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MINIMUM DISTANCE ESTIMATION OF NONSTATIONARY TIME SERIES MODELS

Moon, Hyungsik Roger; Schorfheide, Frank - In: Econometric Theory 18 (2002) 06, pp. 1385-1407

Persistent link: https://www.econbiz.de/10005411853

ESTIMATION OF AUTOREGRESSIVE ROOTS NEAR UNITY USING PANEL DATA

Moon, Hyungsik R.; Phillips, Peter C.B. - In: Econometric Theory 16 (2000) 06, pp. 927-997

Persistent link: https://www.econbiz.de/10005411811

HOW TO ESTIMATE AUTOREGRESSIVE ROOTS NEAR UNITY

Phillips, Peter C.B.; Moon, Hyungsik Roger; Xiao, Zhijie - In: Econometric Theory 17 (2001) 01, pp. 29-69

Persistent link: https://www.econbiz.de/10005411854

PETER C.B. PHILLIPS’S CONTRIBUTIONS TO PANEL DATA METHODS

Moon, Hyungsik Roger; Perron, Benoit - In: Econometric Theory 30 (2014) 04, pp. 882-893

Persistent link: https://www.econbiz.de/10010800955

REDUCING BIAS OF MLE IN A DYNAMIC PANEL MODEL

Hahn, Jinyong; Moon, Hyungsik Roger - In: Econometric Theory 22 (2006) 03, pp. 499-512

Persistent link: https://www.econbiz.de/10005610318

PANEL DATA MODELS WITH FINITE NUMBER OF MULTIPLE EQUILIBRIA

Hahn, Jinyong; Moon, Hyungsik Roger - In: Econometric Theory 26 (2010) 03, pp. 863-881

We study a nonlinear panel data model in which the fixed effects are assumed to have finite support. The fixed effects estimator is known to have the incidental parameters problem. We contribute to the literature by making a qualitative observation that the incidental parameters problem in this...

Persistent link: https://www.econbiz.de/10008505661

A STUDY OF A SEMIPARAMETRIC BINARY CHOICE MODEL WITH INTEGRATED COVARIATES

Guerre, Emmanuel; Moon, Hyungsik Roger - In: Econometric Theory 22 (2006) 04, pp. 721-742

Persistent link: https://www.econbiz.de/10005250193

FORECASTING ECONOMIC TIME SERIES

Schorfheide, Frank - In: Econometric Theory 16 (2000) 03, pp. 441-450

Persistent link: https://www.econbiz.de/10005411975

FINANCIAL ECONOMETRICS, by Christian Gourieroux and Joann Jasiak, Princeton University Press, 2001

Schorfheide, Frank - In: Econometric Theory 19 (2003) 02, pp. 401-409

Persistent link: https://www.econbiz.de/10005250122