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Nonlinear IV unit root tests in panels with cross-sectional dependency

[PDF] from u-tokyo.ac.jp
Full text - MIT Libraries
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 ...
Cited by 248 - Related articles - All 25 versions

Bootstrap unit root tests in panels with cross-sectional dependency

[PDF] from rice.edu
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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 ...
Cited by 206 - Related articles - Library Search - BL Direct - All 12 versions

Nonlinear econometric models with cointegrated and deterministically trending regressors

[PDF] from yale.edu
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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 ...
Cited by 82 - Related articles - BL Direct - All 30 versions

On the asymptotics of ADF tests for unit roots

[PDF] from rice.edu
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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 ...
Cited by 71 - Related articles - BL Direct - All 7 versions

Bootstrapping cointegrating regressions

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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 ...
Cited by 60 - Related articles - All 10 versions

Extracting a common stochastic trend: Theory with some applications

[PDF] from umsystem.edu
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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 ...
Cited by 31 - Related articles - All 20 versions

Nonlinear instrumental variable estimation of an autoregression

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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, ...
Cited by 26 - Related articles - Library Search - BL Direct - All 22 versions

[PDF] Panel unit root tests in the presence of cross-sectional dependency and heterogeneity

[PDF] from psu.edu
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 ...
Cited by 24 - Related articles - View as HTML - All 10 versions

Index models with integrated time series

[PDF] from rice.edu
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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 ...
Cited by 24 - Related articles - All 11 versions

[PDF] Electricity demand analysis using cointegration and error-correction models with time varying parameters: The Mexican case

[PDF] from rice.edu
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 ...
Cited by 13 - Related articles - View as HTML - All 6 versions

Time series regression with mixtures of integrated processes

[PDF] from 128.36.236.35
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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 ...
Cited by 12 - Related articles - Library Search - BL Direct - All 13 versions

[PDF] Unit Root Tests for Panels in the Presence of Short'run and Long'run Dependencies: Nonlinear IV Approach with Fixed> and Large C

[PDF] from rice.edu
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 ...
Cited by 12 - Related articles - View as HTML - All 6 versions

[PDF] Bootstrapping unit root tests with covariates

[PDF] from rice.edu
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 ...
Cited by 10 - Related articles - View as HTML - All 7 versions

Endogeneity in nonlinear regressions with integrated time series

[PDF] from quebececonomique.qc.ca
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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 ...
Cited by 8 - Related articles - All 13 versions

Residual based tests for cointegration in dependent panels

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 ...
Cited by 6 - Related articles - Get it from MIT Libraries - All 5 versions

Nonstationary index models

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 ...
Cited by 5 - Related articles - Cached - Get it from MIT Libraries - All 4 versions

Taking a new contour: A novel approach to panel unit root tests

[PDF] from rice.edu
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 ...
Cited by 4 - Related articles - Get it from MIT Libraries - All 14 versions

Nonlinear IV Panel Unit Root Tests

[PDF] from berkeley.edu
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 ...
Cited by 4 - Related articles - All 20 versions

Testing for Unit Roots in Small Panels with Short‐run and Long‐run Cross‐sectional Dependencies

[PDF] from iub.edu
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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 ...
Cited by 4 - Related articles - All 13 versions

Vector autoregressions with unknown mixtures of I (0), I (1), and I (2) components

[PDF] from rice.edu
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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 ...
Cited by 4 - Related articles - BL Direct - All 12 versions

Fully modified least squares in I (2) regression

Full text - MIT Libraries
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. ...
Cited by 3 - Related articles - BL Direct - All 6 versions

[PDF] Nonstationary Logistic Regression1

[PDF] from tamu.edu
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 ...
Cited by 2 - Related articles - View as HTML - All 5 versions

[PDF] Evaluating Factor Pricing Models Using High Frequency Panels1

[PDF] from ox.ac.uk
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, ...
Cited by 1 - Related articles - View as HTML - All 12 versions

Nonstationary Regression with Logistic Transition

[PDF] from res.org.uk
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 ...
Related articles - Get it from MIT Libraries - All 4 versions

Evaluating Factor Pricing Models Using High Frequency Panels

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, ...
Related articles

Endogeneity in Nonlinear Regressions with Integrated Time Series

[PDF] from iu.edu
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 ...
Related articles - All 6 versions

[PDF] A Reexamination of Fama-French Regressions Using High Frequency Panels

[PDF] from yale.edu
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 ...
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Nonlinear IV Unit Root Tests in Panels with Cross-Sectional Dependency

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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