Details about Cheng Hsiao

Workplace:

Department of Economics, University of Southern California, (more information at EDIRC)

Access statistics for papers by Cheng Hsiao.

Last updated 2008-08-17. Update your information in the RePEc Author Service.

Short-id: phs10

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Working Papers

2008

1. Aggregate and Household Demand for Money: Evidence from Public Opinion Survey on Household Financial Assets and Liabilities
   IMES Discussion Paper Series, Institute for Monetary and Economic Studies, Bank of Japan

2007

2. Diagnostic Tests of Cross Section Independence for Nonlinear Panel Data Model
   DNB Working Papers, Netherlands Central Bank, Research Department
   Also in
   Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge (2007)
   IZA Discussion Papers, Institute for the Study of Labor (IZA) (2007)
   CESifo Working Paper Series, CESifo GmbH (2007)

2006

3. A Consistent Model Specification Test with Mixed Discrete and Continuous Data
   IEPR Working Papers, Institute of Economic Policy Research (IEPR) View citations
   See Also Journal Article in Journal of Econometrics (2007)
4. Crises, What Crises?
   CEPR Discussion Papers, C.E.P.R. Discussion Papers View citations
   Also in
   IZA Discussion Papers, Institute for the Study of Labor (IZA) (2006)
5. Lag-Augmented Two- and Three-Stage Least Squares Estimators for Integrated Structural Dynamic Models
   IEPR Working Papers, Institute of Economic Policy Research (IEPR)
   See Also Journal Article in Econometrics Journal (2007)
6. Panel Data Analysis - Advantages and Challenges
   IEPR Working Papers, Institute of Economic Policy Research (IEPR)
   See Also Journal Article in TEST: An Official Journal of the Spanish Society of Statistics and Operations Research (2007)

2005

7. Intertemporal Asset Allocation with Inflation-Indexed Bonds
   Computing in Economics and Finance 2005, Society for Computational Economics
8. Longitudinal Data Analysis
   Economic Growth centre Working Paper Series, Nanyang Technolgical University, School of Humanities and Social Sciences, Economic Growth centre
9. Modified Two Stage Least Squares Estimators for the Estimation of a Structural Vector Autoregressive Integrated Process
   IEPR Working Papers, Institute of Economic Policy Research (IEPR) View citations
   See Also Journal Article in Journal of Econometrics (2006)
10. Should China Let Her Exchange Rate Float? — the Experience of Developing Countries
    Economic Growth centre Working Paper Series, Nanyang Technolgical University, School of Humanities and Social Sciences, Economic Growth centre
11. The Emerging Market Crisis and Stock Market Linkages: Further Evidence
    IEPR Working Papers, Institute of Economic Policy Research (IEPR)
    See Also Journal Article in Journal of Applied Econometrics (2006)
12. The Transition Process in China: a Theoretical and Empirical Study
    Computing in Economics and Finance 2005, Society for Computational Economics
13. Why Panel Data?
    IEPR Working Papers, Institute of Economic Policy Research (IEPR) View citations

2004

14. Aggregate vs Disaggregate Data Analysis — A Paradox in the Estimation of a Money Demand Function of Japan Under the Low Interest Rate Policy
    IEPR Working Papers, Institute of Economic Policy Research (IEPR) View citations
    Also in
    10th International Conference on Panel Data, Berlin, July 5-6, 2002, International Conferences on Panel Data (2002)
    See Also Journal Article in Journal of Applied Econometrics (2005)
15. Random Coefficient Panel Data Models
    IZA Discussion Papers, Institute for the Study of Labor (IZA) View citations
    Also in
    CESifo Working Paper Series, CESifo GmbH (2004) View citations
    IEPR Working Papers, Institute of Economic Policy Research (IEPR) (2004) View citations
    Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge (2004) View citations

2002

16. Computational Issues in the Estimation of Higher-Order Panel Vector Autoregressions
    Computing in Economics and Finance 2002, Society for Computational Economics View citations

2001

17. Estimation and Inference in Short Panel Vector Autoregressions with Unit Roots and Cointegration
    Computing in Economics and Finance 2001, Society for Computational Economics View citations
    Also in
    CESifo Working Paper Series, CESifo GmbH (2000) View citations
    Banco de España Working Papers, Banco de España (2000) View citations
    See Also Journal Article in Econometric Theory (2005)

1998

18. Bayes Estimation of Short-run Coefficients in Dynamic Panel Data Models
    Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge View citations

1994

19. A Bayesian Integration of End-Use Metering and Conditional Demand Analysis
    Working Papers, Southern California - Department of Economics View citations
    See Also Journal Article in Journal of Business & Economic Statistics (1995)

1993

20. A Framework for Regional Modeling and Impact Analysis - An Analysis of the Demand for Electricity by Large Municipalities in Ontario, Canada
    Working Papers, Southern California - Department of Economics
21. Estimating Consumer Preferences Using Market Data - An Application to U.S. Automobile Demand
    Working Papers, Southern California - Department of Economics
    See Also Journal Article in Journal of Applied Econometrics (1994)

1992

22. A General Framework for Panel Data Models with an Application to Canadian Customer-Dialed Long Distance Telephone Service
    Working Papers, California Irvine - School of Social Sciences View citations
    See Also Journal Article in Journal of Econometrics (1993)
23. Econometric Issues of Estimating Hedonic Price Functions- with an Application to the U.S. Market for Automobiles
    Working Papers, Southern California - Department of Economics
    See Also Journal Article in Journal of Econometrics (1993)
24. Logit and Probit Models
    Working Papers, Southern California - Department of Economics View citations
25. Nonlinear Latent Variable Models
    Working Papers, Southern California - Department of Economics View citations
26. Panel Analysis for Metric Data
    Working Papers, Southern California - Department of Economics
27. Random Coefficients Models
    Working Papers, Southern California - Department of Economics View citations

1989

28. A STATISTICAL PERSPECTIVE ON INSURANCE RATE-MAKING
    Working Papers, Southern California - Department of Economics
    See Also Journal Article in Journal of Econometrics (1990)
29. IDENTIFICATION AND ESTIMATION OF DICHOTOMOUS LATENT VARIABLES MODELS USING PANEL DATA
    Working Papers, Tilburg - Center for Economic Research
    See Also Journal Article in Review of Economic Studies (1991)
30. MODELING ONTARIO REGIONAL ELECTRICITY SYSTEM DEMAND USING A MIXED FIXED AND RANDOM COEFFICIENTS APPROACH
    Working Papers, Southern California - Department of Economics View citations
    See Also Journal Article in Regional Science and Urban Economics (1989)

1988

31. A COMBINED STRUCTURAL AND FLEXIBLE FUNCTIONAL APPROACH FOR MODELING ENERGY SUBSTITUTION
    Working Papers, Southern California - Department of Economics View citations
32. CONSISTENT ESTIMATION FOR SOME NONLINEAR ERRORS-IN- VARIABLES MODELS
    Working Papers, Southern California - Department of Economics
    See Also Journal Article in Journal of Econometrics (1989)

1980

33. Estimation of Dynamic Models with Error Components
    Working Papers, California Institute of Technology, Division of the Humanities and Social Sciences View citations

1977

34. Money And Income, Causality Detection
    NBER Working Papers, National Bureau of Economic Research, Inc View citations

1976

35. Efficient Estimation of a Dynamic Error-Shock Model
    NBER Working Papers, National Bureau of Economic Research, Inc
    See Also Journal Article in International Economic Review (1978)

Journal Articles

2007

1. A consistent model specification test with mixed discrete and continuous data
   Journal of Econometrics, 2007, 140, (2), 802-826 View citations
   See Also Working Paper (2006)
2. Evaluating the impacts of Washington state repeated job search services on the earnings of prime-age female TANF recipients
   Journal of Applied Econometrics, 2007, 22, (2), 453-475
3. Lag-augmented two- and three-stage least squares estimators for integrated structural dynamic models
   Econometrics Journal, 2007, 10, (1), 49-81
   See Also Working Paper (2006)
4. Panel data analysis—advantages and challenges
   TEST: An Official Journal of the Spanish Society of Statistics and Operations Research, 2007, 16, (1), 1-22
   See Also Working Paper (2006)
5. Rejoinder on: Panel data analysis—advantages and challenges
   TEST: An Official Journal of the Spanish Society of Statistics and Operations Research, 2007, 16, (1), 56-57
6. Two-stage estimation of limited dependent variable models with errors-in-variables
   Econometrics Journal, 2007, 10, (2), 426-438

2006

7. MANAGERIAL AUTONOMY, CONTRACTUAL INCENTIVES AND PRODUCTIVITY IN A TRANSITION ECONOMY: SOME EVIDENCE FROM CHINA'S TOWN AND VILLAGE ENTERPRISES
   Pacific Economic Review, 2006, 11, (3), 341-361
8. Modified two-stage least-squares estimators for the estimation of a structural vector autoregressive integrated process
   Journal of Econometrics, 2006, 135, (1-2), 427-463
   See Also Working Paper (2005)
9. The emerging market crisis and stock market linkages: further evidence
   Journal of Applied Econometrics, 2006, 21, (6), 727-744
   See Also Working Paper (2005)

2005

10. Aggregate vs. disaggregate data analysis-a paradox in the estimation of a money demand function of Japan under the low interest rate policy
    Journal of Applied Econometrics, 2005, 20, (5), 579-601 View citations
    See Also Working Paper (2004)
11. ESTIMATION AND INFERENCE IN SHORT PANEL VECTOR AUTOREGRESSIONS WITH UNIT ROOTS AND COINTEGRATION
    Econometric Theory, 2005, 21, (04), 795-837 View citations
    See Also Working Paper (2001)
12. The relationship between stock returns and volatility in international stock markets
    Journal of Empirical Finance, 2005, 12, (5), 650-665 View citations

2004

13. Robust estimation of generalized linear models with measurement errors
    Journal of Econometrics, 2004, 118, (1-2), 51-65 View citations

2003

14. Consistent specification tests for semiparametric/nonparametric models based on series estimation methods
    Journal of Econometrics, 2003, 112, (2), 295-325 View citations
15. Foreign Direct Investment and Economic Growth: The Importance of Institutions and Urbanization
    Economic Development and Cultural Change, 2003, 51, (4), 883-96 View citations

2002

16. High Interest Rates and Exchange Rate Stabilization in Korea, Malaysia, and Thailand: An Empirical Investigation of the Traditional and Revisionist Views
    Review of International Economics, 2002, 10, (1), 64-78 View citations
17. Is There a Stable Money Demand Function under the Low Interest Rate Policy? A Panel Data Analysis
    Monetary and Economic Studies, 2002, 20, (2), 1-23 View citations
18. Maximum likelihood estimation of fixed effects dynamic panel data models covering short time periods
    Journal of Econometrics, 2002, 109, (1), 107-150 View citations

2001

19. A CONSISTENT TEST FOR CONDITIONAL HETEROSKEDASTICITY IN TIME-SERIES REGRESSION MODELS
    Econometric Theory, 2001, 17, (01), 188-221 View citations
20. Do High Interest Rates Appreciate Exchange Rates during Crisis? The Korean Evidence
    Oxford Bulletin of Economics and Statistics, 2001, 63, (3), 359-80 View citations
21. IDENTIFICATION AND DICHOTOMIZATION OF LONG- AND SHORT-RUN RELATIONS OF COINTEGRATED VECTOR AUTOREGRESSIVE MODELS
    Econometric Theory, 2001, 17, (05), 889-912 View citations
22. Open forum on the current state and future challenges of econometrics
    Journal of Econometrics, 2001, 100, (1), 1-1
23. Studies in Estimation and Testing
    Journal of Econometrics, 2001, 103, (1-2), 1-4

2000

24. Estimation of Structural Nonlinear Errors-in-Variables Models by Simulated Least-Squares Method
    International Economic Review, 2000, 41, (2), 523-42 View citations
25. Market Values of Environmental Amenities: A Latent Variable Approach
    Journal of Housing Economics, 2000, 9, (1-2), 104-126

1999

26. Interest rate stabilization of exchange rates and contagion in the Asian crisis countries
    Proceedings, 1999, (Sep) View citations

1998

27. Modeling survey response bias - with an analysis of the demand for an advanced electronic device
    Journal of Econometrics, 1998, 89, (1-2), 15-39 View citations
28. Nonstationary Time-Series Modeling versus Structural Equation Modeling: With an Application to Japanese Money Demand
    Monetary and Economic Studies, 1998, 16, (1), 57-79
29. Shares versus Residual Claimant Contracts: The Case of Chinese TVEs
    Journal of Comparative Economics, 1998, 26, (2), 317-337 View citations
30. Testing serial correlation in semiparametric panel data models
    Journal of Econometrics, 1998, 87, (2), 207-237 View citations

1997

31. Cointegration and Dynamic Simultaneous Equations Model
    Econometrica, 1997, 65, (3), 647-670 View citations
32. Statistical Properties of the Two-Stage Least Squares Estimator under Cointegration
    Review of Economic Studies, 1997, 64, (3), 385-98 View citations

1995

33. A Bayesian Integration of End-Use Metering and Conditional-Demand Analysis
    Journal of Business & Economic Statistics, 1995, 13, (3), 315-26 View citations
    See Also Working Paper (1994)

1994

34. Estimating Consumer Preferences Using Market Data--An Application to U.S. Automobile Demand
    Journal of Applied Econometrics, 1994, 9, (1), 1-18 View citations
    See Also Working Paper (1993)

1993

35. A general framework for panel data models with an application to Canadian customer-dialed long distance telephone service
    Journal of Econometrics, 1993, 59, (1-2), 63-86 View citations
    See Also Working Paper (1992)
36. Econometric issues of estimating hedonic price functions: With an application to the U.S. market for automobiles
    Journal of Econometrics, 1993, 56, (1-2), 243-267 View citations
    See Also Working Paper (1992)
37. Editors' introduction
    Journal of Econometrics, 1993, 56, (1-2), 1-3

1991

38. Identification and Estimation of Dichotomous Latent Variables Models Using Panel Data
    Review of Economic Studies, 1991, 58, (4), 717-31 View citations
    See Also Working Paper (1989)

1990

39. A statistical perspective on insurance rate-making
    Journal of Econometrics, 1990, 44, (1-2), 5-24
    See Also Working Paper (1989)

1989

40. Consistent estimation for some nonlinear errors-in-variables models
    Journal of Econometrics, 1989, 41, (1), 159-185 View citations
    See Also Working Paper (1988)
41. Modeling Ontario regional electricity system demand using a mixed fixed and random coefficients approach
    Regional Science and Urban Economics, 1989, 19, (4), 565-587 View citations
    See Also Working Paper (1989)

1985

42. Benefits and limitations of panel data
    Econometric Reviews, 1985, 4, (1), 121-174 View citations
43. Multinomial Logit Specification Tests
    International Economic Review, 1985, 26, (3), 619-27 View citations
44. Reply
    Econometric Reviews, 1985, 4, (1), 187-189

1984

45. Two-stage estimation of structural labor supply parameters using interval data from the 1971 canadian census
    Journal of Econometrics, 1984, 24, (1-2), 133-158

1982

46. Autoregressive modeling and causal ordering of economic variables
    Journal of Economic Dynamics and Control, 1982, 4, (1), 243-259 View citations
47. Formulation and estimation of dynamic models using panel data
    Journal of Econometrics, 1982, 18, (1), 47-82 View citations

1981

48. Autoregressive modelling and money-income causality detection
    Journal of Monetary Economics, 1981, 7, (1), 85-106 View citations

1980

49. Missing data and maximum likelihood estimation
    Economics Letters, 1980, 6, (3), 249-253

1979

50. Causality tests in econometrics
    Journal of Economic Dynamics and Control, 1979, 1, (4), 321-346 View citations
51. Linear regression using both temporally aggregated and temporally disaggregated data
    Journal of Econometrics, 1979, 10, (2), 243-252 View citations
52. Measurement Error in a Dynamic Simultaneous Equations Model with Stationary Disturbances
    Econometrica, 1979, 47, (2), 475-94

1978

53. Efficient Estimation of a Dynamic Error-Shock Model
    International Economic Review, 1978, 19, (2), 467-79
    See Also Working Paper (1976)

1977

54. Identification for a Linear Dynamic Simultaneous Error-Shock Model
    International Economic Review, 1977, 18, (1), 181-94

1976

55. Identification and Estimation of Simultaneous Equation Models with Measurement Error
    International Economic Review, 1976, 17, (2), 319-39 View citations

1975

56. Some Estimation Methods for a Random Coefficient Model
    Econometrica, 1975, 43, (2), 305-25 View citations

1974

57. Statistical Inference for a Model with Both Random Cross-Sectional and Time Effects
    International Economic Review, 1974, 15, (1), 12-30 View citations

Chapters

1984

1. Latent variable models in econometrics
   Chapter 23 in Handbook of Econometrics, 1984, vol. 2, pp 1321-1393 View citations

1983

2. Identification
   Chapter 04 in Handbook of Econometrics, 1983, vol. 1, pp 223-283

Editor

1. Journal of Econometrics
   Elsevier