Y Chang - Journal of Econometrics, 2002 - Elsevier
We propose a unit root test for panels with cross-sectional dependency. We allow general
dependency structure among the innovations that generate data for each of the cross-
sectional units. Each unit may have different sample size, and therefore unbalanced ...
Y Chang - Journal of Econometrics, 2004 - Elsevier
We apply bootstrap methodology to unit root tests for dependent panels with N cross-
sectional units and T time series observations. More specifically, we let each panel be driven
by a general linear process which may be different across cross-sectional units, and ...
Y Chang, JY Park… - The Econometrics Journal, 2001 - Wiley Online Library
This paper develops an asymptotic theory for a general class of nonlinear non-stationary
regressions, extending earlier work by Phillips and Hansen (1990) on linear cointegrating
regressions. The model considered accommodates a linear time trend and stationary ...
Y Chang… - Econometric Reviews, 2002 - Taylor & Francis
ABSTRACT In this paper, we derive the asymptotic distributions of Augmented-Dickey–
Fuller (ADF) tests under very mild conditions. The tests were originally proposed and
investigated by Said and Dickey (1984) for testing unit roots in finite-order ARMA models ...
Y Chang, JY Park… - Journal of Econometrics, 2006 - Elsevier
In this paper, we consider bootstrapping cointegrating regressions. It is shown that the
method of bootstrap, if properly implemented, generally yields consistent estimators and test
statistics for cointegrating regressions. For the cointegrating regression models driven by ...
Y Chang, J Isaac Miller… - Journal of Econometrics, 2009 - Elsevier
This paper investigates the statistical properties of estimators of the parameters and
unobserved series for state space models with integrated time series. In particular, we derive
the full asymptotic results for maximum likelihood estimation using the Kalman filter for a ...
PCB Phillips, JY Park… - Journal of econometrics, 2004 - Elsevier
Instrumental variable (IV) estimation methods that allow for certain nonlinear functions of the
data as instruments are studied. The context of the discussion is the simple unit root model
where certain advantages to the use of nonlinear instruments are revealed. In particular, ...
Y Chang… - mimeographed, Department of Economics, Rice …, 2002 - Citeseer
Abstract An IV approach, using as instruments nonlinear transformations of the lagged
levels, is explored to test for unit roots in panels with general dependency and heterogeneity
across cross-sectional units. We allow not only for the cross-sectional dependencies of ...
Y Chang… - Journal of econometrics, 2003 - Elsevier
This paper considers index models, such as simple neural network models and smooth
transition regressions, with integrated regressors. The models can be used to analyze
various nonlinear relationships among nonstationary economic time series. Asymptotics ...
Y Chang… - Rice University, WP2003-10, 2003 - ruf.rice.edu
Abstract We specify and estimate a double-log functional form of the demand equation,
using monthly Mexican electricity data for residential, commercial and industrial sectors.
Income, prices and a nonparametric temperature measure are used as explanatory ...
Y Chang… - Econometric Theory, 1995 - Cambridge Univ Press
Abstract The paper develops a statistical theory for regressions with integrated regressors of
unknown order and unknown cointegrating dimension. In practice, we are often unsure
whether unit roots or cointegration is present in time series data, and we are also ...
Y Chang… - Rice University, unpublished, 2005 - ruf.rice.edu
Abstract An IV approach, using as instruments nonlinear transformations of the lagged
levels, is explored to test for unit roots in panels with general dependency and heterogeneity
across cross-sectional units. We allow not only for the cross-sectional dependencies of ...
Y Chang, RC Sickles… - mimeographed, Department of …, 2001 - ruf.rice.edu
Abstract We consider the bootstrap method for the covariates augmented Dickey-Fuller
(CADF) unit root test suggested in Hansen (1995) which uses related variables to improve
the power of univariate unit root tests. It is shown that there are substantial power gains ...
Y Chang… - Econometric Reviews, 2010 - Taylor & Francis
This article considers the nonlinear regression with integrated regressors that are
contemporaneously correlated with the regression error. We, in particular, establish the
consistency and derive the limit distribution of the nonlinear least squares estimator under ...
Y Chang… - Journal of Econometrics, 2011 - Elsevier
In the paper, we propose residual based tests for cointegration in general panels with cross-
sectional dependency, endogeneity and various heterogeneities. The residuals are
obtained from the usual least squares estimation of the postulated cointegrating ...
Y Chang… - Working Paper Series, 1999 - ideas.repec.org
This paper considers index models, such as neural network models and smooth transition
regressions, with integrated regressors. These are the models that can be ued to analyze
various nonlinear relationships among nonstationary economic time series. Asymptotics ...
Y Chang - Journal of Econometrics, 2012 - Elsevier
Abstract The paper introduces a novel approach to testing for unit roots in panels, which
takes a new contour that is drawn along the line given by the equi-squared-sum instead of
the traditional one given by the equi-sample-size. We show in the paper that the ...
Y Chang - 2003 - books.google.com
Nonstationary panels have recently drawn much attention in theoretical and empirical
research. This is largely due to the availability of panel data sets covering relatively long
time periods and the growing use of cross-country and cross-regional data over time to ...
Y Chang… - Review of Economic Studies, 2009 - Wiley Online Library
An IV approach, using as instruments non-linear transformations of the lagged levels, is
explored to test for unit roots in panels with general dependency and heterogeneity across
cross-sectional units. We allow not only for the cross-sectional dependencies of ...
Y Chang - Econometric Theory, 2000 - Cambridge Univ Press
Abstract This paper develops a new estimation method for nonstationary vector
autoregressions (VAR's) with unknown mixtures of I (0), I (1), and I (2) components. The
method does not require prior knowledge on the exact number and location of unit roots in ...
PCB Phillips… - Econometric Theory, 1994 - Cambridge Univ Press
... Peter CB Phillips and Yoosoon Chang. ... Fully Modified Least Squares in I(2) Regression. Peter
CB Phillips and Yoosoon Chang (1994) Econometric Theory, Volume 10, Issue 05, December
1994 pp 967-967 http://journals.cambridge.org/abstract_S026646660000894X. ...
Y Chang, B Jiang… - 2005 - econweb.tamu.edu
Abstract In this paper, we consider the logistic regression model with an integrated regressor
of the ARIMA type. It is shown that the model can be consistently estimated by the usual
nonlinear least squares (NLS) method. The convergence rates of the NLS estimators are ...
Y Chang, H Kim… - 2009 - emod.ox.ac.uk
Abstract This paper develops a new framework and statistical tools to analyze stock returns
using high frequency data. We consider a continuous-time multi-factor model via a
continuous-time multivariate regression model incorporating realistic empirical features, ...
Y Chang, B Jiang… - The Econometrics Journal, 2012 - Wiley Online Library
Abstract This paper studies the nonstationary regression model with logistic transition in
level or in slope. In the model, the level or slope is specified as a functional coefficient
specified parametrically as the logistic function of an integrated state variable driven by a ...
H Kim, J Park… - 2011 - papers.ssrn.com
Abstract: This paper develops a new framework and statistical tools to analyze stock returns
using high frequency data. We consider a continuous-time multi-factor model via a
continuous-time multivariate regression model incorporating realistic empirical features, ...
JY Park… - Econometric Society 2004 North American …, 2004 - scholarworks.iu.edu
Abstract: This article considers the nonlinear regression with integrated regressors that are
contemporaneously correlated with the regression error. We, in particular, establish the
consistency and derive the limit distribution of the nonlinear least squares estimator under ...
Y Chang, H Kim… - aida.wss.yale.edu
Abstract This paper develops a new framework and tools to reexamine Fama-French
regressions. For Fama-French portfolios, we consider a continuous-time factor model with a
specific error component structure implied by the underlying asset pricing theory. The ...
C Yoosoon - ukpmc.ac.uk
We propose a unit root test for panels with cross-sectional dependency. We allow general
dependency structure among the innovations that generate data for each of the cross-
sectional units. Each unit may have different sample size, and therefore unbalanced ...
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