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Essays in Honor of Cheng Hsiao [electronic resource].

Author
Terrell, Dek
Published
Bingley : Emerald Publishing Limited, 2020.
Physical Description
1 online resource (468 pages).
Additional Creators
Li, Tong, 1967- and Pesaran, M. Hashem, 1946-
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Series
Language Note
In English.
Contents
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, 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, 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, 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, and 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
Summary
Including contributions spanning a variety of theoretical and applied topics in econometrics, this volume of Advances in Econometricsis published in honour of Cheng Hsiao.
Subject(s)
ISBN
9781789739572
1789739578
9781789739596 (electronic bk.)
1789739594 (electronic bk.)
1789739586
9781789739589
Note
Description based upon print version of record.
5.4. FEVDs and IRFs of the Global Shocks
Bibliography Note
Includes bibliographical references and index.
View MARC record | catkey: 43294202