193 citations · 213 across the 3 of their papers we have counts for
5 papers
Analysis of interactive fixed effects dynamic linear panel regression with measurement error
Nayoung Lee, Hyungsik Roger Moon, Martin Weidner
This paper studies a simple dynamic linear panel regression model with interactive fixed effects in which the variable of interest is measured with error. To estimate the dynamic c…
Dynamic Linear Panel Regression Models with Interactive Fixed Effects
Hyungsik Roger Moon, Martin Weidner
We analyze linear panel regression models with interactive fixed effects and predetermined regressors, for example lagged-dependent variables. The first-order asymptotic theory of…
Bayesian Estimation of Panel Models under Potentially Sparse Heterogeneity
Hyungsik Roger Moon, Frank Schorfheide, Boyuan Zhang
We incorporate a version of a spike and slab prior, comprising a pointmass at zero ("spike") and a Normal distribution around zero ("slab") into a dynamic panel data framework to m…
Estimation of High-Dimensional Seemingly Unrelated Regression Models
Lidan Tan, Khai X. Chiong, Hyungsik Roger Moon
In this paper, we investigate seemingly unrelated regression (SUR) models that allow the number of equations (N) to be large, and to be comparable to the number of the observations…
Estimation of Graphical Models using the Norm
Khai X. Chiong, Hyungsik Roger Moon
Gaussian graphical models are recently used in economics to obtain networks of dependence among agents. A widely-used estimator is the Graphical Lasso (GLASSO), which amounts to a…