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

  • University of Southern California - Department of Economics

SCHOLARLY PAPERS

37

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225

Scholarly Papers (37)

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1.

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 3,137 (8,169)
Citation 4

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

2.

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 2,981 (8,857)
Citation 89

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

3.

Random Coefficient Panel Data Models

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 1,000 (46,974)
Citation 43

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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

Number of pages: 65 Posted: 28 Jan 2001
M. Hashem Pesaran, Michael Binder and Cheng Hsiao
University of Southern California - Department of Economics, University of Maryland - Department of Economics and University of Southern California - Department of Economics
Downloads 640 (85,099)
Citation 7

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Panel vector autoregressions, fixed effects, unit roots, cointegration

5.

The Relationship between Stock Returns and Volatility in International Stock Markets

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 605 (91,463)
Citation 6

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risk-return tradeoff, GARCH, semiparametric estimation

6.

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 432 (138,063)
Citation 7

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cross-section dependence, nonlinear panel data model

7.

The Emerging Market Crisis and Stock Market Linkages: Further Evidence

Downloads 337 (182,334)
Citation 4

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 337 (180,812)
Citation 4

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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

8.

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 268 (231,763)
Citation 8

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Counterfactual analysis; Panel data approach; Synthetic control

9.

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 258 (240,824)
Citation 3

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

10.

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 224 (277,764)
Citation 4

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

11.

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 211 (292,702)
Citation 10

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Consistent test, parametric functional form, nonparametric estimation

12.

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 201 (306,253)

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

13.

Forecasting Stock Returns Using Global Market Integration Indices

Number of pages: 57 Posted: 11 Apr 2022
Cindy S.H. Wang, Cheng Hsiao and Gary Wen
Catholic University of Louvain (UCL)Peking University, HSBC Business School, University of Southern California - Department of Economics and National Tsing Hua University
Downloads 181 (337,092)

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14.

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 173 (350,777)
Citation 3

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

15.

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

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 172 (352,597)
Citation 4

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16.

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 Sungkyunkwan University
Downloads 171 (354,377)
Citation 3

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17.

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 144 (409,239)

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

18.

Crises, What Crises?

Downloads 142 (413,842)

Crises, What Crises?

IZA Discussion Paper No. 2217
Number of pages: 41 Posted: 31 Jul 2006 Last Revised: 06 May 2023
Nauro F. Campos, Cheng Hsiao and Jeffrey B. Nugent
University College London, University of Southern California - Department of Economics and University of Southern California - Department of Economics
Downloads 122 (468,026)

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

Crises, What Crises?

CEPR Discussion Paper No. 5805
Number of pages: 42 Posted: 11 Oct 2006
Nauro F. Campos, Cheng Hsiao and Jeffrey B. Nugent
University College London, University of Southern California - Department of Economics and University of Southern California - Department of Economics
Downloads 20 (1,081,117)
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Economic reform, political crisis, labour market reform, economic crisis, trade liberalisation

19.

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
Catholic University of Louvain (UCL)Peking University, HSBC Business School, University of Southern California - Department of Economics and National Tsing Hua University
Downloads 141 (416,101)
Citation 3

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

20.

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 135 (430,553)
Citation 16

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

21.

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

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 135 (430,553)
Citation 1

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

22.

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 115 (487,250)

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

23.

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 115 (487,250)
Citation 3

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

24.

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 94 (561,185)
Citation 1

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

25.

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
Catholic University of Louvain (UCL)Peking University, HSBC Business School and University of Southern California - Department of Economics
Downloads 94 (561,185)

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

26.

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
Catholic University of Louvain (UCL)Peking University, HSBC Business School, Université catholique de Louvain and University of Southern California - Department of Economics
Downloads 92 (568,795)
Citation 3

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forecasting, long memory process, structural break, HAR model

27.

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 85 (596,974)

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

28.

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 75 (640,603)
Citation 1

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

29.

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 72 (654,912)
Citation 2

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Specification test, Spurious regression, varying coefficient, kernel estimation

30.

Return and Volatility Forecasting in Mixed Panels

Number of pages: 61 Posted: 28 Apr 2024
Cindy S.H. Wang, Cheng Hsiao, Yimeng Xie and Gary C.K. Wen
Catholic University of Louvain (UCL)Peking University, HSBC Business School, University of Southern California - Department of Economics, Xiamen University and University of California, Davis
Downloads 69 (669,402)

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Long memory process, mixed panel, return and volatility forecasts, cross-sectional dependence, panel autoregression approximation.

31.

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
Kannika Damrongplasit, Cheng Hsiao and Xueyan Zhao
Chulalongkorn University - Faculty of Economics, University of Southern California - Department of Economics and Monash University
Downloads 59 (722,881)

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

32.

Money and Income, Causality Detection

NBER Working Paper No. w0167
Number of pages: 43 Posted: 19 Jun 2004 Last Revised: 18 Dec 2022
Cheng Hsiao
University of Southern California - Department of Economics
Downloads 43 (828,869)

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33.

Efficient Estimation of a Dynamic Error-Shock Model

NBER Working Paper No. w0157
Number of pages: 26 Posted: 12 Apr 2004 Last Revised: 08 Dec 2022
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 41 (844,095)

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34.

Disentangle the Global Economic Impact of Epidemic and the Effectiveness of the Specific Disease Control

Number of pages: 35 Posted: 17 May 2022
Cheng Hsiao and xiao Ke
University of Southern California - Department of Economics and Hubei University of Economics
Downloads 35 (894,461)

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ARIMA, counterfactual, epidemic, Panel Data, predictions

35.

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

36.

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

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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37.

Shares Versus Residual Claimant Contracts: The Case of Chinese Tves

Posted: 25 Oct 1998
Cheng Hsiao, Jeffrey B. Nugent, Isabelle Perrigne and Jicheng Qiu
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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