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日期精度：到日 1 篇 · 到月 77 篇 · 到年 1 篇
On the power of the KPSS test of stationarity against fractionally-integrated alternatives
Alternative methods of detrending and the power of unit root tests
A minimum distance estimator for long-memory processes
Efficient estimation of models for dynamic panel data
动态面板数据模型的有效率估计
In this paper we consider a dynamic model for panel data. We show that, under standard assumptions, there are more moment conditions than are currently exploited in the literature. Some of these are linear, but others are quadratic, so that nonlinear GMM is required. We also show that exogenous regressors generate a larger number of relevant moment conditions in a dynamic model than they would in a static model.
Unit root tests with conditional heteroskedasticity
Testing the null hypothesis of stationarity against the alternative of a unit root
以平稳性为原假设、单位根为备择的检验
We propose a test of the null hypothesis that an observable series is stationary around a deterministic trend. The series is expressed as the sum of deterministic trend, random walk, and stationary error, and the test is the LM test of the hypothesis that the random walk has zero variance. The asymptotic distribution of the statistic is derived under the null and under the alternative that the series is difference-stationary. Finite sample size and power are considered in a…
Simultaneous equations and panel data
Comment
[On the Estimation of Panel-Data Models with Serial Correlation When Instruments Are Not Strictly Exogenous]: Comment
工具变量并非严格外生时含序列相关的面板模型估计：评论
Peter Schmidt, Seung C. Ahn, Donald Wyhowski, [On the Estimation of Panel-Data Models with Serial Correlation When Instruments Are Not Strictly Exogenous]: Comment, Journal of Business & Economic Statistics, Vol. 10, No. 1 (Jan., 1992), pp. 10-14
An Interpolation Test for a Unit Root in the Presence of Drift
存在漂移时单位根的插值检验
This paper considers tests of the null hypothesis of a unit root in an observed time series against the alternative that the series is level stationary. Interpolation tests whose critical values depend upon the value of the drift parameter are compared to the standard Dickey-Fuller tests in Monte Carlo simulations. The interpolation test performs quite well especially against one-sided alternatives.
An interpolation test for a unit root in the presence of drift
This paper considers tests of the null hypothesis of a unit root in an observed time series against the alternative that the series is level stationary. Interpolation tests whose critical values depend upon the value of the drift parameter are compared to the standard Dickey-Fuller tests in Monte Carlo simulations. The interpolation test performs quite well especially against one-sided alternatives.
Production frontiers with cross-sectional and time-series variation in efficiency levels
Three-stage least squares with different instruments for different equations
Efficient Estimation Using Panel Data
利用面板数据进行有效估计
IN AN IMPORTANT RECENT PAPER, Hausman and Taylor (1981)-hereafter HT-considered the instrumental-variable estimation of a regression model using panel data, when the individual effects may be correlated with a subset of the explanatory variables. They provided a simple consistent estimator and an efficient estimator. More recently, Amemiya and MaCurdy (1986)-hereafter AM-have suggested an alternative estimator which is more efficient than the HT estimator, under certain…