Global ETD Search
Search theses and dissertations gathered from participating repositories worldwide. Every result links back to the library that holds it. No account is needed.
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Showing 1 to 16 of 16 for “"Cross-sectional Dependence"”.
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Three Essays on Testing for Cross-Sectional Dependence and Specification in Large Panel Data Models
… consists of three essays on testing for cross-sectional dependence and specification in large panel data models. The first two essays are based on the papers joint with Prof. Badi H. Baltagi and Prof. Chihwa Kao; the third essay is based on the working paper joint with Prof. Lee. The …
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Essays on Cross-Sectional and Network Dependence
Cross-sectional dependence is a common phenomenon in economic data. It has attracted increasing attention recently and puts forward new challenges. This dissertation consists of three chapters that deal with several important econometric problems that arise when crosssectional dependence is …
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Essays in international finance
… unit root tests are applied, one that assumes cross-sectional independence, one that accounts for cross-sectional dependence using a single factor approach, and one that controls for cross-sectional dependence through a multi-factor approach. The main difference in the results is attributed to …
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Conditional Asset Pricing Models via Machine Learnings for the Chinese Stock Market
… asset pricing: state-dependent factor loadings, cross-sectional dependence driven by latent common shocks, and nonlinear relationships between returns and conditioning information in high-dimensional environments.
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Three Essays in Financial Econometrics
Understanding how cross-sectional units interact with each other in a panel setting is an important question, given we are living in a more and more interconnected world. The effort to provide a solution to this question involves proposing statistical models that capture such features and obtain …
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Essays on Large Panel Data Analysis
… contain rich information on the dynamics of many cross-sectional units over long time periods. These data sets often consist of numerous series in different categories that reflect the multifaceted aspects of an economy. In other circumstances, data sets are constructed from a large number of …
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Essays on structural changes in high dimensional econometric models
… large T panel data model with or without strong cross- sectional dependence. The second essay considers estimating a high dimensional factor model with an unknown number of latent factors and a single common change in the number of factors and/or factor loadings. The third essay considers …
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Institutional quality in the finance-growth nexus in Sub-Saharan Africa
… that account for structural breaks and cross-sectional dependence to increase the power of the regressions and avoid possible model misspecification are employed. The results indicate that there are significant and positive long-run associations between growth, capital, financial …
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The determinants of government bond yields: A comparative analysis of African, emerging and developed countries
… with an adjustment for heteroskedasticity and cross-sectional dependence is used. The findings show that Gross Domestic Product (GDP) growth, government debt and the Federal Reserve fund rate have a significant impact on African government bond yields. In contrast, for other emerging and …
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Estimation and inference with nonstationary panel data
… and Shin (2003) and also Pesaran (2005) for cross-sectional dependence, with a panel of 20 OECD inflation rates.In chapter 2 we consider the established panel cointegration tests of Kao (1999), Pedroni (1999) and Larsson, Lyhagen and Lothgren (200 1) with a panel of 25 OECD exchange rates to …
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Economic effects of fuel subsidy in oil producing countries : the case of Nigeria
… general analysis, I apply the Pesaran, (2007) cross-sectionally augmented Im, Pesaran, and Shin Panel unit root test to check for cross sectional dependence, the four panel cointegration tests developed by Westerlund, (2007) to inspect long-run relationship and the Common Correlated Effects …
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Income Inequality, Human Capital and Economic Growth in China
… reflects the unbalanced inequality and growth across the provinces. By offering a comprehensive overview of the variables of interest, the study facilitates a better understanding of China’s complex and unique background of inequality and growth. The second study investigates the two-way …
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Essays on Testing Hypotheses When Non-stationarity Exists in Panel Data Models
… the high-dimensional framework where both n (cross-section dimension) and T (time series dimension) are large. In the first essay, I discuss the limiting distribution of the t-statistic; using different panel data estimators and propose using the t-statistic based on Feasible GLS estimator. In …
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Three empirical essays on foreign direct investment, research and development, and insurance
… can exploit FDI more efficiently. It<br/>uses cross-country observations from 84 countries for the 1976-2005 period. It applies a<br/>threshold regression which is flexible enough to accommodate the possibility that the<br/>impact of FDI on growth ‘kicks in’ only when the level of economic …
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Three essays in spatial econometrics
… which is commonplace in geographic (cross-sectional) data sets, and thus giving misleading inference, and thereby wrong policy implications are derived from these econometric models. In this dissertation I have dealt with such model specification issues which arises due to spatial …
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High-dimensional change point detection for mean and location parameters
… without involving intermediate estimation to cross-sectional dependence. In the first part, we consider cumulative sum (CUSUM) statistics that are widely used in the change point inference and identification. We study two problems for high-dimensional mean vectors based on the …