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Testing for unit roots in heterogeneous panels
An instrumental variable approach for tests of unit roots and seasonal unit roots in asymmetric time series models
GLS detrending, efficient unit root tests and structural change
Likelihood preserving normalization in multiple equation models
Structural changes in the cointegrated vector autoregressive model
Bayesian analysis of a self-selection model with multiple outcomes using simulation-based estimation: an application to the demand for healthcare
The large sample behaviour of the generalized method of moments estimator in misspecified models
模型误设下广义矩估计量的大样本行为
This paper presents the limiting distribution theory for the GMM estimator when the estimation is based on a population moment condition which is subject to non–local (or fixed) misspecification. It is shown that if the parameter vector is overidentified then the weighting matrix plays a far more fundamental role than it does in the corresponding analysis for correctly specified models. Specifically, the rate of convergence of the estimator depends on the rate of convergence…
Kurtosis of GARCH and stochastic volatility models with non-normal innovations
Identification and sequential estimation of panel data models with insufficient exclusion restrictions
Estimation of household demand systems with theoretically compatible Engel curves and unit value specifications
Optimal critical values of pre-tests when estimating the regression error variance: analytical findings under a general loss structure
Testing for neglected nonlinearity in regression models based on the theory of random fields
Bayesian and classical approaches to instrumental variable regression
Higher-order kernel semiparametric M-estimation of long memory
长记忆参数的高阶核半参数 M 估计
Econometric interest in the possibility of long memory has developed as a flexible alternative to, or compromise between, the usual short memory or unit root prescriptions, for example in the context of modelling cointegrating or other relationships and in describing the dependence structure of nonlinear functions of financial returns. Semiparametric methods of estimating the memory parameter can avoid bias incurred by misspecification of the short memory component. We…