378 citations · 954 across the 33 of their papers we have counts for
4 papers · 1 filter
Feasible Generalized Least Squares for Panel Data with Cross-sectional and Serial Correlations
Jushan Bai, Sung Hoon Choi, Yuan Liao
This paper considers generalized least squares (GLS) estimation for linear panel data models. By estimating the large error covariance matrix consistently, the proposed feasible GL…
Standard Errors for Panel Data Models with Unknown Clusters
Jushan Bai, Sung Hoon Choi, Yuan Liao
This paper develops a new standard-error estimator for linear panel data models. The proposed estimator is robust to heteroskedasticity, serial correlation, and cross-sectional cor…
Desperate times call for desperate measures: government spending multipliers in hard times
Sokbae Lee, Yuan Liao, Myung Hwan Seo +1
We investigate state-dependent effects of fiscal multipliers and allow for endogenous sample splitting to determine whether the US economy is in a slack state. When the endogenized…
Learning Latent Factors from Diversified Projections and its Applications to Over-Estimated and Weak Factors
Jianqing Fan, Yuan Liao
Estimations and applications of factor models often rely on the crucial condition that the number of latent factors is consistently estimated, which in turn also requires that fact…