Large-Dimensional Panel Data Econometrics: Testing, Estimation and Structural Changes - Hardcover

Qu Feng; Chihwa Kao

Hardcover

ISBN 10: 9811220778 ISBN 13: 9789811220777

Publisher: World Scientific Publishing Co, 2020

Synopsis

This book aims to fill the gap between panel data econometrics textbooks, and the latest development on ""big data"", especially large-dimensional panel data econometrics. It introduces important research questions in large panels, including testing for cross-sectional dependence, estimation of factor-augmented panel data models, structural breaks in panels and group patterns in panels. To tackle these high dimensional issues, some techniques used in Machine Learning approaches are also illustrated. Moreover, the Monte Carlo experiments, and empirical examples are also utilised to show how to implement these new inference methods. Large-Dimensional Panel Data Econometrics: Testing, Estimation and Structural Changes also introduces new research questions and results in recent literature in this field

About this title

About the Author

Qu Feng is Associate Professor and Head of Economics (since June 2020), School of Social Sciences at Nanyang Technological University (NTU), Singapore. Qu joined NTU since 2009 after he received his PhD at Syracuse University in 2009. His research fields include econometrics, Chinese economy and financial markets. His papers published in top economics journals, including Journal of Econometrics, Journal of Applied Econometrics, Econometrics Journal, etc. He was honoured at NTU Convocation Ceremony 2013 for inspirational teaching and mentorship. Chihwa Kao is Professor of Economics and Department Head at University of Connecticut, USA. He received his PhD from SUNY-Stony Brook in 1983. He has held a faculty position at Syracuse University from 1985 to 2016. Chihwa's research focuses primarily on the large dimensional econometrics, such as testing and estimation arising in the cross-sectional dependence, panel change points, large factor models, and asset pricing. His work has been published in top economics and statistics journals, including Econometrica, Journal of the American Statistical Association, Journal of Econometrics, Journal of Business and Economic Statistics, Review of Economics and Statistics, Journal of Business, Econometrics Journal, and Econometric Reviews

Edition details

• Publisher: World Scientific Publishing Co
• Publication date: 2020
• Language: English
• ISBN 10: 9811220778
• ISBN 13: 9789811220777
• Binding: Hardcover
• Number of pages: 200