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Identification and dichotomization of long- and short-run relations of cointegrated vector autoregressive models
Hsiao, Cheng - In: Econometric theory 17 (2001) 5, pp. 889-912
Persistent link: https://www.econbiz.de/10001609161
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Estimation and inference in short panel vector autoregressions with unit roots and cointegration
Binder, Michael; Hsiao, Cheng - 2000
Persistent link: https://www.econbiz.de/10001518701
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Estimation and inference in short panel vector autoregressions with unit roots and cointegration
Binder, Michael; Hsiao, Cheng; Pesaran, M. Hashem - 2000
Persistent link: https://www.econbiz.de/10001500096
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The real effects of capital inflows on emerging markets
Dekle, Robert; Hsiao, Cheng; Wang, Siyan - In: Review of Pacific Basin financial markets and policies 4 (2001) 2, pp. 165-202
Persistent link: https://www.econbiz.de/10001610703
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Estimation and inference in short panel vector autoregressions with unit roots and cointegration
Binder, Michael; Hsiao, Cheng; Pesaran, M. Hashem - 2000
This paper considers estimation and inference in panel vector autoregressions (PVARs) with fixed effects when the time dimension of the panel is finite, and the cross-sectional dimension is large. A Maximum Likelihood (ML) estimator based on a transformed likelihood function is proposed and...
Persistent link: https://www.econbiz.de/10001560585
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Estimation and inference in short panel vector autoregressions with unit roots and cointegration
Binder, Michael; Hsiao, Cheng; Pesaran, M. Hashem - In: Econometric theory 21 (2005) 4, pp. 795-837
Persistent link: https://www.econbiz.de/10003004733
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Estimation and inference in short panel vector autoregressions with unit roots and cointegration
Binder, Michael; Hsiao, Cheng; Pesaran, M. Hashem - 2000
This paper considers estimation and inference in panel vector autoregressions (PVARs) with fixed effects when the time dimension of the panel is finite, and the cross-sectional dimension is large. A Maximum Likelihood (ML) estimator based on a transformed likelihood function is proposed and...
Persistent link: https://www.econbiz.de/10009786715
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Modified two-stage least-squares estimators for the estimation of a structural vector autoregressive integrated process
Hsiao, Cheng; Wang, Siyan - In: Journal of econometrics 135 (2006) 1/2, pp. 427-463
Persistent link: https://www.econbiz.de/10003376092
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Estimation and Inference in Short Panel Vector Autoregressions with Unit Roots and Cointegration
Pesaran, M. Hashem; Binder, Michael; Hsiao, Cheng - 2021
This paper considers estimation and inference in panel vector autoregressions (PVARs) with fixed effects when the time dimension of the panel is finite, and the cross-sectional dimension is large. A Maximum Likelihood (ML) estimator based on a transformed likelihood function is proposed and...
Persistent link: https://www.econbiz.de/10013321199