7 papers
Identification, Estimation and Inference Based on Constructed Instruments
Chaohua Dong, Jiti Gao, Oliver Linton +1
We propose a structural projection (SP) method for identifying and estimating structural parameters in regression models associated with endogenous regressors. The method projects…
Inference for High-Dimensional Local Projection
Jiti Gao, Fei Liu, Bin Peng
This paper rigorously analyzes the properties of the local projection (LP) methodology within a high-dimensional (HD) framework, with a central focus on achieving robust long-horiz…
Panel Data Estimation and Inference: Homogeneity versus Heterogeneity
Jiti Gao, Fei Liu, Bin Peng +1
In this paper, we define an underlying data generating process that allows for different magnitudes of cross-sectional dependence, along with time series autocorrelation. This is a…
Robust Estimation and Inference for High-Dimensional Panel Data Models
Jiti Gao, Fei Liu, Bin Peng +1
This paper provides the relevant literature with a complete toolkit for conducting robust estimation and inference about the parameters of interest involved in a high-dimensional p…
Estimation and Inference for Three-Dimensional Panel Data Models
Guohua Feng, Jiti Gao, Fei Liu +1
Hierarchical panel data models have recently garnered significant attention. This study contributes to the relevant literature by introducing a novel three-dimensional (3D) hierarc…
Estimation and Inference for a Class of Generalized Hierarchical Models
Chaohua Dong, Jiti Gao, Bin Peng +1
In this paper, we consider estimation and inference for the unknown parameters and function involved in a class of generalized hierarchical models. Such models are of great interes…
Smoothing the Nonsmoothness
Chaohua Dong, Jiti Gao, Bin Peng +1
To tackle difficulties for theoretical studies in situations involving nonsmooth functions, we propose a sequence of infinitely differentiable functions to approximate the nonsmoot…