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Efficient estimation and inference for difference-in-difference regressions with persistent errors

Greenaway-McGrevy, Ryan; Han, Chirok; Sul, Donggyu - In: Essays in honor of Peter C. B. Phillips, (pp. 281-302). 2014

Persistent link: https://www.econbiz.de/10010442862

Dynamic seemingly unrelated cointegrating regression

Mark, Nelson C.; Ōgaki, Masao; Sul, Donggyu - 2003

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Asymptotic power advantages of long-horizon regressions

Mark, Nelson C.; Sul, Donggyu - 2002

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The use of predictive regressions at alternative horizons in finance and economics

Mark, Nelson C.; Sul, Donggyu - 2004

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Dynamic seemingly unrelated cointegrating regression

Mark, Nelson C. (contributor); Ōgaki, Masao (contributor); … - 2004

Persistent link: https://www.econbiz.de/10003114687

Dynamic seemingly unrelated cointegrating regressions

Mark, Nelson C.; Ōgaki, Masao; Sul, Donggyu - In: The review of economic studies 72 (2005) 3, pp. 797-820

Persistent link: https://www.econbiz.de/10002960490

Dynamic seemingly unrelated cointegrating regression

Mark, Nelson C.; Ōgaki, Masao; Sul, Donggyu - 2003

Persistent link: https://www.econbiz.de/10001873277

Dynamic Seemingly Unrelated Cointegrating Regression

Mark, Nelson C.; Ōgaki, Masao; Sul, Donggyu - 2021

Multiple cointegrating regressions are frequently encountered in empirical work as, for example, in the analysis of panel data. When the equilibrium errors are correlated across equations, the seemingly unrelated regression estimation strategy can be applied to cointegrating regressions to...

Persistent link: https://www.econbiz.de/10013232465

Transition modeling and econometric convergence tests

Phillips, Peter C. B. (contributor); … - 2007

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Transition modeling and econometric convergence tests

Phillips, Peter C. B.; Sul, Donggyu - In: Econometrica : journal of the Econometric Society, an … 75 (2007) 6, pp. 1771-1855

Persistent link: https://www.econbiz.de/10003611996