Outputs (4)

Testing subspace Granger causality (2017)
Journal Article
Al-Sadoon, M. (2019). Testing subspace Granger causality. Econometrics and Statistics, 9, 42-61. https://doi.org/10.1016/j.ecosta.2017.08.003

The methodology of multivariate Granger non-causality testing at various horizons is extended to allow for inference on its directionality. Empirical manifestations of these subspaces are presented and useful interpretations for them are provided. Si... Read More about Testing subspace Granger causality.

Exponential class of dynamic binary choice panel data models with fixed effects (2017)
Journal Article
Al-Sadoon, M., Li, T., & Pesaran, M. (2017). Exponential class of dynamic binary choice panel data models with fixed effects. Econometric Reviews, 36(6-9), 898-927. https://doi.org/10.1080/07474938.2017.1307597

This paper proposes an exponential class of dynamic binary choice panel data models for the analysis of short T (time dimension) large N (cross section dimension) panel data sets that allow for unobserved heterogeneity (fixed effects) to be arbitrari... Read More about Exponential class of dynamic binary choice panel data models with fixed effects.

The Linear Systems Approach to Linear Rational Expectations Models (2017)
Journal Article
Al-Sadoon, M. (2018). The Linear Systems Approach to Linear Rational Expectations Models. Econometric Theory, 34(03), 628-658. https://doi.org/10.1017/s0266466617000160

This paper considers linear rational expectations models from the linear systems point of view. Using a generalization of the Wiener-Hopf factorization, the linear systems approach is able to furnish very simple conditions for existence and uniquenes... Read More about The Linear Systems Approach to Linear Rational Expectations Models.

A unifying theory of tests of rank (2017)
Journal Article
Al-Sadoon, M. (2017). A unifying theory of tests of rank. Journal of Econometrics, 199(1), 49-62. https://doi.org/10.1016/j.jeconom.2017.03.002

The general principles underlying tests of matrix rank are investigated. It is demonstrated that statistics for such tests can be seen as implicit functions of null space estimators. In turn, the asymptotic behaviour of the null space estimators is s... Read More about A unifying theory of tests of rank.