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Current Research Topics on Panel Econometrics
Convergence
Testing
convergence has been an important task in many areas of Economics and Social
Science. Understanding the notion of the convergence is important. I have
established the notions of relative and weak sigma convergences. The so-called ‘Beta-convergence’ is ambiguous
and does not reflect the convergence concept correctly.
[Theory]
Transition
Modeling and Econometric Convergence Tests Econometrica,
2007, Vol 75, 1771-1855. (with P.C.B. Phillips) Power
Point Slides by Sul, Gauss Code for Clustering Algorithm
Data
Weak sigma
convergence: Theory and Applications.
Forthcoming in Journal of
Econometrics, 2019 (with Jianning Kong and
Peter C.B. Phillips) Stata and Gauss Code, Additional
MC results
Testing weak sigma
convergence using HAR Inference, Li, T.,Pesaran, M.H. and Terrell, D. (Ed.) Essays in
Honor of Cheng Hsiao (Advances in Econometrics, Vol. 41), Emerald Publishing Limited, pp. 25-72.
[Application]
Economic Transition and Growth Journal of Applied Econometrics
2009, 24, 1153-1185 (with P.C.B. Phillips). Example Gauss
Code, Stata
Code written by Kerui Du
Some Empirics on Economic
Growth under Heterogeneous Technology
Journal of Macroeconomics,
2007, 455-469. (with
P.C.B. Phillips)
The Role of Labor Share in Relative Price Divergence May 2015 (with Horag
Choi, Ryan Greenaway-McGrevy and Youngse
Kim)
Identifying Common Factors
Surprisingly, common factors explain
more than half of variations of macro panel data. This important component has
been ignored. Identifying these unknown common factors is the first step to
understand empirical issues of interest.
[Theory]
Identification of Unknown
Common Factors: Leaders and Followers (with Jason Parker) Journal of Business, Economics &
Statistics, 2016, Vol 34(2), 227—239 Additional MC results, Example
GAUSS Code
[Application]
Identifying
Exchange Rates Common Factors (with Ryan Greenaway-McGrevy,
Nelson C. Mark and Jyh-Lin Wu), International Economic Review, 2018, 59(4),
2193-2218. Data and Program
Common Drivers
of Transnational Terrorism: Principal Component Analysis Economic Inquiry, 2013, 707-721.
(with K. Gaibulloev and T. Sandler)
Econometrics on Experimental Economics
Experimental economists always wonder
whether or not there are better econometric or statistical methods. Here are a
couple of theoretical attempts to help experimental economists.
[Theory]
Estimation of Treatment Effects
in Repeated Public Good Experiments, (with Jianning
Kong), Econometrics, 2018,
6(4), 43.
Estimation of Treatment Effects under Multiple
Equilibria in Repeated Public Good Experiments, under Revision, (with Jianning Kong)
Previous Research Topics on Panel Econometrics
Understanding Cross Sectional Dependence
[Theory]
Dynamic Seemingly Unrelated Cointegrating Regression (with N.C. Mark and M. Ogaki), Review of Economic Studies, 2005, 72, 797-820. Gauss Code
Dynamic Panel
Estimation and Homogeneity Testing Under Cross Section Dependence Econometrics
Journal, 2003,
Vol. 6. 217—260. (with P.C.B. Phillips) Gauss Code
Cointegration vector estimation by panel
DOLS and long-run money demand Oxford Bulletin of Economics & Statistics, 2003, Vol 65, 655-680. (with N.C. Mark) Gauss Code (Updated Aug 2010)
Panel Unit Root Tests under Cross Section Dependence
with Recursive Mean Adjustment Economics Letters 2009, 105 (1). 123-126, Detail Critical values for CRMA tests (Excel File). Example
Gauss Code
[Application]
Spatial Market Efficiency and Policy Regime Change:
Seemingly Unrelated Error Correction Model Estimation American Journal of
Agricultural Economics, 2002, 84(4), 1042—1053.
(with S.R. Thompson, M.T. Bohl)
Estimation of Common Factor Structure
[Theory]
Asymptotic Distribution of Factor Augmented Estimators
for Panel Regression Journal of Econometrics 2012, 169, 48--53 (with
R. Greenaway-McGrevy and C. Han).
Standardization and Estimation of the Number of Factors for Panel Data, Journal of Economic Theory and Econometrics, 2012, 23(2), 79-88 (with Ryan Greenaway-McGrevy and Chirok Han)
Estimating
the Number of Common Factors in Serially Dependent Approximate Factor Models,
Economics
Letters 2012, 116, 531--534 Additional MC
results (with Ryan Greenaway-McGrevy and Chirok Han)
Panel Bias Reduction Method
[Theory]
Prewhitening Bias in HAC Estimation
Bias in Dynamic Panel
Estimation with Fixed Effects, Incidental Trends and Cross Section Dependence
Journal of Econometrics, 2007,
Vol 137, 162-188 (with P.C.B. Phillips)
Bias Reduction in Dynamic Panel Data Models by
Recursive Mean Adjustment under Cross Section Dependence Oxford
Bulletin of Economics & Statistics, 2010, 72 (7), 567--599 (with CY
Choi and Nelson C. Mark)
Uniform Asymptotic Normality in Stationary and Unit Root
Autoregression Econometric Theory 2011, 27 (6), 1117--1151 (with C. Han and
P.C.B. Phillips)
X-Differencing and Dynamic Panel Model Estimation, Econometric Theory,
2014, 30(1), 201—251 (with Chirok Han and P.C.B. Phillips)
Average Estimation of Dynamic Panel Models with Nonstationary Initial Condition" Advances in Econometrics, 2014, Vol 33, 241--279 (with John Chao and Myungsup Kim)
Efficient Estimation and Inference for Difference-In-Difference Regressions with Persistent Errors" Advances in Econometrics, 2014, 33, 281--302 (with Ryan Greenaway-McGrevy and Chirok Han)
Lag Length Selection in Panel Autoregression Econometric
Review 2017, Vol 36(1), 225—240. (with Chirok
Han and Peter C.B. Phillips) Gauss Code
[Application]
Unbiased Estimation of the Half-Life to PPP Convergence in
Panel Data Journal of Money, Credit, and Banking, 2006, 921-938.
(with C.Y. Choi and N.C. Mark) Data, Gauss Code
Dynamic Panel Analysis under Cross-Sectional Dependence Political Analysis, 2014, Vol 22(2), 258—273 (with K. Gaibulloev and T. Sandler).
Of Nickell Bias, Cross-Sectional Dependence, and Their Cures: Reply. Political Analysis, 2014, Vol 22(2), 279—280 (with K. Gaibulloev and T. Sandler).
Open Economy Macroeconomics
International Finance
Nominal Exchange Rates and Monetary Fundamentals: Evidence from a Seventeen Country Panel Journal of International Economics, 2001, 53, 29-52 (with N.C. Mark)
Unbiased Estimation of the Half-Life to PPP Convergence in
Panel Data Journal of Money, Credit, and Banking, 2006, 921-938.
(with C.Y. Choi and N.C. Mark) Data, Gauss Code
When Are Pooled Panel-Data Regression Forecasts of Exchange Rates More Accurate than the Time-Series Regression Forecasts?, Handbook of Exchange Rates, 2012, 256-281 (with Nelson C. Mark) Edited by J. James, I.W. Marsh and L. Sarno. John Wiley & Sons, Inc.
Endogenous Discounting, the World Savings Glut and the U.S. Current Account Journal of International Economics, 2008, 30—53. (with Horag Choi and Nelson C. Mark)
Identifying Exchange Rates Common Factors forthcoming in International Economic Review, 2017, (with Ryan Greenaway-McGrevy, Nelson C. Mark and Jyh-Lin Wu), Data and Program
Economic Growth
Some Empirics on Economic Growth
under Heterogeneous Technology Journal of Macroeconomics, 2007,
455-469. (with P.C.B.
Phillips)
Economic Transition and Growth Journal of Applied Econometrics 2009, 24, 1153-1185 (with P.C.B. Phillips). Example Gauss Code, Stata Code written by Kerui Du
The Role of Labor Share in Relative Price Divergence May 2015 (with Horag
Choi, Ryan Greenaway-McGrevy and Youngse
Kim)
Terrorism and Political Science
Common Drivers of Transnational Terrorism: Principal Component Analysis Economic Inquiry, 2013, 707-721. (with K. Gaibulloev and T. Sandler)
Dynamic Panel Analysis under Cross-Sectional Dependence Political Analysis, 2014, Vol 22(2), 258—273 (with K. Gaibulloev and T. Sandler).
Of Nickell Bias, Cross-Sectional Dependence, and Their Cures: Reply. Political Analysis, 2014, Vol 22(2), 279—280 (with K. Gaibulloev and T. Sandler).
Other Works
Spatial Market Efficiency and Policy Regime Change:
Seemingly Unrelated Error Correction Model Estimation American
Journal of Agricultural Economics, 2002, 84(4), 1042—1053.
(with S.R. Thompson,
M.T. Bohl)
Excess Volatility of Realized Excess Profit from Currency Speculation in a Two-Country General Equilibrium Model Review of International Economics, 1999, 7, 280-292.
Does Ex Post Uncovered Interest Differential
Reflect on the Degrees of Capital Mobility? Applied Economics Letters, 1999, 6,
97-102.