期刊： ECONOMETRICS JOURNAL, 2021; 24 (1)
In this paper, we develop a model averaging method to estimate a high-dimensional covariance matrix, where the candidate models are constructed by dif......
期刊： ECONOMETRICS JOURNAL, 2020; 23 (3)
Early studies of the generalized transformation panel data model resorted to the identical marginal distribution of the error term over time. This sta......
期刊： ECONOMETRICS JOURNAL, 2020; 23 (3)
In this paper, we propose a novel method to identify the conditional average treatment effect partial derivative (CATE-PD) in an environment in which ......
期刊： ECONOMETRICS JOURNAL, 2019; 22 (1)
This paper considers a moderately explosive AR(1) process where the autoregressive root approaches unity from the right at a certain rate. We first de......
期刊： ECONOMETRICS JOURNAL, 2019; 22 (3)
The present paper considers a linear binary response model for panel data with random effects that differ across individuals but are constant over tim......
期刊： ECONOMETRICS JOURNAL, 2019; 22 (3)
We have developed a customizable goodness-of-fit test of a parametric density based on its distance to a consistently estimated density. This consiste......
期刊： ECONOMETRICS JOURNAL, 2018; 21 (1)
In this paper, we present a semi-parametric identification and estimation method for censored dynamic panel data models of short time periods and thei......
期刊： ECONOMETRICS JOURNAL, 2018; 21 (2)
In this paper, we consider the semiparametric identification and estimation of a heteroscedastic binary choice model with endogenous dummy regressors ......
期刊： ECONOMETRICS JOURNAL, 2018; 21 (2)
In this paper, we propose a consistent U-statistic test with good sampling properties to detect changes in volatility. We show that the test has a lim......
期刊： ECONOMETRICS JOURNAL, 2017; 20 (1)
In this paper, we investigate the second-order properties of empirical likelihood ratio (ELR) tests of general nonlinear parametric restrictions for o......
期刊： ECONOMETRICS JOURNAL, 2017; 20 (1)
We study the nonparametric estimation of a regression function with nonstationary (integrated or nearly integrated) covariates and the error series of......
期刊： ECONOMETRICS JOURNAL, 2017; 20 (2)
We develop a specification test of predictive densities, based on the fact that the generalized residuals of correctly specified predictive density mo......
