:::
Home
Sitemap
SSL-VPN
Chinese
Webmail
Mobile
Search:
About IEAS
About IEAS
Organization
Advisory Committee
Research Fields
Research Groups and Projects
List of Directors
Introduction
News
NewsLetter
News
Research Highlights
Album
Research
Seminars
Conferences
Lectures
Recent Publications
Chung-Hua Series of Lectures
Working Papers
Books
Policy Research
Public Policy Analysis
Public Policy Workshop
People
Research Fellows
Joint Research Fellows
Adjunct Research Fellows
Corresponding Research Fellows
Postdoctoral Fellows
Visiting Scholars
Long-Term Visiting Scholars
Economic Forecast
Taiwan Economic Forecast
Historical Forecast Data
Journals
Academia Economic Papers
Introduction
Editorial Committee
Instructions to Contributors
Instructions to Contributors
Preparation of Manuscripts for AEP
Publication Ethics and Malpractice Statement
Research Papers Review System for AEP
Online Submission/Review
Call for Papers for Special Issue
Volumes and Issues
Articles in Press
Subscription Information
Contact Us
Taiwan Economic Forecast and Policy
About TEFP
Editorial Committee
Instructions for Authors
Instructions for Authors
Preparation of Manuscripts for TEFP
Publication Ethics and Malpractice Statement
Research Papers Review System for TEFP
Volumes and Issues
Call for Paper
Submit/ Review Online
Contact Us
Library
Inside Area
:::
News
Show all
Hide all
NewsLetter
News
Research Highlights
Album
:::
Location
Home
News
Research Highlights
Focused Information Criterion and Model Averaging for Large Panels with a Multifactor Error Structure (with Shou-Yung Yin and Chang-Ching Lin, published in JOURNAL OF BUSINESS & ECONOMIC STATISTICS)
Previous Page
|
Print
|
Mail to Friend
Font size:
If click icon doesn't change the font size, You can also hold down
and type "+" or "-" to change the font size
Small
Medium
Large
| Share to:
Share to Twitter
Share to Plurk
Share to Facebook
Share to Google Plus
Research Highlights
Focused Information Criterion and Model Averaging for Large Panels with a Multifactor Error Structure (with Shou-Yung Yin and Chang-Ching Lin, published in JOURNAL OF BUSINESS & ECONOMIC STATISTICS)
2020-12-28
Author
Shou-Yung Yin
Chu-An Liu
Chang-Ching Lin
Abstract
This article considers model selection and model averaging in panel data models with a multifactor error structure. We investigate the limiting distribution of the common correlated effects estimator in a local asymptotic framework and show that the trade-off between bias and variance remains in asymptotic theory. We then propose a focused information criterion and a plug-in averaging estimator for large heterogeneous panels and examine their theoretical properties. The novel feature of the proposed method is that it aims to minimize the sample analog of the asymptotic mean squared error and can be applied to cases irrespective of whether the rank condition holds or not. Monte Carlo simulations show that both proposed selection and averaging methods generally achieve lower mean squared error than other methods. The proposed methods are applied to examine possible causes that lead to the increasing wage inequality between high-skilled and low-skilled workers in the U.S. manufacturing industries.
Link
https://www.tandfonline.com/doi/full/10.1080/07350015.2019.1623044(Open New Window)
TOP