Overview
Including contributions spanning a variety of theoretical and applied topics in econometrics, this volume of Advances in Econometrics is published in honour of Cheng Hsiao. In the first few chapters of this book, new theoretical panel and time series results are presented, exploring JIVE estimators, HAC, HAR and various sandwich estimators, as well as asymptotic distributions for using information criteria to distinguish between the unit root model and explosive models. Other chapters address topics such as structural breaks or growth empirics; auction models; and semiparametric methods testing for common vs. individual trends. Three chapters provide novel empirical approaches to applied problems, such as estimating the impact of survey mode on responses, or investigating how cross-sectional and spatial dependence of mortgages varies by default rates and geography. In the final chapters, Cheng Hsiao offers a forward-focused discussion of the role of big data in economics. For any researcher of econometrics, this is an unmissable volume of the most current and engaging research in the field.
Full Product Details
Author: Dek Terrell (Louisiana State University, USA) ,
Tong Li (Vanderbilt University, USA) ,
M. Hashem Pesaran (University of Southern California, USA)
Publisher: Emerald Publishing Limited
Imprint: Emerald Publishing Limited
Volume: 41
Weight: 0.774kg
ISBN: 9781789739589
ISBN 10: 1789739586
Pages: 472
Publication Date: 15 April 2020
Audience:
Professional and scholarly
,
College/higher education
,
Professional & Vocational
,
Postgraduate, Research & Scholarly
Format: Hardback
Publisher's Status: Active
Availability: In Print
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Author Information
Dek Terrell is the Freeport-McMoRan Professor of Economics at Louisiana State University, where his research has focused on the Louisiana Economy. He has traced the impact of hurricane Katrina, the BP Oil Spill, and worked on over a 100 Louisiana-related empirical economic projects. Tong Li is the Gertrude Conaway Vanderbilt Chair in Social and Natural Sciences and Professor Economics at Vanderbilt University. His research primarily focuses on microeconometrics, with a focus on identification and inference of econometric models with latent variables and game-theoretic models. M. Hashem Pesaran is the John Elliot Distinguished Chair in Economics and Professor of Economics at USC Dornsife, as well as the Director of the Center for Applied Financial Economics. Recently, his research has focused on the econometric analysis of heterogeneous dynamic panels with unobserved common effects, among others.
