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Posterior distributions in limited information analysis of the simultaneous equations model using the Jeffreys prior

Chao, John C. - In: Journal of econometrics 87 (1998) 1, pp. 49-86

Persistent link: https://www.econbiz.de/10001248306

Uniform inference in panel autoregression

Chao, John C.; Phillips, Peter C. B. - 2017

Persistent link: https://www.econbiz.de/10011647633

Mean average estimation of dynamic panel models with nonstationary initial condition

Chao, John C.; Kim, Myungsup; Sul, Donggyu - In: Essays in honor of Peter C. B. Phillips, (pp. 241-279). 2014

Persistent link: https://www.econbiz.de/10010442864

Uniform inference in panel autoregression

Chao, John C.; Phillips, Peter C. B. - In: Econometrics : open access journal 7 (2019) 4/45, pp. 1-28

This paper considers estimation and inference concerning the autoregressive coefficient (p) in a panel autoregression for which the degree of persistence in the time dimension is unknown. Our main objective is to construct confidence intervals for p that are asymptotically valid, having...

Persistent link: https://www.econbiz.de/10012160749

Ingmar Prucha's contributions to economics and econometrics

Kuersteiner, Guido M.; Chao, John C. - In: Empirical economics : a journal of the Institute for … 55 (2018) 1, pp. 1-16

Persistent link: https://www.econbiz.de/10011949741

Testing the expectations theory of the term structure of interest rates using model-selection methods

Chao, John C. (contributor); Chiao, Chaoshin (contributor) - In: Studies in nonlinear dynamics and econometrics : SNDE ; … 2 (1997) 4, pp. 95-108

Persistent link: https://www.econbiz.de/10001769671

Jeffreys prior analysis of the simultaneous equations model in the case with n + 1 endogenous variables

Chao, John C.; Phillips, Peter C. B. - In: Journal of econometrics 111 (2002) 2, pp. 251-283

Persistent link: https://www.econbiz.de/10001715747

Harry Kelejian professional life and work

Chao, John C.; Rust, John - In: Spatial economic analysis : the journal of the Regional … 8 (2013) 3, pp. 218-227

Persistent link: https://www.econbiz.de/10010202749

An exact bayes test of asset pricing models with application to international markets

Avramov, Doron; Chao, John C. - In: The journal of business : B 79 (2006) 1, pp. 293-324

Persistent link: https://www.econbiz.de/10003302005

Model selection in partially nonstationary vector autoregressive processes with reduced rank structure

Chao, John C.; Phillips, Peter C.B. - In: Journal of econometrics 91 (1999) 2, pp. 227-272

Persistent link: https://www.econbiz.de/10006785378