In this paper, we study a weak instrumental variables model for longitudinal data. A two stage least-squares estimator (the instrumental variables estimator) is presented. We show that the asymp-totic property for the proposed estimator is different from that for cross-sectional data. Also,...

In this paper, we consider a simultaneous equations model under a functional coefficient representation for the structural equation of interest and adopt the local-to-zero assumptions as in Staiger and Stock (1997) and Hahn and Kuersteiner (2002) on the coefficients of the instruments in the...

We show that independently repeated cross-sectional data can reduce the asymptotic bias when instruments are weakly correlated to the endogenous variables. When both N and T go to infinite, we can obtain consistent estimators even if instruments are weak.

This paper models the return series of USD/CNY exchange rate by considering the conditional mean and conditional volatility simultaneously. An index type functional-coefficient model is adopted to model the conditional mean part and a GARCH type model with a policy dummy variable is applied to...

This paper studies a new class of semiparametric dynamic panel data models, in which some coefficients are allowed to depend on some informative variables and some regressors can be endogenous. To estimate both parametric and nonparametric coefficients, a three-stage semiparametric estimation...

In this paper, we consider the instrumental variable estimation (the two-stage least squares estimator and the limited information maximum likelihood estimator) using weak instruments in a repeated measurements or a panel data model. We show that independently repeated cross-sectional data can...

We develop a dynamic model of collusion in airport-pair routes for selected US airlines and specify the first order conditions using a state-space representation that is estimated by Kalman-filtering techniques using the Databank 1A (DB1A) Department of Transportation (DOT) data during the...

This paper estimates the effect of institutions on economic performance using cross-city data from China. We argue that China’s ongoing reforms are part of a long and circuitous historical transition from antiquity to modernity, which started about 150 years ago. Learning from Western...

It is well known that the standard Lagrange multiplier (LM) test loses its local optimality when the true non-null model is not correctly specified. In this paper, we derive a score test robust to local and distributional misspecifications for spatial error autocorrelation and spatial lag...

We measure the correlations between two cities’ real GDP growth rates (a measure of business cycle correlations) to capture the degree of segmentation across China’s provincial and regional borders. This type of segmentation can be caused by local protectionism as well as other...