| Publication | Date of Publication | Type |
|---|
Shrinkage and noniterative estimation for moving average models with structural breaks
Econometric Reviews | 2026-05-06 | Paper |
On structurally grouped approximate factor models
Econometric Reviews | 2026-03-09 | Paper |
Nonlinear cointegrating regressions with nonstationary nonlinear heteroskedasticity
Econometric Reviews | 2026-01-21 | Paper |
Semiparametric estimation and variable selection for sparse single index models in increasing dimension
Econometric Theory | 2026-01-15 | Paper |
Consistent model selection for factor-augmented regression within hierarchical factor structures
Economics Letters | 2025-12-16 | Paper |
Variable screening in high-dimensional vector autoregressions
Economics Letters | 2025-12-16 | Paper |
Identification and inference for semiparametric single index transformation models
Journal of Econometrics | 2025-09-12 | Paper |
Consistent model selection for factor-augmented regressions
Economics Letters | 2025-07-16 | Paper |
Quantile prediction with factor-augmented regression: structural instability and model uncertainty
Journal of Econometrics | 2025-06-19 | Paper |
Limit theory and inference in non-cointegrated functional coefficient regression
Journal of Econometrics | 2025-06-19 | Paper |
When structural break meets threshold effect: factor analysis under structural instabilities
Journal of Econometrics | 2025-06-19 | Paper |
Forecasting Equity Premium: Global Historical Average Versus Local Historical Average and Constraints
Journal of Business and Economic Statistics | 2025-01-20 | Paper |
Estimating Spatial Autocorrelation With Sampled Network Data
Journal of Business and Economic Statistics | 2024-10-09 | Paper |
Selection inconsistency for factor-augmented regressions
Economics Letters | 2024-08-29 | Paper |
Functional coefficient cointegration models with Box-Cox transformation
Economics Letters | 2024-03-20 | Paper |
Penetrating sporadic return predictability
Journal of Econometrics | 2023-11-17 | Paper |
Forecasting vector autoregressions with mixed roots in the vicinity of unity
Econometric Reviews | 2023-09-18 | Paper |
Shrinkage estimation of multiple threshold factor models
Journal of Econometrics | 2023-06-29 | Paper |
Group fused Lasso for large factor models with multiple structural breaks
Journal of Econometrics | 2023-03-03 | Paper |
Testing independence between exogenous variables and unobserved errors
Econometric Reviews | 2022-09-14 | Paper |
Nonparametric inference for quantile cointegrations with stationary covariates
Journal of Econometrics | 2022-09-14 | Paper |
Spurious functional-coefficient regression models and robust inference with marginal integration
Journal of Econometrics | 2022-07-15 | Paper |
Testing additive separability of error term in nonparametric structural models
Econometric Reviews | 2022-06-03 | Paper |
The varying spillover of U.S. systemic risk: a functional-coefficient cointegration approach
Economics Letters | 2022-04-14 | Paper |
Testing for a unit root with nonstationary nonlinear heteroskedasticity
Econometric Reviews | 2022-03-04 | Paper |
Adaptive estimation of heteroskedastic functional-coefficient regressions with an application to fiscal policy evaluation on asset markets
Econometric Reviews | 2022-03-04 | Paper |
A joint test for parametric specification and independence in nonlinear regression models
Econometric Reviews | 2022-03-04 | Paper |
Robust inference for spurious regressions and cointegrations involving processes moderately deviated from a unit root
Journal of Econometrics | 2021-02-09 | Paper |
On transformed linear cointegration models
Economics Letters | 2021-02-09 | Paper |
Jackknife model averaging for expectile regressions in increasing dimension
Economics Letters | 2021-02-09 | Paper |
Error-correction factor models for high-dimensional cointegrated time series
STATISTICA SINICA | 2020-11-16 | Paper |
Sieve extremum estimation of a semiparametric transformation model
Economics Letters | 2020-05-13 | Paper |
Estimation for double-nonlinear cointegration
Journal of Econometrics | 2020-03-20 | Paper |
On spurious regressions with partial unit root processes
Economics Letters | 2018-09-11 | Paper |
On estimating the nonparametric multiplicative error models
Economics Letters | 2018-09-03 | Paper |
\(\sqrt{n}\)-consistent density estimation in semiparametric regression models
Computational Statistics and Data Analysis | 2018-08-15 | Paper |
Forecasting cointegrated nonstationary time series with time-varying variance
Journal of Econometrics | 2016-11-17 | Paper |
Functional coefficient moving average model with applications to forecasting Chinese CPI
Statistica Sinica | 2016-10-26 | Paper |
Nonparametric and semiparametric regressions subject to monotonicity constraints: estimation and forecasting
Journal of Econometrics | 2014-06-04 | Paper |
