| Publication | Date of Publication | Type |
|---|
Estimation and inference in high-dimensional panel data models with interactive fixed effects
Quantitative Economics | 2026-03-03 | Paper |
Robust estimation of integrated and spot volatility
Journal of Econometrics | 2026-02-24 | Paper |
Estimation of common factors for microstructure noise and efficient price in a high-frequency dual factor model
Journal of Econometrics | 2026-02-24 | Paper |
Nonparametric predictive regression for stock return prediction
Econometric Reviews | 2026-02-10 | Paper |
Is there chaos in the world economy? A nonparametric test using consistent standard errors
International Economic Review | 2026-02-04 | Paper |
GMM estimation for high-dimensional panel data models
Journal of Econometrics | 2025-01-16 | Paper |
A non-parametric panel model for climate data with seasonal and spatial variation
Journal of the Royal Statistical Society. Series A. Statistics in Society | 2024-12-20 | Paper |
| Time series for economics and finance (to appear) | 2024-11-13 | Paper |
Dynamic Peer Groups of Arbitrage Characteristics
Journal of Business and Economic Statistics | 2024-10-28 | Paper |
Dynamic Autoregressive Liquidity (DArLiQ)
Journal of Business and Economic Statistics | 2024-10-28 | Paper |
A Unified Framework for Specification Tests of Continuous Treatment Effect Models
Journal of Business and Economic Statistics | 2024-10-17 | Paper |
Chaohua Dong, Jiti Gao and Oliver Linton's contribution to the discussion of `Assumption-lean inference for generalised linear model parameters' by Vansteelandt and Dukes
Journal of the Royal Statistical Society. Series B. Statistical Methodology | 2024-09-10 | Paper |
Nonparametric estimation of mediation effects with a general treatment
Econometric Reviews | 2024-08-12 | Paper |
Yongmiao Hong, Oliver Linton, Jiajing Sun, and Meiting Zhu's contribution to the discussion of `the Discussion Meeting on Probabilistic and statistical aspects of machine learning'
Journal of the Royal Statistical Society. Series B. Statistical Methodology | 2024-07-09 | Paper |
Kolmogorov-Smirnov type testing for structural breaks: a new adjusted-range based self-normalization approach
Journal of Econometrics | 2024-02-13 | Paper |
Testing stochastic dominance with many conditioning variables
Journal of Econometrics | 2023-06-29 | Paper |
Testing for time stochastic dominance
Journal of Econometrics | 2023-06-29 | Paper |
News-implied linkages and local dependency in the equity market
Journal of Econometrics | 2023-06-29 | Paper |
Comment on “Factor Models for High-Dimensional Tensor Time Series” by Rong Chen, Dan Yang, and Cun-Hui Zhang
Journal of the American Statistical Association | 2023-03-09 | Paper |
High dimensional semiparametric moment restriction models
Journal of Econometrics | 2023-02-01 | Paper |
ESTIMATION OF THE KRONECKER COVARIANCE MODEL BY QUADRATIC FORM
Econometric Theory | 2022-11-23 | Paper |
Adjusted-range self-normalized confidence interval construction for censored dependent data
Economics Letters | 2022-11-16 | Paper |
Testing for the stochastic dominance efficiency of a given portfolio
Econometrics Journal | 2022-07-26 | Paper |
A ReMeDI for microstructure noise
Econometrica | 2022-07-11 | Paper |
Testing Conditional Independence Restrictions
Econometric Reviews | 2022-05-31 | Paper |
A score statistic for testing the presence of a stochastic trend in conditional variances
Economics Letters | 2022-04-20 | Paper |
Estimation and inference for the counterfactual distribution and quantile functions in continuous treatment models
Journal of Econometrics | 2022-03-16 | Paper |
Standard errors for nonparametric regression
Econometric Reviews | 2022-03-04 | Paper |
The lower regression function and testing expectation dependence dominance hypotheses
Econometric Reviews | 2022-03-04 | Paper |
| A Large Confirmatory Dynamic Factor Model for Stock Market Returns in Different Time Zones | 2022-02-07 | Paper |
NONPARAMETRIC EULER EQUATION IDENTIFICATION AND ESTIMATION
Econometric Theory | 2021-11-25 | Paper |
A unified framework for efficient estimation of general treatment models
Quantitative Economics | 2021-11-11 | Paper |
A weighted sieve estimator for nonparametric time series models with nonstationary variables
Journal of Econometrics | 2021-05-04 | Paper |
A Simple and Efficient Estimation Method for Models with Nonignorable Missing Data
STATISTICA SINICA | 2021-04-27 | Paper |
Estimation and inference in semiparametric quantile factor models
Journal of Econometrics | 2021-03-24 | Paper |
When will the Covid-19 pandemic peak?
Journal of Econometrics | 2021-02-04 | Paper |
Nonparametric estimation of infinite order regression and its application to the risk-return tradeoff
Journal of Econometrics | 2021-02-04 | Paper |
Estimation of a nonparametric model for bond prices from cross-section and time series information
Journal of Econometrics | 2021-02-04 | Paper |
Estimation of a nonparametric model for bond prices from cross-section and time series information
Journal of Econometrics | 2021-02-01 | Paper |
Estimation of a multiplicative correlation structure in the large dimensional case
Journal of Econometrics | 2020-06-18 | Paper |
A coupled component DCS-EGARCH model for intraday and overnight volatility
Journal of Econometrics | 2020-06-18 | Paper |
Quantilograms under strong dependence
Econometric Theory | 2020-05-27 | Paper |
Inference on a semiparametric model with global power law and local nonparametric trends
Econometric Theory | 2020-03-25 | Paper |
Multiscale clustering of nonparametric regression curves
Journal of Econometrics | 2020-03-20 | Paper |
Efficient estimation of nonparametric regression in the presence of dynamic heteroskedasticity
Journal of Econometrics | 2019-12-19 | Paper |
A new semiparametric estimation approach for large dynamic covariance matrices with multiple conditioning variables
Journal of Econometrics | 2019-09-02 | Paper |
| Financial econometrics. Models and methods | 2019-07-24 | Paper |
Estimation of the Kronecker Covariance Model by Quadratic Form
(available as arXiv preprint) | 2019-06-20 | Paper |
Classification of non-parametric regression functions in longitudinal data models
Journal of the Royal Statistical Society Series B: Statistical Methodology | 2019-06-12 | Paper |
Semiparametric estimation of the bid-ask spread in extended roll models
Journal of Econometrics | 2019-04-26 | Paper |
Local linear fitting under near epoch dependence
Econometric Theory | 2018-12-21 | Paper |
Semiparametric Ultra-High Dimensional Model Averaging of Nonlinear Dynamic Time Series
Journal of the American Statistical Association | 2018-11-02 | Paper |
| Supplementary Material for "Estimation of a Multiplicative Correlation Structure in the Large Dimensional Case" | 2018-10-15 | Paper |
Additive nonparametric models with time variable and both stationary and nonstationary regressors
Journal of Econometrics | 2018-10-12 | Paper |
An almost closed form estimator for the EGARCH model
Econometric Theory | 2017-09-15 | Paper |
Semiparametric identification of the bid-ask spread in extended Roll models
Journal of Econometrics | 2017-08-24 | Paper |
Estimation of semiparametric locally stationary diffusion models
Journal of Econometrics | 2017-05-12 | Paper |
| Probability, statistics and econometrics | 2016-11-17 | Paper |
Semiparametric dynamic portfolio choice with multiple conditioning variables
Journal of Econometrics | 2016-09-06 | Paper |
Semiparametric estimation of Markov decision processes with continuous state space
Journal of Econometrics | 2016-08-15 | Paper |
A semiparametric panel model for unbalanced data with application to climate change in the United Kingdom
Journal of Econometrics | 2016-08-12 | Paper |
Estimating features of a distribution from binomial data
Journal of Econometrics | 2016-08-12 | Paper |
Efficient estimation of a multivariate multiplicative volatility model
Journal of Econometrics | 2016-08-04 | Paper |
Identification and nonparametric estimation of a transformed additively separable model
Journal of Econometrics | 2016-08-01 | Paper |
A nonparametric test of a strong leverage hypothesis
Journal of Econometrics | 2016-07-27 | Paper |
An improved bootstrap test of stochastic dominance
Journal of Econometrics | 2016-07-25 | Paper |
Consistent estimation of a general nonparametric regression function in time series
Journal of Econometrics | 2016-07-18 | Paper |
Estimating quadratic variation consistently in the presence of endogenous and diurnal measurement error
Journal of Econometrics | 2016-06-22 | Paper |
The common and specific components of dynamic volatility
Journal of Econometrics | 2016-06-10 | Paper |
Nonparametric transformation to white noise
Journal of Econometrics | 2016-06-03 | Paper |
A smoothed least squares estimator for threshold regression models
Journal of Econometrics | 2016-05-27 | Paper |
The quantilogram: with an application to evaluating directional predictability
Journal of Econometrics | 2016-05-25 | Paper |
The cross-quantilogram: measuring quantile dependence and testing directional predictability between time series
Journal of Econometrics | 2016-05-18 | Paper |
The cross-quantilogram: measuring quantile dependence and testing directional predictability between time series
Journal of Econometrics | 2016-05-18 | Paper |
Estimating the quadratic covariation matrix for asynchronously observed high frequency stock returns corrupted by additive measurement error
Journal of Econometrics | 2016-03-01 | Paper |
Nonparametric transformation regression with nonstationary data
Econometric Theory | 2016-02-23 | Paper |
Averaging of an increasing number of moment condition estimators
Econometric Theory | 2016-02-23 | Paper |
Let's get LADE: robust estimation of semiparametric multiplicative volatility models
Econometric Theory | 2015-11-03 | Paper |
A flexible semiparametric forecasting model for time series
Journal of Econometrics | 2015-09-01 | Paper |
A semiparametric model for heterogeneous panel data with fixed effects
Journal of Econometrics | 2015-08-13 | Paper |
Global Bahadur representation for nonparametric censored regression quantiles and its applications
Econometric Theory | 2014-06-20 | Paper |
Nonparametric estimation of a periodic sequence in the presence of a smooth trend
Biometrika | 2014-04-16 | Paper |
Estimation of and inference about the expected shortfall for time series with infinite variance
Econometric Theory | 2014-03-25 | Paper |
Nonparametric neural network estimation of Lyapunov exponents and a direct test for chaos
Journal of Econometrics | 2014-03-07 | Paper |
Nonparametric estimation of multivariate elliptic densities via finite mixture sieves
Journal of Multivariate Analysis | 2014-01-13 | Paper |
Efficient semiparametric estimation of the Fama-French model and extensions
Econometrica | 2013-11-06 | Paper |
Local linear fitting under near epoch dependence: uniform consistency with convergence rates
Econometric Theory | 2012-10-31 | Paper |
A polarization-cohesion perspective on cross-country convergence
Journal of Economic Growth | 2012-06-13 | Paper |
A nonparametric regression estimator that adapts to error distribution of unknown form
Econometric Theory | 2012-05-14 | Paper |
Higher order asymptotic theory when a parameter is on a boundary with an application to GARCH models
Econometric Theory | 2012-05-14 | Paper |
A nonparametric threshold model with application to zero returns
Statistics and Its Interface | 2012-01-25 | Paper |
Nonparametric regression with filtered data
Bernoulli | 2011-09-02 | Paper |
Multivariate density estimation using dimension reducing information and tail flattening trans\-formations
Insurance Mathematics & Economics | 2011-08-01 | Paper |
Estimation of a semiparametric IGARCH(1,1) model
Econometric Theory | 2011-07-26 | Paper |
Evaluating value-at-risk models via quantile regression
Journal of Business and Economic Statistics | 2011-04-13 | Paper |
On internally corrected and symmetrized kernel estimators for nonparametric regression
Test | 2011-01-22 | Paper |
Semi- and nonparametric ARCH processes
Journal of Probability and Statistics | 2010-12-01 | Paper |
Non-parametric regression with a latent time series
Econometrics Journal | 2010-10-15 | Paper |
Uniform Bahadur representation for local polynomial estimates of M-regression and its application to the additive model
Econometric Theory | 2010-10-14 | Paper |
ESTIMATION FOR A NONSTATIONARY SEMI-STRONG GARCH(1,1) MODEL WITH HEAVY-TAILED ERRORS
Econometric Theory | 2010-02-26 | Paper |
Semiparametric and Nonparametric ARCH Modeling
Handbook of Financial Time Series | 2009-11-27 | Paper |
Testing for Stochastic Monotonicity
Econometrica | 2009-04-16 | Paper |
Estimation of a semiparametric transformation model
The Annals of Statistics | 2008-04-23 | Paper |
| Discussion of Aït-Sahalia and Barndorff-Nielsen and Shephard | 2008-03-06 | Paper |
Nonparametric Matching and Efficient Estimators of Homothetically Separable Functions
Econometrica | 2008-02-11 | Paper |
A CLOSED-FORM ESTIMATOR FOR THE GARCH(1,1) MODEL
Econometric Theory | 2008-01-23 | Paper |
| Asymptotic expansions for some semiparametric program evaluation estimators | 2007-10-09 | Paper |
Correlation and Marginal Longitudinal Kernel Nonparametric Regression
Proceedings of the Second Seattle Symposium in Biostatistics | 2007-09-28 | Paper |
Semiparametric Regression Analysis With Missing Response at Random
Journal of the American Statistical Association | 2007-08-20 | Paper |
Estimating Semiparametric ARCH(oo) Models by Kernel Smoothing Methods1
Econometrica | 2006-10-24 | Paper |
Flexible term structure estimation: Which method is preferred?
Metrika | 2006-08-14 | Paper |
Estimation of Semiparametric Models when the Criterion Function Is Not Smooth
Econometrica | 2006-06-19 | Paper |
Nonparametric Censored and Truncated Regression
Econometrica | 2006-06-16 | Paper |
NONPARAMETRIC INFERENCE FOR UNBALANCED TIME SERIES DATA
Econometric Theory | 2005-10-18 | Paper |
Consistent Testing for Stochastic Dominance under General Sampling Schemes
Review of Economic Studies | 2005-09-28 | Paper |
THE LIVE METHOD FOR GENERALIZED ADDITIVE VOLATILITY MODELS
Econometric Theory | 2005-09-05 | Paper |
A Nonparametric Prewhitened Covariance Estimator
Journal of Time Series Analysis | 2005-05-20 | Paper |
Limit Theorems for Estimating the Parameters of Differentiated Product Demand Systems
Review of Economic Studies | 2005-04-05 | Paper |
More Efficient Local Polynomial Estimation in Nonparametric Regression With Autocorrelated Errors
Journal of the American Statistical Association | 2004-06-10 | Paper |
Estimating multiplicative and additive hazard functions by kernel methods
The Annals of Statistics | 2004-05-18 | Paper |
NONPARAMETRIC ESTIMATION WITH AGGREGATED DATA
Econometric Theory | 2003-05-18 | Paper |
SECOND-ORDER APPROXIMATION FOR ADAPTIVE REGRESSION ESTIMATORS
Econometric Theory | 2003-05-18 | Paper |
SECOND-ORDER APPROXIMATION FOR ADAPTIVE REGRESSION ESTIMATORS
Econometric Theory | 2003-05-18 | Paper |
Some higher-order theory for a consistent non-parametric model specification test
Journal of Statistical Planning and Inference | 2003-04-03 | Paper |
Symmetrizing and unitizing transformations for linear smoother weights
Computational Statistics | 2003-03-09 | Paper |
Edgeworth approximations for semiparametric instrumental variable estimators and test statis\-tics.
Journal of Econometrics | 2003-02-17 | Paper |
Local nonlinear least squares: using parametric information in nonparametric regression
Journal of Econometrics | 2002-12-03 | Paper |
The existence and asymptotic properties of a backfitting projection algorithm under weak conditions
The Annals of Statistics | 2002-06-10 | Paper |
Nonparametric factor analysis of residual time series
Test | 2002-03-26 | Paper |
Testing additivity in generalized nonparametric regression models with estimated parameters
Journal of Econometrics | 2002-02-04 | Paper |
EFFICIENT ESTIMATION OF GENERALIZED ADDITIVE NONPARAMETRIC REGRESSION MODELS
Econometric Theory | 2001-07-03 | Paper |
Yield curve estimation by kernel smoothing methods
Journal of Econometrics | 2001-01-01 | Paper |
Adaptive testing in arch models
Econometric Reviews | 2000-11-20 | Paper |
Integration and backfitting methods in additive models -- finite sample properties and comparison
Test | 2000-06-13 | Paper |
On a semiparametric survival model with flexible covariate effect
The Annals of Statistics | 1999-11-09 | Paper |
The existence and asymptotic properties of a backfitting projection algorithm under weak conditions
The Annals of Statistics | 1999-10-01 | Paper |
The asymptotic distribution of nonparametric estimates of the Lyapunov exponent for stochastic time series
Journal of Econometrics | 1999-01-01 | Paper |
An Optimization Interpretation of Integration and Back-Fitting Estimators for Separable Nonparametric Models
Journal of the Royal Statistical Society Series B: Statistical Methodology | 1998-10-18 | Paper |
| An Analysis of Transformations for Additive Nonparametric Regression | 1998-02-08 | Paper |
Miscellanea. Efficient estimation of additive nonparametric regression models
Biometrika | 1997-11-18 | Paper |
Estimation of additive regression models with known links
Biometrika | 1996-12-08 | Paper |
Kernel estimation in a nonparametric marker dependent hazard model
The Annals of Statistics | 1996-10-08 | Paper |
Second order approximation in a linear regression with heteroskedasticity of unknown form
Econometric Reviews | 1996-08-29 | Paper |
Second Order Approximation in the Partially Linear Regression Model
Econometrica | 1996-05-02 | Paper |
Nonparametric regression estimation at design poles and zeros
The Canadian Journal of Statistics | 1996-01-01 | Paper |
A kernel method of estimating structured nonparametric regression based on marginal integration
Biometrika | 1995-11-02 | Paper |
A simple bias reduction method for density estimation
Biometrika | 1995-08-16 | Paper |
A multiplicative bias reduction method for nonparametric regression
Statistics & Probability Letters | 1994-05-24 | Paper |
