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Testing for stationarity with a break
Unit root tests in panel data: asymptotic and finite-sample properties
面板数据单位根检验：渐近与有限样本性质
We consider pooling cross-section time series data for testing the unit root hypothesis. The degree of persistence in individual regression error, the intercept and trend coefficient are allowed to vary freely across individuals. As both the cross-section and time series dimensions of the panel grow large, the pooled t-statistic has a limiting normal distribution that depends on the regression specification but is free from nuisance parameters. Monte Carlo simulations…
Uses of entropy and divergence measures for evaluating econometric approximations and inference
Information-based estimators for the non-stationary transition probability matrix: an application to the Danish pork industry
Comparison of maximum entropy and higher-order entropy estimators
Limited information likelihood and Bayesian analysis
Sample selection and information-theoretic alternatives to GMM
Confidence intervals in generalized method of moments models
Information indices: unification and applications
Information processing and Bayesian analysis
Generalized moment based estimation and inference
The MM, ME, ML, EL, EF and GMM approaches to estimation: a synthesis
Information-theoretic estimation of preference parameters: macroeconomic applications and simulation evidence
Connections between entropic and linear projections in asset pricing estimation
Generalized empirical likelihood non-nested tests
On the recovery of joint distributions from limited information
On B-robust instrumental variable estimation of the linear model with panel data
Modeling the interdependence of volatility and inter-transaction duration processes
Reduced rank regression in cointegrated models
Edgeworth approximations for semiparametric instrumental variable estimators and test statistics
半参数工具变量估计量与检验统计量的 Edgeworth 近似
We establish the validity of higher order asymptotic expansions to the distribution of a version of the nonlinear semiparametric instrumental variable considered in Newey (1990) as well as to the distribution of a Wald statistic derived from it. We employ local polynomial smoothing with variable bandwidth, which includes local linear, kernel, and [a version of] nearest neighbour estimates as special cases. Our expansions are valid to order n^(-2ϵ) for some 0 < ϵ < ½, where ϵ…
The pseudo-true score encompassing test for non-nested hypotheses
Establishing conditions for the functional central limit theorem in nonlinear and semiparametric time series processes
Determination of cointegrating rank in fractional systems
分数阶系统中的协整秩确定
This paper develops methods of investigating the existence and extent of cointegration in fractionally integrated systems. We focus on stationary series, with some discussion of extension to nonstationarity. The setting is semiparametric, so that modelling is effectively confined to a neighbourhood of frequency zero. We first discuss the definition of fractional cointegration. The initial step of cointegration analysis entails partitioning the vector series into subsets with…