Essays in honor of Cheng Hsiao / edited by Tong Li, M. Hashem Pesaran, Dek Terrell.

Format:

Book

Contributor:

Li, Tong, 1967- editor.

Pesaran, M. Hashem, 1946- editor.

Terrell, Dek, editor.

Hsiao, Cheng, 1943- honouree.

Series:

Advances in econometrics ; v. 41.

Advances in econometrics, 0731-9053 ; volume 41

Language:

English

Subjects (All):

Econometrics.

Big data.

Genre:

Festschriften.

Physical Description:

x, 457 pages : illustrations ; 24 cm.

Edition:

First edition.

Place of Publication:

Bingley, UK : Emerald Publishing Limited, 2020.

Language Note:

In English.

Summary:

Includes contributions spanning a variety of theoretical and applied topics in econometrics, this volume of Advances in Econometrics is published in honour of Cheng Hsiao. In the first few chapters of this book, new theoretical panel and time series results are presented, exploring JIVE estimators, HAC, HAR and various sandwich estimators, as well as asymptotic distributions for using information criteria to distinguish between the unit root model and explosive models. Other chapters address topics such as structural breaks or growth empirics; auction models; and semiparametric methods testing for common vs. individual trends. Three chapters provide novel empirical approaches to applied problems, such as estimating the impact of survey mode on responses, or investigating how cross-sectional and spatial dependence of mortgages varies by default rates and geography. In the final chapters, Cheng Hsiao offers a forward-focused discussion of the role of big data in economics.

Contents:

Introduction / Dek Terrell, Tong Li and M. Hashem Pesaran

Chapter 1. Correction for the Asymptotical Bias of the Arellano-Bond Type GMM Estimation of Dynamic Panel Models / Yonghui Zhang and Qiankun Zhou

Chapter 2. Testing Convergence Using HAR Inference / Jianning Kong, Peter C.B. Phillips and Donggyu Sul

Chapter 3. Model Selection for Explosive Models / Yubo Tao and Jun Yu

Chapter 4. A VAR Approach to Forecasting Multivariate Long Memory Processes Subject to Structural Breaks / Cindy S.H. Wang and Shui Ki Wan

Chapter 5. Identifying Global and National Output and Fiscal Policy Shocks Using a GVAR / Alexander Chudik, M Hashem Pesaran and Kamiar Mohaddes

Chapter 6. The Determinants of Health Care Expenditure and Trends: A Semiparametric Panel Data Analysis of OECD Countries / Ming Kong, Jiti Gao and Xueyan Zhao

Chapter 7. Growth Empirics: A Bayesian Semiparametric Model with Random Coefficients for a Panel of OECD Countries / Badi H. Baltagi, Georges Bresson and Jean-Michel Etienne

Chapter 8. Robust Estimation and Inference for Importance Sampling Estimators with Infinite Variance / Joshua C.C. Chan, Chenghan Hou and Thomas Tao Yang

Chapter 9. Econometrics of Scoring Auctions / Jean-Jacques Laffont, Isabelle Perrigne, Michel Simioni and Quang Vuong

Chapter 10. Bayesian Estimation of Linear Sum Assignment Problems / Yu-Wei Hsieh and Mathew Shum

Chapter 11. The Mode ls the Message: Using Predata as Exclusion Restrictions to Evaluate Survey Design / Heng Chen, Geoffrey Dunbar and Q. Rallye Shen

Chapter 12. Estimating Peer Effects on Career Choice : a Spatial Multinomial Logit Approach / Bolun Li, Robin Sickles and Jenny Williams

Chapter 13. Mortgage Portfolio Diversification in the Presence of Cross-sectional and Spatial Dependence / Timothy Dombrowski, R. Kelley Pace and Rajesh P. Narayanan

Chapter 14. An Econometrician's Perspective on Big Data / Cheng Hsiao

Chapter 15. Comments on "An Econometrician's Perspective on Big Data" by Cheng Hsiao / Thomas B. Fomby

Chapter 16. Comments on "An Econometrician's Perspective on Big Data" by Cheng Hsiao / Georges Bresson.

Notes:

Includes bibliographical references and index.

ISBN:

1789739586

9781789739589

OCLC:

1127939896