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econ.EM2020
Binary Response Models for Heterogeneous Panel Data with Interactive Fixed Effects
Jiti Gao, Fei Liu, Bin Peng +1
In this paper, we investigate binary response models for heterogeneous panel data with interactive fixed effects by allowing both the cross-sectional dimension and the temporal dim…
econ.EM2020
A Class of Time-Varying Vector Moving Average Models: Nonparametric Kernel Estimation and Application
Yayi Yan, Jiti Gao, Bin Peng
Multivariate dynamic time series models are widely encountered in practical studies, e.g., modelling policy transmission mechanism and measuring connectedness between economic agen…