期刊： ECONOMETRIC REVIEWS, 2021; 40 (9)
In influential articles Powell (Journal of Econometrics 25(3):303-325, 1984; Journal of Econometrics 32(1):143-155, 1986) proposed optimization-based ......
期刊： ECONOMETRIC REVIEWS, 2021; 40 (9)
This paper considers the estimation of average treatment effect using propensity score method. We propose to use a semiparametric single-index model t......
期刊： ECONOMETRIC REVIEWS, 2021; 40 (9)
In this paper, we propose a jackknife method to determine the type of fixed effects in three-dimensional panel data models. We show that with probabil......
期刊： ECONOMETRIC REVIEWS, 2021; 40 (10)
This paper considers generalized method of moments (GMM) and sequential GMM (SGMM) estimation of dynamic short panel data models. The efficient GMM mo......
期刊： ECONOMETRIC REVIEWS, 2021; 40 (10)
In this paper, we propose a simple method to estimate a partially varying-coefficient panel data model with fixed effects. By taking difference upon t......
期刊： ECONOMETRIC REVIEWS, 2021; 40 (10)
In the independent private values framework for first-price auctions, we propose a new nonparametric estimator of the probability density of latent va......
期刊： ECONOMETRIC REVIEWS, 2021; 40 (9)
In this article, we investigate seemingly unrelated regression (SUR) models that allow the number of equations (N) to be large and comparable to the n......
期刊： ECONOMETRIC REVIEWS, 2021; 40 (8)
This paper develops a two-stage semiparametric procedure to estimate the preference parameters of a binary choice model under uncertainty. In the mode......
期刊： ECONOMETRIC REVIEWS, 2021; 40 (10)
We study the nonparametric estimation and specification testing for partially linear functional-coefficient dynamic panel data models, where the effec......
期刊： ECONOMETRIC REVIEWS, 2021; 40 (8)
This study investigates an AR (autoregressive)-filtered version of several conventional diagnostic tests for cross-sectional dependence in large mixed......
期刊： ECONOMETRIC REVIEWS, 2021; 40 (6)
Crude oil prices are of vital importance for market participants and governments to make energy policies and decisions. In this paper, we apply a newl......
期刊： ECONOMETRIC REVIEWS, 2021; 40 (8)
The right tail of the distribution of financial variables provides important information to investors and decision-makers. In this paper, we study the......
This study proposes a simple, trustworthy Chow test in the presence of heteroscedasticity and autocorrelation. The test is based on a series heterosce......
期刊： ECONOMETRIC REVIEWS, 2020; 39 (10)
In recent years, the body of literature on frequentist model averaging in econometrics has grown significantly. Most of this work focuses on models wi......
期刊： ECONOMETRIC REVIEWS, 2020; 39 (8)
This note discusses the pros and cons of using the conditional mean approach of Mundlak and Chamberlain and the linear difference approach to deal wit......
