23 citations · 25 across the 3 of their papers we have counts for
3 papers
Joint Time Series and Cross-Section Limit Theory under Mixingale Assumptions
Jinyong Hahn, Guido Kuersteiner, Maurizio Mazzocco
In this paper we complement joint time series and cross-section convergence results of Hahn, Kuersteiner and Mazzocco (2016) by allowing for serial correlation in the time series s…
Central Limit Theory for Combined Cross-Section and Time Series with an Application to Aggregate Productivity Shocks
Jinyong Hahn, Guido Kuersteiner, Maurizio Mazzocco
Combining cross-section and time series data is a long and well established practice in empirical economics. We develop a central limit theory that explicitly accounts for possible…
Estimation with Aggregate Shocks
Jinyong Hahn, Guido Kuersteiner, Maurizio Mazzocco
Aggregate shocks affect most households' and firms' decisions. Using three stylized models we show that inference based on cross-sectional data alone generally fails to correctly a…