H. Proof of Theorem 4.6 -- I. Proof of Theorem 4.8 -- Chapter 4: A VAR Approach to Forecasting Multivariate Long Memory Processes Subject to Structural Breaks | |
| 505 | 8 | |a 1. Introduction -- 2. Model and Theoretical Insights -- 2.1. Basic Model -- 2.2. The Criteria for Selecting k -- 3. Forecasting Methods -- 3.1. Post-break approach -- 3.2. VNVNO method -- 3.3. VNV method -- 3.4. Optimal weighting averaging approach -- 3.5. VAR approximation approach -- 4. Comparison of Forecasting Methods: Simulation Results -- 4.1. Simulation Design I -- 4.2. Simulation Design II -- 4.3. Comparison When the Break Occurs at the End of the Sample -- 5. Forecasting Multivariate Realized Volatility -- 6. Concluding Remarks -- Notes -- References -- Appendix | |
| 505 | 8 | |a Appendix 1. The simulation and empirical support for Lemma 1 -- Apppendix 2. Proof of Lemma 1 -- Appendix 3. Proof of Lemma 2 -- Appendix 3. Proof of Lemma 2 -- Chapter 5: Identifying Global and National Output and Fiscal Policy Shocks Using -- 1. Introduction -- 2. Literature on Debt and Growth -- 3. Gvar Representation of Factor-Augmented Panel Var Models -- 4. Long-Run Perspective on Public Debt and Output -- 5. Global Output and Fiscal Policy Shocks and Their Effects -- 5.1. Evidence on CS Dependence -- 5.2. Estimated Global Shocks -- 5.3. Country-specific Effects of the Global Shocks | |
| 500 | |a 5.4. FEVDs and IRFs of the Global Shocks | ||
| 520 | |a Including contributions spanning a variety of theoretical and applied topics in econometrics, this volume of Advances in Econometricsis published in honour of Cheng Hsiao. | ||
| 504 | |a Includes bibliographical references and index. | ||
| 546 | |a In English. | ||
| 590 | |a Emerald Insight |b Emerald All Book Titles | ||
| 590 | |a ProQuest Ebook Central |b Ebook Central Academic Complete | ||
| 650 | 0 | |a Econometrics. | |
| 650 | 6 | |a Économétrie. | |
| 650 | 7 | |a Econometrics. |2 bicssc | |
| 650 | 7 | |a Business & Economics |x Econometrics. |2 bisacsh | |
| 650 | 7 | |a Econometrics |2 fast | |
| 700 | 1 | |a Li, Tong. | |
| 700 | 1 | |a Pesaran, M. Hashem. | |
| 758 | |i has work: |a Essays in honor of Cheng Hsiao (Text) |1 https://id.oclc.org/worldcat/entity/E39PCFGk7BD9gCB4XwKrdPWmBd |4 https://id.oclc.org/worldcat/ontology/hasWork | ||
| 776 | 0 | 8 | |i Print version: |a Terrell, Dek |t Essays in Honor of Cheng Hsiao |d Bingley : Emerald Publishing Limited,c2020 |z 9781789739589 |
| 830 | 0 | |a Advances in Econometrics Ser. | |
| 856 | 4 | 0 | |u https://www.emerald.com/insight/publication/doi/10.1108/S0731-9053202041 |z Texto completo |
| 856 | 4 | 0 | |u https://ebookcentral.uam.elogim.com/lib/uam-ebooks/detail.action?docID=6174461 |z Texto completo |
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