Testing for a structural break in a spatial panel model mdpi. It covers topics in statistical theory and methodology that are useful for. This website uses cookies as well as similar tools and technologies to understand visitors experiences. The book as a whole is distributed by mdpi under the terms and conditions of the creative commons. Unbalanced panel data models with interactive effects jushan bai, yuan liao, and jisheng yang panel data models for discrete choice william greene panel. Phillips of yale university by some of his former students. Large dimensional factor analysis foundations and trends. Panel conditional and multinomial logit estimators 202 myoungjae lee 8. Whether youve loved the book or not, if you give your honest and detailed thoughts then people will find new books that are right for them. Dynamic panel data estimation, nonlinear panel data methods and the phenomenal growth in nonstationary panel data econometrics makes this an exciting area of research in econometrics. Large dimensional factor analysis foundations and trendsr in econometrics bai, jushan, ng, serena on.
Jushan bai and peng wangy august 2015 abstract large factor models use a few latent factors to characterize the comovement of economic variables in a high dimensional data set. Large dimensional factor analysis foundations and trendsr. Bai and ngs 2008 survey is more technical than this one and focuses on the econometric theory and conditions. Jushan bai serena ng y august 2004 princeton university. This issue was popularised by david hendry, who argued that lack of stability of coefficients frequently caused forecast failure, and. All the estimation techniques that could possibly be taught.
Advances in economics and econometrics edited by daron acemoglu. The papers summarize and interpret key developments in economics and econometrics, and they discuss future directions for a wide variety of topics, covering both theory and application. The authors focus on the development of the static factor models and on the use of estimated factors in subsequent estimation and inference. One deals with the case when the common factors are deterministic and smooth in the time domain, and the proposed estimator is based on an iterative functional principal components analysis. Jushan bai, department of economics, new york university, usa, jushan. New discussions are presented on kennel density fitting and the analysis of treatment effects. Contributions to economic analysis panel data econometrics. The limiting distribution of the test is derived under the null when both the number of individual units n and the number of time periods t is. Panel data models for discrete choice v1 william greene 7. This paper was prepared for the palgrave handbook of econometrics, vol.
Preface this book is designed to serve as the textbook for a. Due to its ability to e ectively summarize information in large data. It covers topics in statistical theory and methodology that are useful for further study of econometrics. Jushan bai this paper studies the least squares estimation of a change point in multiple regressions.
Journal of econometrics, 2008, 146, 2, 304317 view citations 232 generic consistency of the breakpoint estimators under specification errors in a multiplebreak model econometrics journal, 2008, 11, 2, 287307 view citations 19 large dimensional factor analysis foundations and trendsr in econometrics, 2008, 3, 2, 89163 view. Jushan bai and pierre perron 1998, testing for and estimation of multiple structural changes, econometrica 661, pp. This paper considers the maximum likelihood estimation of panel data models with interactive effects. If the address matches an existing account you will receive an email with instructions to retrieve your username. The fourth edition has been thoroughly updated to reflect the current state of economic and financial markets. The book is also distinctive in developing both timeseries and crosssection analysis fully, giving the reader a unified framework for understanding and integrating results. Inferential theory for factor models of large dimensions, econometrica, econometric society, vol. Motivated by applications in economics and other social sciences, a notable feature of the model is that the explanatory variables are correlated with the unobserved effects.
Jushan bai serena ng it is known that the principal component estimates of the factors and the loadings are rotations of the underlying latent factors and loadings. We propose a likelihood ratio test of the null hypothesis of no break against the alternative hypothesis of a single break. Structural change, econometrics of request pdf researchgate. Large dimensional factor analysis provides a survey of the. Unbalanced panel data models with interactive effects. Stock and watson 2006 focus on dfmbased forecasts in the context of other methods for forecasting with many predictors.
The econometrics journal is a top international field journal for the publication of econometric research in macro, micro and financial econometrics. Theory and methods of panel data models with interactive effects. Generic consistency of the breakpoint estimators under specification errors in a multiplebreak model, econometrics journal, royal economic society, vol. Serena ng y august 2004 abstract we consider the situation when there is a large number of series, n, each with t observations, and each series has some predictive ability for the variable of interest, y. A comprehensive source, with wellbalanced chapters that span most of the economics fields from microeconometrics to macroeconometrics, along with a selective but relevant choice of applications. Coorganizing with jushan bai the first international econometrics. Econometrics free fulltext unit roots and structural. Financial econometrics, probability and statistics. This book is a collection of essays written in honor of professor peter c. Financial support from the japan securities scholarship foundation is. Computation and analysis of multiple structural change models. This chapter provides two types of estimators for panel data models in the presence of interactive effects and missing observations. For useful comments on an earlier draft, i wish to thank jushan bai, songjun chun, ai deng, mohitosh kejriwal, dukpa kim, eiji kurozumi, zhongjun qu, jonathan treussard, tim vogelsang, tatsuma wada, tomoyoshi yabu, yunpeng zhang, jing zhou.
In econometrics and statistics, a structural break is an unexpected change over time in the parameters of regression models, which can lead to huge forecasting errors and unreliability of the model in general. Selecting the regularization parameters in highdimensional panel data models. Unbalanced panel data models with interactive effects jushan bai, yuan liao, and jisheng yang panel data models for discrete choice william greene panel conditional and multinomial logit estimators myoungjae lee. The essays analyze several stateoftheart issues in econometrics, all of which professor phillips has directly in. By continuing to use this website, you consent to columbia universitys usage of cookies and similar technologies, in accordance with the columbia university website cookie notice. The premise of a dynamic factor model is that a few latent dynamic factors, ft. The book is designed to help students understand econometric techniques through extensive examples, careful explanations, and a wide variety of.
One deals with the case when the common factors are deterministic and smooth in the time domain, and the proposed estimator is based on an iterative. Department of economics, columbia university 1019 international affairs building 420 w 118 st. The essays analyze a number of important issues in econometrics, all of which professor phillips has directly influenced through his seminal scholarly contribution as well as through his remarkable achievements as a teacher. Panel data models with interactive fixed effects adres. Panel data models and factor analysis chapter 12 advances in. Jushan bai and serena ng 2008, large dimensional factor analysis, foundations and trends in econometrics. Written by the leading specialists in their fields, these volumes provide a unique, accessible survey of progress on the discipline. Theoretical contributions and empirical applications. Econometrics time series models dynamic factor models. Other readers will always be interested in your opinion of the books youve read. Asset pricing with a general multifactor structure july 2014 tomohiro ando 1 and jushan bai 2 forthcoming.
Econometric theory and practice edited by dean corbae. First, it covers a full range of techniques with the estimation method called the generalized method of moments gmm as the organizing principle. Rank regularized estimation of approximate factor models, journal of econometrics, elsevier, vol. Treatment effects and panel data 257 michael lechner. Large dimensional factor analysis provides a survey of the main theoretical results for large dimensional factor models, emphasizing results that have implications for empirical work. The primary objective of the fourth edition of essentials of econometrics is to provide a userfriendly introduction to econometric theory and techniques. Created by the royal economic society in 1998 and supported by leading international researchers within the editorial team the econometrics journal actively encourages contributions from all areas of econometric research. Request pdf structural change, econometrics of this article is concerned with methodological issues related to estimation, testing and computation in the. Journal of applied econometrics wiley online library. Journal of financial econometrics 1the graduate school of business, keio university, 21545 mita, minatoku, tokyo. Panel data econometrics theoretical contributions and empirical applications. Testing panel cointegration with unobservable dynamic common factors that are correlated with the regressors, econometrics journal, royal economic society, vol. Pdf econometric analysis of large factor models semantic scholar. Unbalanced panel data are common in empirical research.
Econometric analysis of large dimensional factor models has been a. Basic econometrics by damodar n gujarati and a great selection of related books, art and collectibles available now at. Advances in economics and econometrics edited by daron. Designed to arm finance professionals with an understanding of why econometrics is necessary, this book also provides them with a working knowledge of basic econometric tools. This text provides a simple and straightforward introduction to econometrics for the beginner. High dimensionality brings challenge as well as new insight into the advancement of econometric theory. Consistency, rate of convergence, and asymptotic distributions are obtained. Large dimensional factor analysis foundations and trendsr in econometrics. Estimating and testing linear models with multiple structural changes. Advances in economics and econometrics edited by daron acemoglu may 20. Econometric theory and practice this book is a collection of essays written in honor of professor peter c.
We consider the problem of testing for a structural break in the spatial lag parameter in a panel model spatial autoregressive. This volume includes some of the papers presented at that conference and other solicited papers that made it through the refereeing process. Econometric theory provides an authoritative outlet for original contributions in all of the major areas of econometrics. Noncausal autoregressions with exogenous regressors. Large factor models use a few latent factors to characterize the. Econometrics has many useful features and covers all the important topics in econometrics in a succinct manner. Large dimensional factor analysis columbia university. Welcome to jushan bais homepage columbia university. This issue was popularised by david hendry, who argued that lack of stability of coefficients frequently caused forecast failure, and therefore we must routinely test for structural.
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