Cheng Hsiao

University of Southern California - Department of Economics

3620 South Vermont Ave. Kaprielian (KAP) Hall, 300

Los Angeles, CA 90089

United States

National Taiwan University

1 Sec. 4, Roosevelt Road

Taipei, 106

Taiwan

National Bureau of Economic Research (NBER)

1050 Massachusetts Avenue

Cambridge, MA 02138

United States

SCHOLARLY PAPERS

41

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Scholarly Papers (41)

1.

Panel Data Analysis - Advantages and Challenges

IEPR Working Paper No. 06.49
Number of pages: 33 Posted: 31 May 2006
Cheng Hsiao
University of Southern California - Department of Economics
Downloads 1,651 (9,952)
Citation 25

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Panel data; Longitudinal data; Unobserved heterogeneity; Random effects; Fixed effects

2.

Why Panel Data?

IEPR Working Paper No. 05.33
Number of pages: 19 Posted: 05 Oct 2005
Cheng Hsiao
University of Southern California - Department of Economics
Downloads 1,409 (12,883)
Citation 1

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Panel data, Longitudinal data, Unobserved heterogeneity, Random effects, Fixed effects

3.

Random Coefficient Panel Data Models

CESifo Working Paper Series No. 1233; IZA Discussion Paper No. 1236; IEPR Working Paper No. 04.2
Number of pages: 40 Posted: 06 Aug 2004
Cheng Hsiao and M. Hashem Pesaran
University of Southern California - Department of Economics and University of Southern California - Department of Economics
Downloads 774 (31,129)
Citation 1

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Random coefficient models, dynamic heterogeneous panels, classical and Bayesian approaches, tests of slope heterogeneity, cross section dependence

4.

Estimation and Inference in Short Panel Vector Autoregressions with Unit Roots and Cointegration

CESifo Working Paper Series No. 374
Number of pages: 65 Posted: 28 Jan 2001
University of Southern California - Department of Economics, University of Maryland - Department of Economics and University of Southern California - Department of Economics
Downloads 571 (46,847)
Citation 4

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Panel vector autoregressions, fixed effects, unit roots, cointegration

5.

The Relationship between Stock Returns and Volatility in International Stock Markets

Journal of Empirical Finance, Forthcoming
Number of pages: 27 Posted: 26 Apr 2005
Qi Li, Jian Yang, Cheng Hsiao and Young-Jae Chang
Texas A&M University - Department of Economics, University of Colorado at Denver - Business School, University of Southern California - Department of Economics and Inje University - Department of Business Administration
Downloads 498 (55,663)
Citation 3

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risk-return tradeoff, GARCH, semiparametric estimation

The Emerging Market Crisis and Stock Market Linkages: Further Evidence

IEPR Working Paper No. 05.27
Number of pages: 35 Posted: 18 Aug 2005
Cheng Hsiao, Zijun Wang and Jian Yang
University of Southern California - Department of Economics, Texas A&M University and University of Colorado at Denver - Business School
Downloads 305 (98,485)
Citation 2

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Market linkages, emerging stock markets, generalized impulse response analysis, generalized forecast error variance decomposition, rolling VAR analysis

The Emerging Market Crisis and Stock Market Linkages: Further Evidence

Journal of Applied Econometrics, Forthcoming
Posted: 29 Aug 2005
Jian Yang, Zijun Wang, Cheng Hsiao and Qi Li
University of Colorado at Denver - Business School, Texas A&M University, University of Southern California - Department of Economics and Texas A&M University - Department of Economics

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market linkages, emerging stock markets, generalized impulse response analysis, generalized forecast error variance decomposition, rolling VAR analysis

7.

Diagnostic Tests of Cross Section Independence for Nonlinear Panel Data Models

IZA Discussion Paper No. 2756, CESifo Working Paper Series No. 1984, IEPR Working Paper No. 07.17
Number of pages: 25 Posted: 26 Apr 2007
Cheng Hsiao, M. Hashem Pesaran and Andreas Pick
University of Southern California - Department of Economics, University of Southern California - Department of Economics and Erasmus University Rotterdam (EUR) - Department of Econometrics
Downloads 296 (102,362)
Citation 7

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cross-section dependence, nonlinear panel data model

8.

Panel Models with Interactive Effects

USC-INET Research Paper No. 17-12
Number of pages: 66 Posted: 31 Mar 2017
Cheng Hsiao
University of Southern California - Department of Economics
Downloads 157 (188,208)

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Interactive Effects; Static and Dynamic Models; Initial Observations; Asymptotic Bias

9.

IV, GMM or Likelihood Approach to Estimate Dynamic Panel Models When Either N or T or Both Are Large

USC-INET Research Paper No. 15-06
Number of pages: 31 Posted: 31 Jan 2015
Cheng Hsiao and Junwei Zhang
University of Southern California - Department of Economics and University of Southern California
Downloads 155 (190,264)
Citation 4

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IV, MLE, GMM, asymptotic bias, large N, T

10.

Panel Macroeconometric Modeling

USC-INET Research Paper No. 14-02
Number of pages: 39 Posted: 12 Nov 2014
Cheng Hsiao
University of Southern California - Department of Economics
Downloads 148 (197,661)

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Panel macro-modeling, Unit root, Cointegration, Aggregation, Prediction

11.

Panel Data Approach vs. Synthetic Control Method

USC-INET Research Paper No. 17-33
Number of pages: 41 Posted: 28 Nov 2017
Shui Ki Wan, Yimeng Xie and Cheng Hsiao
Hong Kong Baptist University (HKBU), University of Southern California and University of Southern California - Department of Economics
Downloads 135 (213,016)
Citation 1

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Counterfactual analysis; Panel data approach; Synthetic control

Lag-Augmented Two- and Three-Stage Least Squares Estimators for Integrated Structural Dynamic Models

IEPR Working Paper No. 06.55
Number of pages: 44 Posted: 02 Jan 2007
Cheng Hsiao and Siyan Wang
University of Southern California - Department of Economics and University of Delaware - Economics
Downloads 108 (252,845)

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Structural vector autoregressions, Nonstationary time series, Cointegration, Hypothesis testing, Two and Three Stage Least Squares

Lag-Augmented Two- and Three-Stage Least Squares Estimators for Integrated Structural Dynamic Models

Econometrics Journal, Vol. 10, No. 1, pp. 49-81, March 2007
Number of pages: 33 Posted: 08 Mar 2007
Cheng Hsiao and Siyan Wang
University of Southern California - Department of Economics and University of Delaware - Economics
Downloads 25 (508,512)
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13.

Aggregate vs Disaggregate Data Analysis - a Paradox in the Estimation of a Money Demand Function of Japan Under the Low Interest Rate Policy

IEPR Working Paper No. 04.1
Number of pages: 41 Posted: 18 Jan 2005
Cheng Hsiao, Yan Shen and Hiroshi Fujiki
University of Southern California - Department of Economics, University of Southern California - Department of Economics and Chuo University - Faculty of Commerce
Downloads 129 (220,729)
Citation 3

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14.

Evaluating the Effectiveness of China's Financial Reform — The Efficiency of China's Domestic Banks

USC-INET Research Paper No. 15-15
Number of pages: 40 Posted: 29 May 2015
Cheng Hsiao, Yan Shen and Wenlong Bian
University of Southern California - Department of Economics, Peking University - China Center for Economic Research (CCER) and Sunkyunkwan University
Downloads 128 (222,088)
Citation 1

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15.

Statistical Inference for Panel Dynamic Simultaneous Equations Models

USC-INET Research Paper No. 15-07
Number of pages: 36 Posted: 07 Feb 2015
Cheng Hsiao and Qiankun Zhou
University of Southern California - Department of Economics and University of Southern California
Downloads 119 (234,597)
Citation 1

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Panel dynamic simultaneous equations, Maximum likelihood, Instrumental variable, Generalized method of moments, Multi-dimensional asymptotics

16.

Modified Two Stage Least Squares Estimators for the Estimation of a Structural Vector Autoregressive Integrated Process

IEPR Working Paper No. 05.23
Number of pages: 37 Posted: 11 Jun 2005
Cheng Hsiao and Siyan Wang
University of Southern California - Department of Economics and University of Delaware - Economics
Downloads 106 (254,782)
Citation 1

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Structural vector autoregression, Unit root, Cointegration, Asymptotic properties, Hypothesis testing

17.

A Consistent Model Specification Test with Mixed Discrete and Continuous Data

IEPR Working Paper No. 06.47
Number of pages: 33 Posted: 02 May 2006
Cheng Hsiao, Jeffrey Racine and Qi Li
University of Southern California - Department of Economics, Syracuse University and Texas A&M University - Department of Economics
Downloads 102 (261,677)
Citation 7

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Consistent test, parametric functional form, nonparametric estimation

18.
Downloads 90 (283,889)

Crises, What Crises?

IZA Discussion Paper No. 2217
Number of pages: 41 Posted: 31 Jul 2006
Brunel University London - Economics and Finance, University of Southern California - Department of Economics and University of Southern California - Department of Economics
Downloads 72 (327,889)

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economic reform, economic crisis, political crisis, trade liberalisation, labour

Crises, What Crises?

CEPR Discussion Paper No. 5805
Number of pages: 42 Posted: 11 Oct 2006
Brunel University London - Economics and Finance, University of Southern California - Department of Economics and University of Southern California - Department of Economics
Downloads 18 (553,281)
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Economic reform, political crisis, labour market reform, economic crisis, trade liberalisation

19.

Disentangling the Effects of Multiple Treatments — Measuring the Net Economic Impact of the 1995 Great Hanshin-Awaji Earthquake

USC-INET Research Paper No. 14-04
Number of pages: 31 Posted: 12 Nov 2014
Hiroshi Fujiki and Cheng Hsiao
Chuo University - Faculty of Commerce and University of Southern California - Department of Economics
Downloads 77 (312,157)
Citation 2

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Multiple Treatment Effects, Panel Data, Great Hanshin-Awaji Earthquake, Natural Disaster, Measurement without Theory.

20.

The Real Time Monitoring Test for Realized Volatility

CAFE Research Paper No. 13.02
Number of pages: 29 Posted: 20 Aug 2013 Last Revised: 26 Aug 2013
Cindy S.H. Wang and Cheng Hsiao
National Tsing Hua University - College of Technology Management and University of Southern California - Department of Economics
Downloads 60 (356,789)

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CUSUM of squares tests, long memory, structural change, real time monitoring

21.

Estimation of Structural Nonlinear Errors-in-Varibles Models by Simulated Least-Squares Method

International Economic Review, Vol. 41, No. 2, May 2000
Number of pages: 20 Posted: 28 Mar 2001 Last Revised: 10 Feb 2009
Cheng Hsiao and Kevin Q. Wang
University of Southern California - Department of Economics and University of Toronto - Joseph L. Rotman School of Management
Downloads 59 (359,744)

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22.

Recursive Estimation in Large Panel Data Models: Theory and Practice

Number of pages: 41 Posted: 13 Feb 2017
Bin Jiang, Yanrong Yang, Jiti Gao and Cheng Hsiao
Monash University, Monash University - Department of Econometrics & Business Statistics, Monash University - Department of Econometrics & Business Statistics and University of Southern California - Department of Economics
Downloads 52 (381,798)
Citation 3

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Cross-sectional dependence, factor model, large panel data model, recursive estimation

23.

Forecasting a Long Memory Process Subject to Structural Breaks

CAFE Research Paper No. 13.01
Number of pages: 37 Posted: 20 Aug 2013 Last Revised: 26 Aug 2013
Cindy S.H. Wang, Luc Bauwens and Cheng Hsiao
National Tsing Hua University - College of Technology Management, Université catholique de Louvain and University of Southern California - Department of Economics
Downloads 47 (398,735)
Citation 1

Abstract:

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forecasting, long memory process, structural break, HAR model

24.

Model Specification Test with Correlated But Not Cointegrated Variables

CAFE Research Paper No. 13.09
Number of pages: 19 Posted: 27 Aug 2013
Li Gan, Cheng Hsiao and Shu Xu
Texas A&M University - Department of Economics, University of Southern California - Department of Economics and Southwestern University of Finance and Economics (SWUFE)
Downloads 40 (424,591)

Abstract:

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Specification test, Spurious regression, varying coefficient, kernel estimation

25.

Incidental Parameters, Initial Conditions and Sample Size in Statistical Inference for Dynamic Panel Data Models

USC-INET Research Paper No. 18-07
Number of pages: 53 Posted: 16 Apr 2018
Cheng Hsiao and Qiankun Zhou
University of Southern California - Department of Economics and Louisiana State University, Baton Rouge - Department of Economics
Downloads 38 (432,784)

Abstract:

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Dynamic Panel Models, Individual Effects, Initial Values, Projection Method, Conditional or Unconditional Likelihood Approach

26.

Jive for Panel Dynamic Simultaneous Equations Models

USC-INET Research Paper No. 17-24
Number of pages: 45 Posted: 15 Aug 2017
Cheng Hsiao and Qiankun Zhou
University of Southern California - Department of Economics and University of Southern California
Downloads 37 (436,829)

Abstract:

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Panel dynamic simultaneous equations model, GMM, First difference, Forward orthogonal demeaning, Jackknife instrumental variables estimation (JIVE).

27.

Panel Parametric, Semi-Parametric and Nonparametric Construction of Counterfactuals

USC-INET Research Paper No. 19-04
Number of pages: 34 Posted: 13 Mar 2019
Cheng Hsiao and Qiankun Zhou
University of Southern California - Department of Economics and Louisiana State University, Baton Rouge - Department of Economics
Downloads 34 (449,352)

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Treatment Effects, Synthetic Control Method, Panel Data Analysis, Interactive Effects, Tobacco Control, Election Day Registration

28.

Money and Income, Causality Detection

NBER Working Paper No. w0167
Number of pages: 43 Posted: 19 Jun 2004
Cheng Hsiao
University of Southern California - Department of Economics
Downloads 28 (477,532)

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29.

Two-Stage Estimation of Limited Dependent Variable Models with Errors-in-Variables

Econometrics Journal, Vol. 10, No. 2, pp. 426-438, July 2007
Number of pages: 13 Posted: 27 Jun 2007
Liqun Wang and Cheng Hsiao
University of Manitoba and University of Southern California - Department of Economics
Downloads 24 (499,207)
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30.

High Interest Rates and Exchange Rate Stabilization in Korea, Malaysia, and Thailand: An Empirical Investigation of the Traditional and Revisionist Views

Review of International Economics, Vol. 10, pp. 64-78, 2002
Number of pages: 15 Posted: 31 Dec 2002
Robert Dekle, Cheng Hsiao and Siyan Wang
University of Southern California - Department of Economics, University of Southern California - Department of Economics and University of Delaware - Economics
Downloads 22 (510,637)
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31.

Estimation of Fixed Effects Dynamic Panel Data Models - Linear Differencing or Conditional Expectation

USC-INET Research Paper No. 18-24
Number of pages: 20 Posted: 04 Dec 2018
Cheng Hsiao
University of Southern California - Department of Economics
Downloads 20 (522,267)
Citation 1

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Fixed Effects Dynamic Panel Models; Incidental Parameter; Conditional Mean Approach; Linear Difference Approach; Initial Value Distribution

32.

Efficient Estimation of a Dynamic Error-Shock Model

NBER Working Paper No. w0157
Number of pages: 26 Posted: 12 Apr 2004
Cheng Hsiao and Peter M. Robinson
University of Southern California - Department of Economics and London School of Economics & Political Science (LSE) - Department of Economics
Downloads 18 (534,033)

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Health Status and Labour Market Outcome: Empirical Evidence from Australia

USC-INET Research Paper No. 18-03
Number of pages: 39 Posted: 09 Feb 2018
Chulalongkorn University - Faculty of Economics, University of Southern California - Department of Economics and Monash University
Downloads 16 (566,386)

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Health Status, Labour Force Participation, State Dependence, Dynamic Fixed-Effect Binary Logit Model

Health Status and Labour Market Outcome: Empirical Evidence from Australia

Pacific Economic Review, Vol. 24, Issue 2, pp. 269-292, 2019
Number of pages: 24 Posted: 22 May 2019
Chulalongkorn University - Faculty of Economics, University of Southern California - Department of Economics and Monash University
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34.

Managerial Autonomy, Contractual Incentives and Productivity in a Transition Economy: Some Evidence from China's Town and Village Enterprises

Pacific Economic Review, Vol. 11, No. 3, pp. 341-361, October 2006
Number of pages: 21 Posted: 21 Sep 2006
University of Southern California - Department of Economics, University of Southern California - Department of Economics, University of Southern California - Department of Economics and Petroperdana Inc.
Downloads 16 (545,791)
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35.

Market Integration, Systemic Risk and Diagnostic Tests in Large Mixed Panels

Number of pages: 50 Posted: 07 Jan 2019
Cindy S.H. Wang, Cheng Hsiao and Hao-Hsiang Yang
National Tsing Hua University - College of Technology Management, University of Southern California - Department of Economics and National Tsing Hua University
Downloads 15 (557,726)

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autoregressive (AR) approximation, cross sectional dependence, diagnostic tests, CD and Schott tests, market integration and systemic risk

36.

Economic Benefits of Globalization: The Impact of Entry to the WTO on China'S Growth

Pacific Economic Review, Vol. 16, Issue 3, pp. 285-301, 2011
Number of pages: 17 Posted: 06 Aug 2011
affiliation not provided to SSRN, University of Southern California - Department of Economics, Hong Kong Baptist University (HKBU) and Chinese Academy of Social Sciences (CASS)
Downloads 3 (630,313)
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37.

Diagnostic Tests of Cross‐Section Independence for Limited Dependent Variable Panel Data Models*

Oxford Bulletin of Economics and Statistics, Vol. 74, Issue 2, pp. 253-277, 2012
Number of pages: 25 Posted: 10 Feb 2012
Cheng Hsiao, M. Hashem Pesaran and Andreas Pick
University of Southern California - Department of Economics, University of Southern California - Department of Economics and Erasmus University Rotterdam (EUR) - Department of Econometrics
Downloads 2 (640,107)
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38.

The Macroeconomic Effects of the Canada–Us Free Trade Agreement on Canada: A Counterfactual Analysis

The World Economy, Vol. 38, Issue 5, pp. 878-892, 2015
Number of pages: 15 Posted: 14 May 2015
Lin Zhang, Zaichao Du, Cheng Hsiao and Hua Yi Yin
Southwestern University of Finance and Economics (SWUFE), Southwestern University of Finance and Economics (SWUFE) - Research Institute of Economics & Management, University of Southern California - Department of Economics and Southwestern University of Finance and Economics (SWUFE)
Downloads 0 (670,106)
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39.

Decriminalization Policy and Marijuana Smoking Prevalence: A Look at the Literature

The Singapore Economic Review (SER), 2010
Posted: 04 Jun 2010 Last Revised: 07 Jun 2010
Kannika Damrongplasit and Cheng Hsiao
Chulalongkorn University - Faculty of Economics and University of Southern California - Department of Economics

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Decriminalization, Marijuana Smoking Prevalence

40.

Combining Opinion Surveys with Time-Series Data to Forecast the Japanese Economy

Japanese Economic Review, Vol. 51, Issue 2, pp. 155-169, June 2000
Posted: 07 Nov 2000
Cheng Hsiao and Zhongyun Zhao
University of Southern California - Department of Economics and Merck-Medco Managed Care, L.L.C.

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41.

Shares Versus Residual Claimant Contracts: The Case of Chinese Tves

Journal of Comparative Economics, June 1998, Vol 26, No 2
Posted: 25 Oct 1998
University of Southern California - Department of Economics, University of Southern California - Department of Economics, University of Southern California and China International Capital Corporation

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