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Estimation bias and feasible conditional forecasts from the first-order moving average model

Bao, Yong; Zhang, Ru - In: Journal of time series econometrics 6 (2014) 1, pp. 63-80

Persistent link: https://www.econbiz.de/10010225248

Moment approximation for least-squares estimator in first-order regression models with unit root and nonnormal errors

Bao, Yong; Ullah, Aman; Zhang, Ru - In: Essays in honor of Peter C. B. Phillips, (pp. 65-92). 2014

Persistent link: https://www.econbiz.de/10010442878

Finite-sample moments of the coefficient of variation

Bao, Yong - In: Econometric theory 25 (2009) 1, pp. 291-297

Persistent link: https://www.econbiz.de/10003816235

Estimation risk-adjusted sharpe ratio and fund performance ranking under a general return distribution

Bao, Yong - In: Journal of financial econometrics : official journal of … 7 (2009) 2, pp. 152-173

Persistent link: https://www.econbiz.de/10003826491

The asymptotic covariance matrix of the QMLE in ARMA models

Bao, Yong - In: Econometric reviews 37 (2018) 1/5, pp. 309-324

Persistent link: https://www.econbiz.de/10012038710

Indirect inference estimation of a first-order dynamic panel data model

Bao, Yong - In: Journal of quantitative economics 19 (2021), pp. 79-98

Persistent link: https://www.econbiz.de/10013441709

Estimating linear dynamic panels with recentered moments

Bao, Yong - In: Econometrics : open access journal 12 (2024) 1, pp. 1-48

This paper proposes estimating linear dynamic panels by explicitly exploiting the endogeneity of lagged dependent variables and expressing the crossmoments between the endogenous lagged dependent variables and disturbances in terms of model parameters. These moments, when recentered, form the...

Persistent link: https://www.econbiz.de/10014636394

Estimating spatial autoregressions under heteroskedasticity without searching for instruments

Bao, Yong - In: Regional science and urban economics 106 (2024), pp. 1-16

Persistent link: https://www.econbiz.de/10015070916

Indirect inference estimation of higher-order spatial autoregressive models

Bao, Yong - In: Econometric reviews 42 (2023) 3, pp. 247-280

Persistent link: https://www.econbiz.de/10014305506

A Monte Carlo power comparison of the classical and one-sided procedures for testing linear inequalities

Bao, Yong; Firoozi, Fathali; Lo, Melody - In: Journal of quantitative economics : official journal of … 6 (2008) 1/2, pp. 233-239

Persistent link: https://www.econbiz.de/10003906300