A new semiparametric spatial model for panel time series

By Xiaoheng Chen, Timothy G. Conley. 2001

90 citations recorded by the source corpus.

View Paper: https://www.semanticscholar.org/paper/70d75058ae03c38897acd49de206dcc4f3b0303a

How researchers see this paper

The researchers whose trusted networks rank it highest, strongest advocate first. Every researcher gets a different order.

In Economics and Econometrics

Citations in the corpus

Covariance Regression Analysis (2017, unknown): “…a prominent role in many fields, including but not limited to: finance and risk management (Markowitz 1952; Jagannathan and Ma 2003), econometrics (Chen and Conley 2001; Fan, Fan, and Lv 2008), biostatistics (Tong and Wang 2007; Friedman, Hastie, and Tibshirani 2008), and machine learning (Bilmes…”
A Generalized Method of Moments Estimator for a Spatial Panel Model with an Endogenous Spatial Lag and Spatial Moving Average Errors (2008, background): “…starting point in the spatial econometrics literature is Anselin (1988), and among some of the more recent contributions, such as Conley (1999), Chen & Conley (2001), Baltagi et al. (2003), Druska & Horrace (2003), Elhorst (2003), Baltagi (2005), Baltagi & Li (2006) and Pinkse et al. (2006),…”
A spatial model incorporating dynamic, endogenous network interdependence: A political science application (2010, unknown): “Chen and Conley [11] and Pinkse et al.”
QML estimation of dynamic panel data models with spatial errors (2015, background): “See, among others, Elhorst (2003), Baltagi et al. (2003), Baltagi and Li (2004), Chen and Conley (2001), Pesaran (2004), Kapoor et al. (2007), Baltagi et al. (2007), Lee and Yu (2010a), Mutl and Pfaffermayr (2011), Parent and LeSage (2011), and Baltagi et ∗We thank Badi H. Baltagi, Harry Kelejian,…”
Efficient Estimation of Models with Conditional Moment Restrictions Containing Unknown Functions (2003, methodology): “[7] Chen, X.”
Semi‐Nonparametric IV Estimation of Shape‐Invariant Engel Curves (2003, background): “(3.13) 7The notation [r] means the integer part of r, where r ≥ 1 denotes the smoothness of the engel curve function hl. 8See Chen and Conley (2001) for an application of this sieve to estimate a spatial panel time series model.”
Economic Distance and Cross-Country Spillovers (2001, background): “Finally, there is substantial documentation of correlation in economic outcomes across countries in the empirical growth literature, for example Elliott (1993), Chua (1993), Ades and Chua (1997), Quah (1993a), and Moreno and Trehan (1997).”
The Performance of Panel Unit Root and Stationarity Tests: Results from a Large Scale Simulation Study (2006, background): “For example, for macroeconomic panels it may be necessary to consider dependence structures that are invariant to the ordering of the panel (see, e.g., Gregoir, 2004) or that include some notion of (economic) distance (see, e.g., Chen and Conley, 2001).”
A WARP-SPEED METHOD FOR CONDUCTING MONTE CARLO EXPERIMENTS INVOLVING BOOTSTRAP ESTIMATORS (2013, unknown): “CI n;B;k(1 ) = f : q n;B;k ( =2) Rn(X k ; ) q n;B;k (1 =2)g; k = 1; :::;K: (2) The bootstrap quantile q n;B;k ( ) is obtained from Monte Carlo sample X n k by computing the estimator ̂n;k ̂n(X k ), drawing B bootstrap resamples X n k;1; :::; X n k;B, computing for”
Testing For A Unit Root In Panels With Dynamic Factors (2004, unknown): “In view of (9) and (10) , using (11) and (17) , we may define the following feasible t-statistics for H0: ta = √ nT ¡ ρ̂pool − 1 ¢ r 2φ̂ 4 e ω̂(4)e ,”
Spatial Panel Econometrics (2008, methodology): “…aspects of the standard treatment of heterogeneity and dependence in panel data models, as well as the case where cross-sectional dependence is modeled by relying on the time dimension (e.g., as in the classic SURE case with fixed N , and some more recent extensions, such as Chen and Conley, 2001).”
Chapter 76 Large Sample Sieve Estimation of Semi-Nonparametric Models (2007, methodology): “Chen and Conley (2001) applied this theorem to a varying coefficient VAR model with a flexible spatial conditional covariance.”