This paper considers multiple changes in the factor loadings of a high dimensional factor model occurring at dates that are unknown but common to all subjects. Since the factors are unobservable, the problem is converted to estimating and testing structural changes in the second moments of the...

This paper considers the problem of testing cross-sectional correlation in large panel data models with serially-correlated errors. It finds that existing tests for cross-sectional correlation encounter size distortions with serial correlation in the errors. To control the size, this paper...

COVID-19 has affected almost all sectors of the economy, including the real estate markets across different countries in the world. A rich body of literature has emerged in analyzing real estate market trends and revealing important information. However, few studies have used a spatial...

In this paper we first estimate the growth rates of real per capita GDP, real per capita Consumption, and Productivity (real GDP per worker) for the following panels of countries: (1) OPEC countries, (2) industrialized countries, and (3) based on geographic location. We then test for a...

This paper investigates the performances of GMM estimates using kernel methods with and without prewhitening and the VARHAC method in a representative agent exchange economy. A Monte Carlo study is conducted to evaluate the issues of estimating the spectral density functions, e.g., parametric...

This paper discusses issues on the estimation of consumer demand equations subject to binding non-negative constraints. We propose computationally feasible specifications and a simulated maximum likelihood (SML) method for demand systems. Our study shows that the econometric implementation of...