In this paper, we propose a state-varying endogenous regime switching model (the SERS model), which includes the endogenous regime switching model by Chang, Choi and Park (2017), the CCP model, as a special case. To estimate the unknown parameters involved in the SERS model, we propose a maximum...

In this paper, we consider a wide class of time-varying multivariate causal processes which nests many classic and new examples as special cases. We first prove the existence of a weakly dependent stationary approximation for our model which is the foundation to initiate the theoretical...

In this paper, we propose a simple dependent wild bootstrap procedure for us to establish valid inferences for a wide class of panel data models including those with interactive fixed effects. The proposed method allows for the error components having weak correlation over both dimensions, and...

In this paper, we study a class of high dimensional moment restriction panel data models with interactive effects, where factors are unobserved and factor loadings are nonparametrically unknown smooth functions of individual characteristics variables. We allow the dimension of parameter vector...

This paper proposes a novel time-varying present-value model to analyze the joint dynamics of stock returns and cash flows periodically. We use a nonparametric time-varying vector autoregressive model to examine the economic implications of the time-varying present-value model. By conducting...