Details about Chihwa Kao

Homepage:	http://faculty.maxwell.syr.edu/cdkao/
Workplace:	Department of Economics, University of Connecticut, (more information at EDIRC)

Access statistics for papers by Chihwa Kao.

Last updated 2023-03-16. Update your information in the RePEc Author Service.

Short-id: pka371

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Working Papers

2019

1. Estimating and testing high dimensional factor models with multiple structural changes
   MPRA Paper, University Library of Munich, Germany View citations (1)
   See also Journal Article in Journal of Econometrics (2021)
2. Structural Changes in Heterogeneous Panels with Endogenous Regressors
   Center for Policy Research Working Papers, Center for Policy Research, Maxwell School, Syracuse University View citations (4)
   See also Journal Article in Journal of Applied Econometrics (2019)
3. Testing for Shifts in a Time Trend Panel Data Model with Serially Correlated Error Component Disturbances
   Center for Policy Research Working Papers, Center for Policy Research, Maxwell School, Syracuse University View citations (1)
   See also Journal Article in Econometric Reviews (2020)

2016

4. Asymptotic Power of the Sphericity Test Under Weak and Strong Factors in a Fixed Effects Panel Data Model
   Center for Policy Research Working Papers, Center for Policy Research, Maxwell School, Syracuse University View citations (1)
   See also Journal Article in Econometric Reviews (2017)
5. Identification and Estimation of a Large Factor Model with Structural Instability
   Working papers, University of Connecticut, Department of Economics View citations (2)
   Also in Center for Policy Research Working Papers, Center for Policy Research, Maxwell School, Syracuse University (2016) View citations (2)
   See also Journal Article in Journal of Econometrics (2017)
6. Long run effect of public grants on the R&D investment: A non-stationary panel data approach
   Efficiency Series Papers, University of Oviedo, Department of Economics, Oviedo Efficiency Group (OEG)
7. Testing Cross-sectional Correlation in Large Panel Data Models with Serial Correlation
   Working papers, University of Connecticut, Department of Economics View citations (18)
   See also Journal Article in Econometrics (2016)
8. Testing for Instability in Covariance Structures
   Working papers, University of Connecticut, Department of Economics View citations (5)
   Also in Center for Policy Research Working Papers, Center for Policy Research, Maxwell School, Syracuse University (2012) View citations (1)

2015

9. Estimation and Identification of Change Points in Panel Models with Nonstationary or Stationary Regressors and Error Term
   Center for Policy Research Working Papers, Center for Policy Research, Maxwell School, Syracuse University View citations (2)
   See also Journal Article in Econometric Reviews (2017)
10. Estimation of Heterogeneous Panels with Structural Breaks
    Center for Policy Research Working Papers, Center for Policy Research, Maxwell School, Syracuse University View citations (5)
    See also Journal Article in Journal of Econometrics (2016)
11. Test of Hypotheses in a Time Trend Panel Data Model with Serially Correlated Error Component Disturbances
    Working Papers, College of Business, University of Texas at San Antonio
    Also in Center for Policy Research Working Papers, Center for Policy Research, Maxwell School, Syracuse University (2014) View citations (3)
    See also Chapter (2014)

2014

12. "On Testing for Sphericity with Non-normality in a Fixed Effects Panel Data Model
    Center for Policy Research Working Papers, Center for Policy Research, Maxwell School, Syracuse University
    See also Journal Article in Statistics & Probability Letters (2015)

2012

13. A Lagrange Multiplier Test for Cross-Sectional Dependence in a Fixed Effects Panel Data Model
    Center for Policy Research Working Papers, Center for Policy Research, Maxwell School, Syracuse University View citations (160)
    See also Journal Article in Journal of Econometrics (2012)
14. On The Estimation and Testing of Fixed Effects Panel Data Models with Weak Instruments
    Center for Policy Research Working Papers, Center for Policy Research, Maxwell School, Syracuse University View citations (5)
15. Testing for Breaks in Cointegrated Panels
    Center for Policy Research Working Papers, Center for Policy Research, Maxwell School, Syracuse University View citations (3)
16. The Estimation and Testing of a Linear Regression with Near Unit Root in the Spatial Autoregressive Error Term
    Center for Policy Research Working Papers, Center for Policy Research, Maxwell School, Syracuse University
    Also in Center for Policy Research Working Papers, Center for Policy Research, Maxwell School, Syracuse University (2012)
    See also Journal Article in Spatial Economic Analysis (2013)

2011

17. Test Of Hypotheses In Panel Data Models When The Regressor And Disturbances Are Possibly Nonstationary
    Center for Policy Research Working Papers, Center for Policy Research, Maxwell School, Syracuse University View citations (7)
    See also Journal Article in AStA Advances in Statistical Analysis (2011)
18. Testing for Breaks in Cointegrated Panels with Common and Idiosyncratic Stochastic Trends
    Center for Policy Research Working Papers, Center for Policy Research, Maxwell School, Syracuse University View citations (1)

2009

19. Testing for Sphericity in a Fixed Effects Panel Data Model (Revised July 2009)
    Center for Policy Research Working Papers, Center for Policy Research, Maxwell School, Syracuse University View citations (1)

2007

20. Asymptotic Properties of Estimators for the Linear Panel Regression Model with Individual Effects and Serially Correlated Errors: The Case of Stationary and Non-Stationary Regressors and Residuals
    Center for Policy Research Working Papers, Center for Policy Research, Maxwell School, Syracuse University View citations (3)
21. Consistent Estimation with Weak Instruments in Panel Data
    Center for Policy Research Working Papers, Center for Policy Research, Maxwell School, Syracuse University
22. Copula-Based Tests for Cross-Sectional Independence in Panel Models
    Center for Policy Research Working Papers, Center for Policy Research, Maxwell School, Syracuse University
    See also Journal Article in Economics Letters (2008)
23. Modelling and Testing for Structural Changes in Panel Cointegration Models with Common and Idiosyncratic Stochastic Trend
    Center for Policy Research Working Papers, Center for Policy Research, Maxwell School, Syracuse University View citations (1)
    Also in Working Papers, Department of Management, Information and Production Engineering, University of Bergamo (2007) View citations (3)
24. Panel Cointegration with Global Stochastic Trends
    Center for Policy Research Working Papers, Center for Policy Research, Maxwell School, Syracuse University View citations (6)
    See also Journal Article in Journal of Econometrics (2009)
25. Testing for Instability in Factor Structure of Yield Curves
    Center for Policy Research Working Papers, Center for Policy Research, Maxwell School, Syracuse University

2006

26. Asymptotics for panel models with common shocks
    Working Papers, Department of Management, Information and Production Engineering, University of Bergamo View citations (12)
    Also in Center for Policy Research Working Papers, Center for Policy Research, Maxwell School, Syracuse University (2006) View citations (5)
    See also Journal Article in Econometric Reviews (2012)

2005

27. On the Estimation and Inference of a Panel Cointegration Model with Cross-Sectional Dependence
    Center for Policy Research Working Papers, Center for Policy Research, Maxwell School, Syracuse University View citations (10)
28. Simulation-Based Two-Step Estimation with Endogenous Regressors
    Center for Policy Research Working Papers, Center for Policy Research, Maxwell School, Syracuse University View citations (2)

2004

29. Detecting Neglected Nonlinearity in Dynamic Panel Data with Time-Varying Conditional Heteroskedasticity
    Econometric Society 2004 Far Eastern Meetings, Econometric Society

2003

30. Entrepreneurship and Economic Growth: The Proof Is in the Productivity
    Center for Policy Research Working Papers, Center for Policy Research, Maxwell School, Syracuse University View citations (22)

2002

31. Spectral Density Bandwidth Choice and Prewhitening in the Generalized Method of Moments Estimators for the Asset Pricing Models
    Computing in Economics and Finance 2002, Society for Computational Economics
    See also Journal Article in Economics Bulletin (2005)
32. Spectral density bandwith choice and prewightening in the estimation of heteroskadasticity and autocorrelation consistent covariance matrices in panel data models
    10th International Conference on Panel Data, Berlin, July 5-6, 2002, International Conferences on Panel Data

2001

33. Asymptotic Inference in Censored Regression MOdels Revisited
    Center for Policy Research Working Papers, Center for Policy Research, Maxwell School, Syracuse University
34. Geography, Industrial Organization, and Agglomeration Heteroskedasticity Models with Estimates of the Variances of Foreign Exchange Rates
    Center for Policy Research Working Papers, Center for Policy Research, Maxwell School, Syracuse University
35. Simulated Maximum Likelihood Estimation of the Linear Expenditure System with Binding Non-Negativity Constraints
    CEMA Working Papers, China Economics and Management Academy, Central University of Finance and Economics View citations (24)
    See also Journal Article in Annals of Economics and Finance (2001)
36. Some New Approaches to Formulate and Estimate Friction-Bernoulli Jump Diffusion and Friction-GARCH
    Center for Policy Research Working Papers, Center for Policy Research, Maxwell School, Syracuse University

2000

37. Nonstationary Panels, Cointegration in Panels and Dynamic Panels: A Survey
    Center for Policy Research Working Papers, Center for Policy Research, Maxwell School, Syracuse University View citations (378)
38. Testing for Structural Change of a Time Trend Regression in Panel Data
    Center for Policy Research Working Papers, Center for Policy Research, Maxwell School, Syracuse University View citations (8)
39. Wavelet-Based Testing for Serial Correlation of Unknown Form in Panel Models
    Center for Policy Research Working Papers, Center for Policy Research, Maxwell School, Syracuse University
    See also Journal Article in Econometrica (2004)

1999

40. A Monte Carlo Comparison of Tests for Cointegration in Panel Data
    Center for Policy Research Working Papers, Center for Policy Research, Maxwell School, Syracuse University View citations (4)
    Also in Econometrics, University Library of Munich, Germany (1997) View citations (13)
41. International R&D Spillovers: An Application of Estimation and Inference in Panel Cointegration
    Center for Policy Research Working Papers, Center for Policy Research, Maxwell School, Syracuse University View citations (238)
    See also Journal Article in Oxford Bulletin of Economics and Statistics (1999)
42. On the Estimation and Inference of a Cointegrated Regression in Panel Data
    Center for Policy Research Working Papers, Center for Policy Research, Maxwell School, Syracuse University View citations (135)
    Also in Econometrics, University Library of Munich, Germany (1997) View citations (21)
43. On the Estimation of a Linear Time Trend Regression with a One-Way Error Component Model in the Presence of Serially Correlated Errors
    Center for Policy Research Working Papers, Center for Policy Research, Maxwell School, Syracuse University View citations (1)
    Also in Econometrics, University Library of Munich, Germany (1998)
44. Testing the Stability of a Production Function with Urbanization as a Shift Factor: An Application of Non-Stationary Panel Data Techniques
    Center for Policy Research Working Papers, Center for Policy Research, Maxwell School, Syracuse University View citations (8)

1998

45. A Panel Data Investigation of the Relationship Between Urbanization and Growth
    Urban/Regional, University Library of Munich, Germany View citations (7)

1997

46. A RESIDUAL-BASED TEST OF THE NULL OF COINTEGRATION IN PANEL DATA
    Econometrics, University Library of Munich, Germany View citations (141)
    See also Journal Article in Econometric Reviews (1998)
47. International R&D Spillovers: An Application of Estimation and Inference in Panel
    International Trade, University Library of Munich, Germany View citations (1)
48. Spurious Regression and Residual-Based Tests for Cointegration in Panel Data When the Cross-Section and Time-Series Dimensions are Comparable
    Econometrics, University Library of Munich, Germany View citations (1)

1984

49. An EM Algorithm for the Heteroscedastic Regression Models with Censored Data
    Discussion Papers, Chung-Hua Institution for Economic Research
    See also Journal Article in Economics Letters (1985)
50. Robust Regression with Censored Data
    Discussion Papers, Chung-Hua Institution for Economic Research
51. Second-Order Efficiency in the Estimation of Heteroscedastic Regression Models
    Discussion Papers, Chung-Hua Institution for Economic Research
52. Small Sample Studies of Estimating the Regression Models with Multiplicative Heteroscedasticity: The Results of Some Monte Carlo Experiments
    Discussion Papers, Chung-Hua Institution for Economic Research
53. The Bootstrap and the Censored Regression
    Discussion Papers, Chung-Hua Institution for Economic Research

Journal Articles

2022

1. Spatial Analysis and Modeling of the Housing Value Changes in the U.S. during the COVID-19 Pandemic
   JRFM, 2022, 15, (3), 1-25 View citations (1)

2021

2. A bias-corrected fixed effects estimator in the dynamic panel data model
   Empirical Economics, 2021, 60, (1), 205-225 View citations (3)
3. Estimating and testing high dimensional factor models with multiple structural changes
   Journal of Econometrics, 2021, 220, (2), 349-365 View citations (8)
   See also Working Paper (2019)
4. Mahalanobis Metric Based Clustering for Fixed Effects Model
   Sankhya B: The Indian Journal of Statistics, 2021, 83, (2), 493-506

2020

5. Testing for shifts in a time trend panel data model with serially correlated error component disturbances
   Econometric Reviews, 2020, 39, (8), 745-762 View citations (2)
   See also Working Paper (2019)

2019

6. Structural changes in heterogeneous panels with endogenous regressors
   Journal of Applied Econometrics, 2019, 34, (6), 883-892 View citations (3)
   See also Working Paper (2019)

2018

7. Long run effect of public grants and tax credits on R&D investment: A non-stationary panel data approach
   Economic Modelling, 2018, 75, (C), 93-104 View citations (15)

2017

8. Asymptotic power of the sphericity test under weak and strong factors in a fixed effects panel data model
   Econometric Reviews, 2017, 36, (6-9), 853-882 View citations (2)
   See also Working Paper (2016)
9. Estimation and identification of change points in panel models with nonstationary or stationary regressors and error term
   Econometric Reviews, 2017, 36, (1-3), 85-102 View citations (22)
   See also Working Paper (2015)
10. Identification and estimation of a large factor model with structural instability
    Journal of Econometrics, 2017, 197, (1), 87-100 View citations (26)
    See also Working Paper (2016)

2016

11. Estimation of heterogeneous panels with structural breaks
    Journal of Econometrics, 2016, 191, (1), 176-195 View citations (46)
    See also Working Paper (2015)
12. Testing Cross-Sectional Correlation in Large Panel Data Models with Serial Correlation
    Econometrics, 2016, 4, (4), 1-24 View citations (18)
    See also Working Paper (2016)

2015

13. On testing for sphericity with non-normality in a fixed effects panel data model
    Statistics & Probability Letters, 2015, 98, (C), 123-130 View citations (3)
    See also Working Paper (2014)

2013

14. Testing for cross-sectional dependence in a panel factor model using the wild bootstrap $$F$$ test
    Statistical Papers, 2013, 54, (4), 1067-1094 View citations (7)
15. The Estimation and Testing of a Linear Regression with Near Unit Root in the Spatial Autoregressive Error Term
    Spatial Economic Analysis, 2013, 8, (3), 241-270 View citations (5)
    See also Working Paper (2012)

2012

16. A Lagrange Multiplier test for cross-sectional dependence in a fixed effects panel data model
    Journal of Econometrics, 2012, 170, (1), 164-177 View citations (171)
    See also Working Paper (2012)
17. Asymptotics for Panel Models with Common Shocks
    Econometric Reviews, 2012, 31, (4), 390-439 View citations (8)
    See also Working Paper (2006)

2011

18. Test of hypotheses in panel data models when the regressor and disturbances are possibly non-stationary
    AStA Advances in Statistical Analysis, 2011, 95, (4), 329-350 View citations (7)
    See also Working Paper (2011)
19. Testing for sphericity in a fixed effects panel data model
    Econometrics Journal, 2011, 14, 25-47 View citations (15)
    Also in Econometrics Journal, 2011, 14, (1), 25-47 (2011) View citations (19)

2010

20. Bounded influence estimator for GARCH models: evidence from foreign exchange rates
    Applied Economics, 2010, 42, (11), 1437-1445 View citations (2)

2009

21. Panel cointegration with global stochastic trends
    Journal of Econometrics, 2009, 149, (1), 82-99 View citations (189)
    See also Working Paper (2007)

2008

22. Asymptotic properties of estimators for the linear panel regression model with random individual effects and serially correlated errors: the case of stationary and non-stationary regressors and residuals
    Econometrics Journal, 2008, 11, (3), 554-572 View citations (14)
23. Copula-based tests for cross-sectional independence in panel models
    Economics Letters, 2008, 100, (2), 224-228
    See also Working Paper (2007)

2006

24. Testing for structural change in panel data: GDP growth, consumption growth, and productivity growth
    Economics Bulletin, 2006, 3, (14), 1-12 View citations (5)

2005

25. Bootstrapping and hypothesis testing in non-stationary panel data
    Applied Economics Letters, 2005, 12, (5), 313-318 View citations (1)
26. Spectral Density Bandwidth Choice and Prewhitening in the Generalized Method of Moments Estimators for the Asset Pricing Model
    Economics Bulletin, 2005, 3, (10), 1-13
    See also Working Paper (2002)

2004

27. Wavelet-Based Testing for Serial Correlation of Unknown Form in Panel Models
    Econometrica, 2004, 72, (5), 1519-1563 View citations (37)
    See also Working Paper (2000)

2001

28. Simulated Maximum Likelihood Estimation of the Linear Expenditure System with Binding Non-Negativity Constraints
    Annals of Economics and Finance, 2001, 2, (1), 215-235 View citations (22)
    See also Working Paper (2001)

1999

29. International R&D Spillovers: An Application of Estimation and Inference in Panel Cointegration
    Oxford Bulletin of Economics and Statistics, 1999, 61, (S1), 691-709 View citations (235)
    See also Working Paper (1999)
30. Spurious regression and residual-based tests for cointegration in panel data
    Journal of Econometrics, 1999, 90, (1), 1-44 View citations (1730)
31. Testing the Stability of a Production Function with Urbanization as a Shift Factor
    Oxford Bulletin of Economics and Statistics, 1999, 61, (S1), 671-690 View citations (25)

1998

32. A residual-based test of the null of cointegration in panel data
    Econometric Reviews, 1998, 17, (1), 57-84 View citations (230)
    See also Working Paper (1997)
33. Women and Tariffs: Testing the Gender Gap Hypothesis in a Downs-Mayer Political-Economy Model
    Economic Inquiry, 1998, 36, (2), 320-32 View citations (7)

1994

34. Rational Expectations, Information Signalling and Dividend Adjustment to Permanent Earnings
    The Review of Economics and Statistics, 1994, 76, (3), 490-502 View citations (6)
35. Tests of Dividend Signaling Using the Marsh-Merton Model: A Generalized Friction Approach
    The Journal of Business, 1994, 67, (1), 45-68 View citations (15)

1990

36. Sinking Funds and the Agency Costs of Corporate Debt
    The Financial Review, 1990, 25, (1), 95-113 View citations (2)
37. Two-Step Estimation of Linear Models with Ordinal Unobserved Variables: The Case of Corporate Bonds
    Journal of Business & Economic Statistics, 1990, 8, (3), 317-25 View citations (21)

1987

38. Errors in variables in a random-effects probit model for panel data
    Economics Letters, 1987, 24, (4), 339-342 View citations (4)
39. Errors in variables in panel data with a binary dependent variable
    Economics Letters, 1987, 24, (1), 45-49 View citations (2)
40. Errors in variables in the multinomial response model
    Economics Letters, 1987, 25, (3), 249-254 View citations (3)

1986

41. Variable selection problem in the censored regression models
    Economics Letters, 1986, 22, (4), 353-357 View citations (1)

1985

42. An em algorithm for the heteroscedastic regression models with censored data
    Economics Letters, 1985, 17, (1-2), 91-96
    See also Working Paper (1984)
43. Influence diagnostic for censored regression models
    Statistics & Probability Letters, 1985, 3, (6), 337-342

Books

2020

1. Large-Dimensional Panel Data Econometrics:Testing, Estimation and Structural Changes
   World Scientific Books, World Scientific Publishing Co. Pte. Ltd.

2019

2. High-Dimensional Econometrics and Identification
   World Scientific Books, World Scientific Publishing Co. Pte. Ltd.

Chapters

2020

1. Factor-Augmented Panel Data Regression Models
   Chapter 3 in Large-Dimensional Panel Data Econometrics Testing, Estimation and Structural Changes, 2020, pp 35-55
2. Introduction
   Chapter 1 in Large-Dimensional Panel Data Econometrics Testing, Estimation and Structural Changes, 2020, pp 1-5
3. Latent-Grouped Structure in Panel Data Models
   Chapter 5 in Large-Dimensional Panel Data Econometrics Testing, Estimation and Structural Changes, 2020, pp 115-143
4. Structural Changes in Panel Data Models
   Chapter 4 in Large-Dimensional Panel Data Econometrics Testing, Estimation and Structural Changes, 2020, pp 57-114
5. Tests for Cross-Sectional Dependence in Fixed Effects Panel Data Models
   Chapter 2 in Large-Dimensional Panel Data Econometrics Testing, Estimation and Structural Changes, 2020, pp 7-34

2019

6. Estimation of Change Points in Stationary and Nonstationary Regressors and Error Term
   Chapter 3 in HIGH-DIMENSIONAL ECONOMETRICS AND IDENTIFICATION, 2019, pp 57-107
7. Incidental Parameters Problem in Panel Data Models
   Chapter 5 in HIGH-DIMENSIONAL ECONOMETRICS AND IDENTIFICATION, 2019, pp 129-153
8. Panel Data Model with Stationary and Nonstationary Regressors and Error Terms
   Chapter 1 in HIGH-DIMENSIONAL ECONOMETRICS AND IDENTIFICATION, 2019, pp 1-34
9. Panel Time Trend Model with Stationary and Nonstationary Error Terms
   Chapter 2 in HIGH-DIMENSIONAL ECONOMETRICS AND IDENTIFICATION, 2019, pp 35-56
10. Weak Instruments in Panel Data Models
    Chapter 4 in HIGH-DIMENSIONAL ECONOMETRICS AND IDENTIFICATION, 2019, pp 109-127

2014

11. Test of Hypotheses in a Time Trend Panel Data Model with Serially Correlated Error Component Disturbances
    A chapter in Essays in Honor of Peter C. B. Phillips, 2014, vol. 33, pp 347-394 View citations (3)
    See also Working Paper (2015)