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Full-Text Articles in Social and Behavioral Sciences
Nonstationary Panels With Unobserved Heterogeneity, Wenxin Huang
Nonstationary Panels With Unobserved Heterogeneity, Wenxin Huang
Dissertations and Theses Collection (Open Access)
This dissertation develops several econometric techniques to address the unobserved heterogeneity in nonstationary panels, namely identifying latent group structures in cointegrated panels, studying nonstationary panels with both cross-sectional dependence and latent group structures, and estimating panel error-correction model with unobserved dynamic common factors.
Chapter 1 considers a panel cointegration model with latent group structures that allows for heterogeneous long-run relations across groups. We extend Su et al. (2013) classifier-Lasso (C-Lasso) method to the nonstationary panels and allow for the presence of endogeneity in both the stationary and nonstationary regressors in the model. In addition, we allow the dimension of the …
Dispersion And Uncertainty In Density Forecasts: Evidence From Surveys Of Professional Forecasters, You Li
Dispersion And Uncertainty In Density Forecasts: Evidence From Surveys Of Professional Forecasters, You Li
Dissertations and Theses Collection (Open Access)
This dissertation studies patterns of dispersion in density forecasts as reported in surveys of professional forecasters. We pay special attention to the role of uncertainty in explaining dispersion in professional forecasters’ density forecasts of real output growth and inflation. We also consider the relationship between survey design and forecaster behavior. The last chapter describes future research exploring the characteristics of forecaster expectations using probability integral transforms.
As a starting point, chapter one gives a summary of the literature that tries to answer, using data from survey of forecasters, the following three key questions: Why do forecasters disagree? What do density …
Three Essays On Panel Structure Models, Wuyi Wang
Three Essays On Panel Structure Models, Wuyi Wang
Dissertations and Theses Collection (Open Access)
In panel structure models, individuals can be classified into different groups with the slope parameters being homogeneous within the same group but heterogeneous across groups, both the number of groups and each individual’s group membership are unknown. This dissertation proposes some methods to identify the panel structure models under different specifications, namely, developing a Lasso-type Panel-CARDS method in the linear panel, constructing two sequential binary segmentation algorithms in the nonlinear panel, and using K-means algorithm in the spatial panel.
Chapter 2 studies the estimation of a linear panel data model with latent structures. To identify the unknown group structure of …