Details about Cheng Hsiao

Workplace:

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

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Last updated 2023-05-08. Update your information in the RePEc Author Service.

Short-id: phs10

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Working Papers

2018

1. Panel Parametric, Semi-parametric and Nonparametric Construction of Counterfactuals - California Tobacco Control Revisited
   Departmental Working Papers, Department of Economics, Louisiana State University View citations (3)

2017

2. Incidental parameters, initial conditions and sample size in statistical inference for dynamic panel data models
   Departmental Working Papers, Department of Economics, Louisiana State University
   See also Journal Article Incidental parameters, initial conditions and sample size in statistical inference for dynamic panel data models, Journal of Econometrics, Elsevier (2018) View citations (8) (2018)
3. JIVE for Panel Dynamic Simultaneous Equations Models
   Departmental Working Papers, Department of Economics, Louisiana State University View citations (2)
   See also Journal Article JIVE FOR PANEL DYNAMIC SIMULTANEOUS EQUATIONS MODELS, Econometric Theory, Cambridge University Press (2018) View citations (3) (2018)
4. Recursive estimation in large panel data models: Theory and practice
   Monash Econometrics and Business Statistics Working Papers, Monash University, Department of Econometrics and Business Statistics View citations (8)
   See also Journal Article Recursive estimation in large panel data models: Theory and practice, Journal of Econometrics, Elsevier (2021) View citations (16) (2021)

2016

5. Evaluating the Effectiveness of China's Financial Reform The Efficiency of China's Domestic Banks
   Working Papers, Wang Yanan Institute for Studies in Economics (WISE), Xiamen University
   See also Journal Article Evaluating the effectiveness of China's financial reform—The efficiency of China's domestic banks, China Economic Review, Elsevier (2015) View citations (5) (2015)
6. Panel Macroeconometric Modeling
   Working Papers, Wang Yanan Institute for Studies in Economics (WISE), Xiamen University

2013

7. Aggregate and Household Demand for Money: Evidence from Public Opinion Survey on Household Financial Assets and Liabilities
   Working Papers, Wang Yanan Institute for Studies in Economics (WISE), Xiamen University
   Also in IMES Discussion Paper Series, Institute for Monetary and Economic Studies, Bank of Japan (2008) View citations (6)
   See also Journal Article Aggregate and Household Demand for Money: Evidence from the Public Opinion Survey on Household Financial Assets and Liabilities, Monetary and Economic Studies, Institute for Monetary and Economic Studies, Bank of Japan (2008) View citations (5) (2008)
8. Disentangling the Effects of Multiple Treatments - Measuring the Net Economic Impact of the 1995 Great Hanshin-Awaji Earthquake
   IMES Discussion Paper Series, Institute for Monetary and Economic Studies, Bank of Japan View citations (5)
   See also Journal Article Disentangling the effects of multiple treatments—Measuring the net economic impact of the 1995 great Hanshin-Awaji earthquake, Journal of Econometrics, Elsevier (2015) View citations (22) (2015)
9. Evaluating the Impacts of Washington State Repeated Job Search Services on the Earnings of Prime-age
   Working Papers, Wang Yanan Institute for Studies in Economics (WISE), Xiamen University
10. Forecasting a long memory process subject to structural breaks
    LIDAM Reprints CORE, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE) View citations (9)
    Also in LIDAM Discussion Papers CORE, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE) (2012)
    See also Journal Article Forecasting a long memory process subject to structural breaks, Journal of Econometrics, Elsevier (2013) View citations (12) (2013)
11. Panel Data Analysis - Advantages and Challenges
    Working Papers, Wang Yanan Institute for Studies in Economics (WISE), Xiamen University View citations (4)
    Also in IEPR Working Papers, Institute of Economic Policy Research (IEPR) (2006) View citations (29)
    See also Journal Article Panel data analysis—advantages and challenges, TEST: An Official Journal of the Spanish Society of Statistics and Operations Research, Springer (2007) View citations (251) (2007)
12. Semiparametric Profile Likelihood Estimation of Varying Coefficient Models with Nonstationary Regressors
    Monash Econometrics and Business Statistics Working Papers, Monash University, Department of Econometrics and Business Statistics View citations (1)
13. Some Thoughts on East Asian Economic Growth
    Working Papers, Wang Yanan Institute for Studies in Economics (WISE), Xiamen University

2008

14. A Functional Connectivity Approach for Modeling Cross-Sectional Dependence with an Application to the Estimation of Hedonic Housing Prices in Paris
    Working Papers ERMES, ERMES, University Paris 2
    See also Journal Article A functional connectivity approach for modeling cross-sectional dependence with an application to the estimation of hedonic housing prices in Paris, AStA Advances in Statistical Analysis, Springer (2011) View citations (14) (2011)
15. An easy test for two stationary long processes being uncorrelated via AR approximations
    LIDAM Discussion Papers CORE, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE) View citations (1)

2007

16. Assessing the Contribution of R&D to Total Factor Productivity – a Bayesian Approach to Account for Heterogeneity And Heteroscedasticity
    Working Papers ERMES, ERMES, University Paris 2
    See also Journal Article Assessing the contribution of R&D to total factor productivity—a Bayesian approach to account for heterogeneity and heteroskedasticity, AStA Advances in Statistical Analysis, Springer (2011) View citations (8) (2011)
17. Diagnostic Tests of Cross Section Independence for Nonlinear Panel Data Models
    CESifo Working Paper Series, CESifo View citations (12)
    Also in Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge (2007) View citations (13)
    IZA Discussion Papers, Institute of Labor Economics (IZA) (2007) View citations (12)

2006

18. A Consistent Model Specification Test with Mixed Discrete and Continuous Data
    IEPR Working Papers, Institute of Economic Policy Research (IEPR) View citations (36)
    See also Journal Article A consistent model specification test with mixed discrete and continuous data, Journal of Econometrics, Elsevier (2007) View citations (114) (2007)
19. Crises, What Crises?
    IZA Discussion Papers, Institute of Labor Economics (IZA) View citations (1)
    Also in CEPR Discussion Papers, C.E.P.R. Discussion Papers (2006) View citations (5)
20. Heteroskedasticity and Random Coefficient Model on Panel Data
    Working Papers ERMES, ERMES, University Paris 2
21. 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 Lag-augmented two- and three-stage least squares estimators for integrated structural dynamic models, Econometrics Journal, Royal Economic Society (2007) View citations (4) (2007)

2005

22. Intertemporal Asset Allocation with Inflation-Indexed Bonds
    Computing in Economics and Finance 2005, Society for Computational Economics
23. Longitudinal Data Analysis
    Economic Growth Centre Working Paper Series, Nanyang Technological University, School of Social Sciences, Economic Growth Centre
24. 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)
    See also Journal Article Modified two-stage least-squares estimators for the estimation of a structural vector autoregressive integrated process, Journal of Econometrics, Elsevier (2006) (2006)
25. Should China Let Her Exchange Rate Float? — the Experience of Developing Countries
    Economic Growth Centre Working Paper Series, Nanyang Technological University, School of Social Sciences, Economic Growth Centre View citations (2)
26. The Emerging Market Crisis and Stock Market Linkages: Further Evidence
    IEPR Working Papers, Institute of Economic Policy Research (IEPR) View citations (2)
    See also Journal Article The emerging market crisis and stock market linkages: further evidence, Journal of Applied Econometrics, John Wiley & Sons, Ltd. (2006) View citations (44) (2006)
27. The Transition Process in China: a Theoretical and Empirical Study
    Computing in Economics and Finance 2005, Society for Computational Economics View citations (1)
28. Why Panel Data?
    IEPR Working Papers, Institute of Economic Policy Research (IEPR) View citations (38)
    See also Journal Article WHY PANEL DATA?, The Singapore Economic Review (SER), World Scientific Publishing Co. Pte. Ltd. (2005) View citations (40) (2005)

2004

29. 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 (5)
    Also in 10th International Conference on Panel Data, Berlin, July 5-6, 2002, International Conferences on Panel Data (2002) View citations (6)
    See also Journal Article 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, John Wiley & Sons, Ltd. (2005) View citations (27) (2005)
30. Random Coefficient Panel Data Models
    Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge View citations (32)
    Also in IEPR Working Papers, Institute of Economic Policy Research (IEPR) (2004) View citations (48)
    IZA Discussion Papers, Institute of Labor Economics (IZA) (2004) View citations (45)
    CESifo Working Paper Series, CESifo (2004) View citations (48)

2002

31. Computational Issues in the Estimation of Higher-Order Panel Vector Autoregressions
    Computing in Economics and Finance 2002, Society for Computational Economics View citations (2)

2001

32. 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 (18)
    Also in CESifo Working Paper Series, CESifo (2000) View citations (14)
    Working Papers, Banco de España (2000) View citations (12)
    See also Journal Article ESTIMATION AND INFERENCE IN SHORT PANEL VECTOR AUTOREGRESSIONS WITH UNIT ROOTS AND COINTEGRATION, Econometric Theory, Cambridge University Press (2005) View citations (177) (2005)

1998

33. Bayes Estimation of Short-run Coefficients in Dynamic Panel Data Models
    Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge View citations (34)

1994

34. A Bayesian Integration of End-Use Metering and Conditional Demand Analysis
    Working Papers, Southern California - Department of Economics View citations (4)
    See also Journal Article A Bayesian Integration of End-Use Metering and Conditional-Demand Analysis, Journal of Business & Economic Statistics, American Statistical Association (1995) View citations (42) (1995)

1993

35. 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 View citations (2)
36. Estimating Consumer Preferences Using Market Data - An Application to U.S. Automobile Demand
    Working Papers, Southern California - Department of Economics
    See also Journal Article Estimating Consumer Preferences Using Market Data--An Application to U.S. Automobile Demand, Journal of Applied Econometrics, John Wiley & Sons, Ltd. (1994) View citations (24) (1994)

1992

37. 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 (4)
    See also Journal Article A general framework for panel data models with an application to Canadian customer-dialed long distance telephone service, Journal of Econometrics, Elsevier (1993) View citations (21) (1993)
38. 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 Econometric issues of estimating hedonic price functions: With an application to the U.S. market for automobiles, Journal of Econometrics, Elsevier (1993) View citations (41) (1993)
39. Logit and Probit Models
    Working Papers, Southern California - Department of Economics View citations (12)
40. Nonlinear Latent Variable Models
    Working Papers, Southern California - Department of Economics View citations (6)
41. Panel Analysis for Metric Data
    Working Papers, Southern California - Department of Economics
42. Random Coefficients Models
    Working Papers, Southern California - Department of Economics View citations (11)

1989

43. A STATISTICAL PERSPECTIVE ON INSURANCE RATE-MAKING
    Working Papers, Southern California - Department of Economics
    See also Journal Article A statistical perspective on insurance rate-making, Journal of Econometrics, Elsevier (1990) View citations (4) (1990)
44. IDENTIFICATION AND ESTIMATION OF DICHOTOMOUS LATENT VARIABLES MODELS USING PANEL DATA
    Working Papers, Tilburg - Center for Economic Research
    Also in Discussion Paper, Tilburg University, Center for Economic Research (1989)
    See also Journal Article Identification and Estimation of Dichotomous Latent Variables Models Using Panel Data, The Review of Economic Studies, Review of Economic Studies Ltd (1991) View citations (12) (1991)
45. MODELING ONTARIO REGIONAL ELECTRICITY SYSTEM DEMAND USING A MIXED FIXED AND RANDOM COEFFICIENTS APPROACH
    Working Papers, Southern California - Department of Economics View citations (34)
    See also Journal Article Modeling Ontario regional electricity system demand using a mixed fixed and random coefficients approach, Regional Science and Urban Economics, Elsevier (1989) View citations (38) (1989)

1988

46. A COMBINED STRUCTURAL AND FLEXIBLE FUNCTIONAL APPROACH FOR MODELING ENERGY SUBSTITUTION
    Working Papers, Southern California - Department of Economics View citations (4)
47. CONSISTENT ESTIMATION FOR SOME NONLINEAR ERRORS-IN- VARIABLES MODELS
    Working Papers, Southern California - Department of Economics
    See also Journal Article Consistent estimation for some nonlinear errors-in-variables models, Journal of Econometrics, Elsevier (1989) View citations (29) (1989)

1980

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

1977

49. Money And Income, Causality Detection
    NBER Working Papers, National Bureau of Economic Research, Inc View citations (2)

1976

50. Efficient Estimation of a Dynamic Error-Shock Model
    NBER Working Papers, National Bureau of Economic Research, Inc
    See also Journal Article Efficient Estimation of a Dynamic Error-Shock Model, International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association (1978) (1978)

Journal Articles

2024

1. MACHINE LEARNING AND ECONOMETRICS
   The Singapore Economic Review (SER), 2024, 69, (04), 1601-1616

2023

2. Assessing the impacts of pandemic and the increase in minimum down payment rate on Shanghai housing prices
   Empirical Economics, 2023, 64, (6), 2661-2682
3. DATA SUBJECT TO MULTIPLE TREATMENT EFFECTS — DISENTANGLE THE IMPACTS OF GLOBAL PANDEMIC AND A SPECIFIC DISEASE CONTROL POLICY
   The Singapore Economic Review (SER), 2023, 68, (05), 1507-1527 View citations (1)

2022

4. Economic impact of the most drastic lockdown during COVID‐19 pandemic—The experience of Hubei, China
   Journal of Applied Econometrics, 2022, 37, (1), 187-209 View citations (5)
5. Transformed Estimation for Panel Interactive Effects Models
   Journal of Business & Economic Statistics, 2022, 40, (4), 1831-1848 View citations (1)

2021

6. Can a time-varying structure provide a more robust panel construction of counterfactuals-straitjacket or straitjackets?
   Empirical Economics, 2021, 60, (1), 113-129 View citations (1)
7. Factor dimension determination for panel interactive effects models: an orthogonal projection approach
   Computational Statistics, 2021, 36, (2), 1481-1497 View citations (3)
8. Market integration, systemic risk and diagnostic tests in large mixed panels
   Econometric Reviews, 2021, 40, (8), 750-795 View citations (3)
9. Recursive estimation in large panel data models: Theory and practice
   Journal of Econometrics, 2021, 224, (2), 439-465 View citations (16)
   See also Working Paper Recursive estimation in large panel data models: Theory and practice, Monash Econometrics and Business Statistics Working Papers (2017) View citations (8) (2017)
10. Smoothed maximum score estimation with nonparametrically generated covariates
    Econometric Reviews, 2021, 40, (8), 796-813

2020

11. Estimation of fixed effects dynamic panel data models: linear differencing or conditional expectation
    Econometric Reviews, 2020, 39, (8), 858-874 View citations (1)

2019

12. Health status and labour market outcome: Empirical evidence from Australia
    Pacific Economic Review, 2019, 24, (2), 269-292 View citations (5)
13. Panel Data Estimation for Correlated Random Coefficients Models
    Econometrics, 2019, 7, (1), 1-18 View citations (2)
14. Panel parametric, semiparametric, and nonparametric construction of counterfactuals
    Journal of Applied Econometrics, 2019, 34, (4), 463-481 View citations (18)

2018

15. Incidental parameters, initial conditions and sample size in statistical inference for dynamic panel data models
    Journal of Econometrics, 2018, 207, (1), 114-128 View citations (8)
    See also Working Paper Incidental parameters, initial conditions and sample size in statistical inference for dynamic panel data models, Departmental Working Papers (2017) (2017)
16. JIVE FOR PANEL DYNAMIC SIMULTANEOUS EQUATIONS MODELS
    Econometric Theory, 2018, 34, (6), 1325-1369 View citations (3)
    See also Working Paper JIVE for Panel Dynamic Simultaneous Equations Models, Departmental Working Papers (2017) View citations (2) (2017)
17. Panel data approach vs synthetic control method
    Economics Letters, 2018, 164, (C), 121-123 View citations (22)
18. Panel models with interactive effects
    Journal of Econometrics, 2018, 206, (2), 645-673 View citations (7)

2017

19. Do China's high-speed-rail projects promote local economy?—New evidence from a panel data approach
    China Economic Review, 2017, 44, (C), 203-226 View citations (74)
20. Estimation of semi-varying coefficient models with nonstationary regressors
    Econometric Reviews, 2017, 36, (1-3), 354-369 View citations (8)
21. First difference or forward demeaning: Implications for the method of moments estimators
    Econometric Reviews, 2017, 36, (6-9), 883-897 View citations (11)

2016

22. Asymptotic distribution of quasi-maximum likelihood estimation of dynamic panels using long difference transformation when both N and T are large
    Statistical Methods & Applications, 2016, 25, (4), 675-683 View citations (1)

2015

23. Disentangling the effects of multiple treatments—Measuring the net economic impact of the 1995 great Hanshin-Awaji earthquake
    Journal of Econometrics, 2015, 186, (1), 66-73 View citations (22)
    See also Working Paper Disentangling the Effects of Multiple Treatments - Measuring the Net Economic Impact of the 1995 Great Hanshin-Awaji Earthquake, IMES Discussion Paper Series (2013) View citations (5) (2013)
24. Evaluating the effectiveness of China's financial reform—The efficiency of China's domestic banks
    China Economic Review, 2015, 35, (C), 70-82 View citations (5)
    See also Working Paper Evaluating the Effectiveness of China's Financial Reform The Efficiency of China's Domestic Banks, Working Papers (2016) (2016)
25. IV, GMM or likelihood approach to estimate dynamic panel models when either N or T or both are large
    Journal of Econometrics, 2015, 187, (1), 312-322 View citations (20)
26. Local Linear Estimation of a Nonparametric Cointegration Model
    Econometric Reviews, 2015, 34, (6-10), 882-906
27. Statistical inference for panel dynamic simultaneous equations models
    Journal of Econometrics, 2015, 189, (2), 383-396 View citations (15)
28. Testing error serial correlation in fixed effects nonparametric panel data models
    Journal of Econometrics, 2015, 188, (2), 466-473
29. Testing purchasing power parity hypothesis: a semiparametric varying coefficient approach
    Empirical Economics, 2015, 48, (1), 427-438 View citations (10)
30. The Macroeconomic Effects of the Canada–US Free Trade Agreement on Canada: A Counterfactual Analysis
    The World Economy, 2015, 38, (5), 878-892 View citations (4)
31. Volatility Spillover Effect: A Semiparametric Analysis of Non-Cointegrated Process
    Econometric Reviews, 2015, 34, (1-2), 127-145 View citations (2)

2014

32. Is there an optimal forecast combination?
    Journal of Econometrics, 2014, 178, (P2), 294-309 View citations (60)
33. Model specification test with correlated but not cointegrated variables
    Journal of Econometrics, 2014, 178, (P1), 80-85 View citations (3)

2013

34. Forecasting a long memory process subject to structural breaks
    Journal of Econometrics, 2013, 177, (2), 171-184 View citations (12)
    See also Working Paper Forecasting a long memory process subject to structural breaks, LIDAM Reprints CORE (2013) View citations (9) (2013)
35. Real-Time Monitoring Test for Realized Volatility
    Journal of Time Series Econometrics, 2013, 5, (1), 1-24

2012

36. A PANEL DATA APPROACH FOR PROGRAM EVALUATION: MEASURING THE BENEFITS OF POLITICAL AND ECONOMIC INTEGRATION OF HONG KONG WITH MAINLAND CHINA
    Journal of Applied Econometrics, 2012, 27, (5), 705-740 View citations (154)
37. Diagnostic Tests of Cross‐section Independence for Limited Dependent Variable Panel Data Models
    Oxford Bulletin of Economics and Statistics, 2012, 74, (2), 253-277 View citations (28)
38. Impact of CEPA on the labor market of Hong Kong
    China Economic Review, 2012, 23, (4), 975-981 View citations (6)
39. MEASUREMENT ERRORS AND CENSORED STRUCTURAL LATENT VARIABLES MODELS
    Econometric Theory, 2012, 28, (3), 696-703
40. THE CREATIVE TENSION BETWEEN STATISTICS AND ECONOMICS
    The Singapore Economic Review (SER), 2012, 57, (03), 1-11 View citations (1)

2011

41. A functional connectivity approach for modeling cross-sectional dependence with an application to the estimation of hedonic housing prices in Paris
    AStA Advances in Statistical Analysis, 2011, 95, (4), 501-529 View citations (14)
    See also Working Paper A Functional Connectivity Approach for Modeling Cross-Sectional Dependence with an Application to the Estimation of Hedonic Housing Prices in Paris, Working Papers ERMES (2008) (2008)
42. Assessing the contribution of R&D to total factor productivity—a Bayesian approach to account for heterogeneity and heteroskedasticity
    AStA Advances in Statistical Analysis, 2011, 95, (4), 435-452 View citations (8)
    See also Working Paper Assessing the Contribution of R&D to Total Factor Productivity – a Bayesian Approach to Account for Heterogeneity And Heteroscedasticity, Working Papers ERMES (2007) (2007)
43. Comparison of forecasting methods with an application to predicting excess equity premium
    Mathematics and Computers in Simulation (MATCOM), 2011, 81, (7), 1235-1246 View citations (2)
44. ECONOMIC BENEFITS OF GLOBALIZATION: THE IMPACT OF ENTRY TO THE WTO ON CHINA'S GROWTH
    Pacific Economic Review, 2011, 16, (3), 285-301 View citations (8)
45. Introduction to the special issue: interdisciplinary aspects of panel data analysis
    AStA Advances in Statistical Analysis, 2011, 95, (4), 325-327 View citations (1)
46. Measuring correlations of integrated but not cointegrated variables: A semiparametric approach
    Journal of Econometrics, 2011, 164, (2), 252-267 View citations (6)
47. Method of moments estimation and identifiability of semiparametric nonlinear errors-in-variables models
    Journal of Econometrics, 2011, 165, (1), 30-44 View citations (18)

2010

48. Crises, What Crises? New Evidence on the Relative Roles of Political and Economic Crises in Begetting Reforms
    Journal of Development Studies, 2010, 46, (10), 1670-1691 View citations (29)
49. Decriminalization and Marijuana Smoking Prevalence: Evidence From Australia
    Journal of Business & Economic Statistics, 2010, 28, (3), 344-356 View citations (16)
50. The Role of China in Asian Monetary Integration
    Chinese Economy, 2010, 43, (6), 22-33

2009

51. Announcement of the establishment of the Amemiya lecture series
    Journal of Econometrics, 2009, 149, (1), 1-1
52. China's health care reform: A tentative assessment
    China Economic Review, 2009, 20, (4), 613-619 View citations (42)
53. DECRIMINALIZATION POLICY AND MARIJUANA SMOKING PREVALENCE: A LOOK AT THE LITERATURE
    The Singapore Economic Review (SER), 2009, 54, (04), 621-644 View citations (3)
54. Maternal full-time employment and overweight children: Parametric, semi-parametric, and non-parametric assessment
    Journal of Econometrics, 2009, 152, (1), 61-69 View citations (33)

2008

55. Aggregate and Household Demand for Money: Evidence from the Public Opinion Survey on Household Financial Assets and Liabilities
    Monetary and Economic Studies, 2008, 26, 159-194 View citations (5)
    See also Working Paper Aggregate and Household Demand for Money: Evidence from Public Opinion Survey on Household Financial Assets and Liabilities, Working Papers (2013) (2013)
56. Evaluating the effectiveness of Washington state repeated job search services on the employment rate of prime-age female welfare recipients
    Journal of Econometrics, 2008, 145, (1-2), 98-108 View citations (4)

2007

57. A consistent model specification test with mixed discrete and continuous data
    Journal of Econometrics, 2007, 140, (2), 802-826 View citations (114)
    See also Working Paper A Consistent Model Specification Test with Mixed Discrete and Continuous Data, IEPR Working Papers (2006) View citations (36) (2006)
58. 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
59. Lag-augmented two- and three-stage least squares estimators for integrated structural dynamic models
    Econometrics Journal, 2007, 10, (1), 49-81 View citations (4)
    See also Working Paper Lag-Augmented Two- and Three-Stage Least Squares Estimators for Integrated Structural Dynamic Models, IEPR Working Papers (2006) (2006)
60. Panel data analysis—advantages and challenges
    TEST: An Official Journal of the Spanish Society of Statistics and Operations Research, 2007, 16, (1), 1-22 View citations (251)
    See also Working Paper Panel Data Analysis - Advantages and Challenges, Working Papers (2013) View citations (4) (2013)
61. 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 View citations (231)
62. Two-stage estimation of limited dependent variable models with errors-in-variables
    Econometrics Journal, 2007, 10, (2), 426-438 View citations (1)

2006

63. 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 View citations (2)
64. 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 Modified Two Stage Least Squares Estimators for the Estimation of a Structural Vector Autoregressive Integrated Process, IEPR Working Papers (2005) (2005)
65. The emerging market crisis and stock market linkages: further evidence
    Journal of Applied Econometrics, 2006, 21, (6), 727-744 View citations (44)
    Also in Journal of Applied Econometrics, 2006, 21, (6), 727-744 (2006) View citations (8)
    See also Working Paper The Emerging Market Crisis and Stock Market Linkages: Further Evidence, IEPR Working Papers (2005) View citations (2) (2005)

2005

66. 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 (27)
    See also Working Paper 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 (2004) View citations (5) (2004)
67. ESTIMATION AND INFERENCE IN SHORT PANEL VECTOR AUTOREGRESSIONS WITH UNIT ROOTS AND COINTEGRATION
    Econometric Theory, 2005, 21, (4), 795-837 View citations (177)
    See also Working Paper Estimation and Inference in Short Panel Vector Autoregressions with Unit Roots and Cointegration, Computing in Economics and Finance 2001 (2001) View citations (18) (2001)
68. The relationship between stock returns and volatility in international stock markets
    Journal of Empirical Finance, 2005, 12, (5), 650-665 View citations (64)
69. WHY PANEL DATA?
    The Singapore Economic Review (SER), 2005, 50, (02), 143-154 View citations (40)
    See also Working Paper Why Panel Data?, IEPR Working Papers (2005) View citations (38) (2005)

2004

70. Robust estimation of generalized linear models with measurement errors
    Journal of Econometrics, 2004, 118, (1-2), 51-65 View citations (22)

2003

71. Consistent specification tests for semiparametric/nonparametric models based on series estimation methods
    Journal of Econometrics, 2003, 112, (2), 295-325 View citations (39)
72. Foreign Direct Investment and Economic Growth: The Importance of Institutions and Urbanization
    Economic Development and Cultural Change, 2003, 51, (4), 883-96 View citations (58)
73. In Memoriam: G. S. Maddala
    Econometric Reviews, 2003, 22, (1), vii-ix

2002

74. 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 (29)
75. 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)
76. Maximum likelihood estimation of fixed effects dynamic panel data models covering short time periods
    Journal of Econometrics, 2002, 109, (1), 107-150 View citations (284)

2001

77. A CONSISTENT TEST FOR CONDITIONAL HETEROSKEDASTICITY IN TIME-SERIES REGRESSION MODELS
    Econometric Theory, 2001, 17, (1), 188-221 View citations (13)
78. An Econometric Study of the Residential Demand for Non-Listed, Non-Published, and Special Non-Published Services
    Annals of Economics and Finance, 2001, 2, (1), 165-185
79. Do High Interest Rates Appreciate Exchange Rates During Crisis? The Korean Evidence
    Oxford Bulletin of Economics and Statistics, 2001, 63, (3), 359-380 View citations (17)
80. Factors Affecting Foreign Direct Investment — with an Analysis of the Disparity between the Coastal and Western Regions of China
    Review of Pacific Basin Financial Markets and Policies (RPBFMP), 2001, 04, (04), 479-493
81. IDENTIFICATION AND DICHOTOMIZATION OF LONG- AND SHORT-RUN RELATIONS OF COINTEGRATED VECTOR AUTOREGRESSIVE MODELS
    Econometric Theory, 2001, 17, (5), 889-912 View citations (5)
82. Open forum on the current state and future challenges of econometrics
    Journal of Econometrics, 2001, 100, (1), 1-1
83. Studies in Estimation and Testing
    Journal of Econometrics, 2001, 103, (1-2), 1-4
84. The Real Effects of Capital Inflows on Emerging Markets
    Review of Pacific Basin Financial Markets and Policies (RPBFMP), 2001, 04, (02), 165-202

2000

85. Combining Opinion Surveys with Time-series Data to Forecast the Japanese Economy
    The Japanese Economic Review, 2000, 51, (2), 155-169
86. Estimation of Structural Nonlinear Errors-in-Variables Models by Simulated Least-Squares Method
    International Economic Review, 2000, 41, (2), 523-42 View citations (5)
87. Market Values of Environmental Amenities: A Latent Variable Approach
    Journal of Housing Economics, 2000, 9, (1-2), 104-126 View citations (4)

1999

88. Interest rate stabilization of exchange rates and contagion in the Asian crisis countries
    Proceedings, 1999, (Sep) View citations (12)

1998

89. 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 (11)
90. Nonstationary Time-Series Modeling versus Structural Equation Modeling: With an Application to Japanese Money Demand
    Monetary and Economic Studies, 1998, 16, (1), 57-79 View citations (6)
91. Shares versus Residual Claimant Contracts: The Case of Chinese TVEs
    Journal of Comparative Economics, 1998, 26, (2), 317-337 View citations (19)
92. Testing serial correlation in semiparametric panel data models
    Journal of Econometrics, 1998, 87, (2), 207-237 View citations (28)

1997

93. Cointegration and Dynamic Simultaneous Equations Model
    Econometrica, 1997, 65, (3), 647-670 View citations (71)
94. Statistical Properties of the Two-Stage Least Squares Estimator Under Cointegration
    The Review of Economic Studies, 1997, 64, (3), 385-398 View citations (56)

1995

95. A Bayesian Integration of End-Use Metering and Conditional-Demand Analysis
    Journal of Business & Economic Statistics, 1995, 13, (3), 315-26 View citations (42)
    See also Working Paper A Bayesian Integration of End-Use Metering and Conditional Demand Analysis, Working Papers (1994) View citations (4) (1994)

1994

96. Estimating Consumer Preferences Using Market Data--An Application to U.S. Automobile Demand
    Journal of Applied Econometrics, 1994, 9, (1), 1-18 View citations (24)
    See also Working Paper Estimating Consumer Preferences Using Market Data - An Application to U.S. Automobile Demand, Working Papers (1993) (1993)

1993

97. 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 (21)
    See also Working Paper A General Framework for Panel Data Models with an Application to Canadian Customer-Dialed Long Distance Telephone Service, Working Papers (1992) View citations (4) (1992)
98. 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 (41)
    See also Working Paper Econometric Issues of Estimating Hedonic Price Functions- with an Application to the U.S. Market for Automobiles, Working Papers (1992) (1992)
99. Editors' introduction
    Journal of Econometrics, 1993, 56, (1-2), 1-3

1992

100. Econometric Modelling of Canadian Long Distance Calling: A Comparison of Aggregate Time Series versus Point-to-Point Panel Data Approaches
     Empirical Economics, 1992, 17, (1), 125-40 View citations (8)

1991

101. Identification and Estimation of Dichotomous Latent Variables Models Using Panel Data
     The Review of Economic Studies, 1991, 58, (4), 717-731 View citations (12)
     See also Working Paper IDENTIFICATION AND ESTIMATION OF DICHOTOMOUS LATENT VARIABLES MODELS USING PANEL DATA, Working Papers (1989) (1989)
102. Some remarks on measurement errors and the identification of panel data models*
     Statistica Neerlandica, 1991, 45, (2), 187-194 View citations (8)

1990

103. A statistical perspective on insurance rate-making
     Journal of Econometrics, 1990, 44, (1-2), 5-24 View citations (4)
     See also Working Paper A STATISTICAL PERSPECTIVE ON INSURANCE RATE-MAKING, Working Papers (1989) (1989)

1989

104. Consistent estimation for some nonlinear errors-in-variables models
     Journal of Econometrics, 1989, 41, (1), 159-185 View citations (29)
     See also Working Paper CONSISTENT ESTIMATION FOR SOME NONLINEAR ERRORS-IN- VARIABLES MODELS, Working Papers (1988) (1988)
105. 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 (38)
     See also Working Paper MODELING ONTARIO REGIONAL ELECTRICITY SYSTEM DEMAND USING A MIXED FIXED AND RANDOM COEFFICIENTS APPROACH, Working Papers (1989) View citations (34) (1989)

1986

106. Peak and Off-Peak Industrial Demand for Electricity: The Hopkinson Rate in Ontario, Canada
     The Energy Journal, 1986, Volume 7, (Number 1), 149-168 View citations (2)
     Also in The Energy Journal, 1986, 7, (1), 149-168 (1986)

1985

107. Multinomial Logit Specification Tests
     International Economic Review, 1985, 26, (3), 619-27 View citations (158)

1984

108. 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 View citations (2)

1982

109. Autoregressive modeling and causal ordering of economic variables
     Journal of Economic Dynamics and Control, 1982, 4, (1), 243-259 View citations (59)
110. Formulation and estimation of dynamic models using panel data
     Journal of Econometrics, 1982, 18, (1), 47-82 View citations (1449)

1981

111. Autoregressive modelling and money-income causality detection
     Journal of Monetary Economics, 1981, 7, (1), 85-106 View citations (230)

1980

112. Missing data and maximum likelihood estimation
     Economics Letters, 1980, 6, (3), 249-253 View citations (1)

1979

113. Causality tests in econometrics
     Journal of Economic Dynamics and Control, 1979, 1, (4), 321-346 View citations (45)
114. Linear regression using both temporally aggregated and temporally disaggregated data
     Journal of Econometrics, 1979, 10, (2), 243-252 View citations (12)
115. Measurement Error in a Dynamic Simultaneous Equations Model with Stationary Disturbances
     Econometrica, 1979, 47, (2), 475-94 View citations (2)

1978

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

1977

117. Identification for a Linear Dynamic Simultaneous Error-Shock Model
     International Economic Review, 1977, 18, (1), 181-94 View citations (3)

1976

118. Identification and Estimation of Simultaneous Equation Models with Measurement Error
     International Economic Review, 1976, 17, (2), 319-39 View citations (8)

1975

119. Some Estimation Methods for a Random Coefficient Model
     Econometrica, 1975, 43, (2), 305-25 View citations (33)

1974

120. Statistical Inference for a Model with Both Random Cross-Sectional and Time Effects
     International Economic Review, 1974, 15, (1), 12-30 View citations (21)

Edited books

2011

1. Nonlinear Statistical Modeling
   Cambridge Books, Cambridge University Press

2010

2. Analysis of Panels and Limited Dependent Variable Models
   Cambridge Books, Cambridge University Press View citations (3)

2001

3. Nonlinear Statistical Modeling
   Cambridge Books, Cambridge University Press View citations (67)

1999

4. Analysis of Panels and Limited Dependent Variable Models
   Cambridge Books, Cambridge University Press View citations (178)

Chapters

2023

1. Maximum Likelihood Estimation of Dynamic Panel Data Models with Interactive Effects: Quasi-Differencing Over Time or Across Individuals?
   A chapter in Essays in Honor of Joon Y. Park: Econometric Methodology in Empirical Applications, 2023, vol. 45B, pp 353-384

2022

2. Heterogeneity and Dynamic Dependence in Panel Analysis of Individual Behavior
   A chapter in Essays in Honor of M. Hashem Pesaran: Panel Modeling, Micro Applications, and Econometric Methodology, 2022, vol. 43B, pp 61-79
3. Introduction
   A chapter in Essays in Honor of M. Hashem Pesaran: Prediction and Macro Modeling, 2022, vol. 43A, pp 1-6
4. Introduction
   A chapter in Essays in Honor of M. Hashem Pesaran: Panel Modeling, Micro Applications, and Econometric Methodology, 2022, vol. 43B, pp 1-5
5. Mean Variance Portfolio Allocation
   Springer
6. Multiple Treatment Effects in Panel-Heterogeneity and Aggregation
   A chapter in Essays in Honor of M. Hashem Pesaran: Panel Modeling, Micro Applications, and Econometric Methodology, 2022, vol. 43B, pp 81-101 View citations (1)

2020

7. An Econometrician’s Perspective on Big Data
   A chapter in Essays in Honor of Cheng Hsiao, 2020, vol. 41, pp 413-423

2016

8. Semiparametric Estimation of Partially Linear Varying Coefficient Panel Data Models
   A chapter in Essays in Honor of Aman Ullah, 2016, vol. 36, pp 47-65 View citations (4)

2014

9. Panel Macroeconometric Modeling☆This paper is dedicated to P. C. B. Phillips for his creative and lasting contributions to econometrics
   A chapter in Essays in Honor of Peter C. B. Phillips, 2014, vol. 33, pp 205-239

1984

10. Latent variable models in econometrics
    Chapter 23 in Handbook of Econometrics, 1984, vol. 2, pp 1321-1393 View citations (103)

1983

11. Identification
    Chapter 04 in Handbook of Econometrics, 1983, vol. 1, pp 223-283 View citations (3)

Editor

1. Journal of Econometrics
   Elsevier