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Estimation of unit root spatial dynamic panel data models

Yu, Jihai; Lee, Lung-fei - In: Econometric theory 26 (2010) 5, pp. 1332-1362

Persistent link: https://www.econbiz.de/10008662668

Spatial nonstationarity and spurious regression : the case with row-normalized spatial weights matrix

Lee, Lung-fei; Yu, Jihai - In: Spatial economic analysis : the journal of the Regional … 4 (2009) 3, pp. 301-327

Persistent link: https://www.econbiz.de/10003888736

Estimation of fixed effects panel regression models with separable and nonseparable space-time filters

Lee, Lung-fei; Yu, Jihai - In: Journal of econometrics 184 (2015) 1, pp. 174-192

Persistent link: https://www.econbiz.de/10011326795

Estimation of dynamic limited-dependent rational expectations models

Lee, Lung-fei - In: Analysis of panels and limited dependent variable …, (pp. 79-113). 1999

Persistent link: https://www.econbiz.de/10001445102

Estimation of dynamic and ARCH Tobit models

Lee, Lung-fei - In: Journal of econometrics 92 (1999) 2, pp. 355-390

Persistent link: https://www.econbiz.de/10001400177

Simulation estimation of dynamic discrete choice panel models with accelerated importance samplers

Zhang, Wei; Lee, Lung-fei - In: The econometrics journal 7 (2004) 1, pp. 120-142

Persistent link: https://www.econbiz.de/10002121982

GMM estimation of spatial panel data models with common factors and a general space-time filter

Wang, Wei; Lee, Lung-fei - In: Spatial economic analysis : the journal of the Regional … 13 (2018) 2, pp. 247-269

Persistent link: https://www.econbiz.de/10011870750

Chang, Hsuan-Yu; Song, Xiaojun; Yu, Jihai - 2022

This paper investigates the estimation and inference of spatial panel data models in which the regression coefficient vector is a trending function. We use time differences to eliminate the individual effects and employ GMM estimations for regression coefficients with both linear and quadratic...

Persistent link: https://www.econbiz.de/10013292793

Empirical characteristic function in time series estimation

Knight, John L.; Yu, Jun - 1999

Persistent link: https://www.econbiz.de/10001435272

Gaussian estimation of continuous time models of the short term interest rate

Yu, Jun; Phillips, Peter C. B. - 2001

Persistent link: https://www.econbiz.de/10001596325