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Nonparametric regression estimation with general parametric error covariance : a more efficient two-step estimator

Su, Liangjun; Ullah, Aman; Wang, Yun - In: Empirical economics : a journal of the Institute for … 45 (2013) 2, pp. 1009-1024

Persistent link: https://www.econbiz.de/10010188619

Estimation and forecasting of dynamic conditional covariance : a semiparametric multivariate model

Long, Xiangdong; Su, Liangjun; Ullah, Aman - In: Journal of business & economic statistics : JBES ; a … 29 (2011) 1, pp. 109-125

Persistent link: https://www.econbiz.de/10009159106

Testing conditional uncorrelatedness

Su, Liangjun; Ullah, Aman - In: Journal of business & economic statistics : JBES ; a … 27 (2009) 1, pp. 18-29

Persistent link: https://www.econbiz.de/10003805419

Stein-like shrinkage estimation of panel data models with common correlated effects

Huang, Bai; Lee, Tae-hwy; Ullah, Aman - 2019

Persistent link: https://www.econbiz.de/10012244158

Generalized kernel regularized least squares estimator with parametric error covariance

Dang, Justin; Ullah, Aman - In: Empirical economics : a quarterly journal of the … 64 (2023) 6, pp. 3059-3088

Persistent link: https://www.econbiz.de/10014329024

Stein-like Shrinkage Estimation of Panel Data Models with Common Correlated Effects

Huang, Bai; Lee, Tae-Hwy; Ullah, Aman - In: Topics in Identification, Limited Dependent Variables, …, (pp. 249-274). 2019

This chapter examines the asymptotic properties of the Stein-type shrinkage combined (averaging) estimation of panel data models. We introduce a combined estimation when the fixed effects (FE) estimator is inconsistent due to endogeneity arising from the correlated common effects in the...

Persistent link: https://www.econbiz.de/10015091177