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Research Field: |
Econometric Theory and Applied
Econometrics |
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Research Interest: |
My research interests include estimation and inference of semiparametric and nonparametric models, modelling and inference of nonlinear time series. My research is partly supported by National Science Foundation (NSF) Grant SES-1628889. |
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Office: |
8379 Bunche Hall, UCLA |
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Email: |
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Phone: |
(310) 794-5427 |
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Mailing Address: |
8283 Bunche Hall, UCLA Los Angeles, CA 90095 |
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Working Papers 1.
"Logit-based
Alternatives to Two-stage Least Squares",
(with Denis Chetverikov, Jinyong
Hahn and Shuyang Sheng). 2.
"Some Finite-Sample Results on the Hausman Test",
(with Jinyong Hahn, Nan Liu and Shuyang
Sheng). 3.
"Standard Errors When a Regressor is Randomly Assigned",
(with Denis Chetverikov, Jinyong
Hahn and Andres Santos). 4. "A General Test for Functional
Inequalities", (with Jia Li and
Wenyu Zhou), under revision for the Journal of
Econometrics. [Supplemental Appendix] 5. "Learning Before Testing: A
Selective Nonparametric Test for Conditional Moment Restrictions",
(with Jia Li and Wenyu Zhou), under revision for the Review of Economics and Statistics. |
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Published and Forthcoming Papers
1.
"Uniform Nonparametric Inference for Spatially Dependent Panel Data",
(with Jia Li and Wenyu Zhou), Journal of Business &
Economic Statistics, forthcoming. 2.
"Optimal Cross-Sectional Regression",
(with Yan Liu and Zhenzhen Xie), Management Science,
forthcoming. 3.
"The Influence Function of Semiparametric Two-step Estimators with
Estimated Control Variables", (with Jinyong Hahn, Geert Ridder and Ruoyao Shi), Economic Letters, Vol.231, 2023,
111277. 4.
"Identification and the Influence Function of Olley and Pakes' (1996)
Production Function Estimator", (with Jinyong Hahn and Geert Ridder), Econometric Theory, Vol.39(5),
2023, pp. 1044--1066. 5.
"Uniform Nonparametric Inference for Spatially Dependent Panel Data:
The xtnpsreg Command",
(with Jia Li and Wenyu Zhou), Stata Journal, Vol.23(1), 2023, pp.
243--264. [Stata Package] 6.
"Conditional Evaluation of Predictive Models: The cspa
Command", (with Jia Li, Rogier Quaedvlieg
and Wenyu Zhou), Stata Journal, Vol.22(4), 2022, pp.
924--940. [Stata Package] 7.
"Macro-Finance Decoupling: Robust Evaluations of Macro Asset Pricing
Models", (with Xu Cheng and Winston Dou), Econometrica,
Vol.90(2),
2022, pp. 685--713. [Supplemental Note] 8.
"Conditional Superior Predictive Ability",
(with Jia Li and Rogier Quaedvlieg), Review of Economic Studies,
Vol.89 (2),
2022, pp. 843--875. 9.
"A Consistent Specification Test for Dynamic Quantile Models",
(with Peter Horvath, Jia Li and Andrew Patton), Quantitative Economics,
Vol.13(1),
2022, pp. 125--151. 10.
"Bootstrap Standard Error Estimates and Inference",
(with Jinyong Hahn), Econometrica, Vol.89(4), 2021, pp. 1963--1977. 11.
"Fixed-k Inference for Volatility", (with Tim Bollerslev and Jia
Li), Quantitative Economics, Vol.12(4), 2021, pp. 1053--1084. 12.
"Volatility Coupling", (with Jean Jacod and Jia Li), Annals of
Statistics, Vol. 49(4), 2021, pp. 1982--1998. 13.
"On Cross-Validated Lasso in High Dimensions",
(with Denis Chetverikov and Victor Chernozhukov), Annals of
Statistics, Vol.49(3),
2021, pp. 1300--1317. 14.
"Estimation and Inference of Semiparametric Models Using Data from
Several Sources", (with Moshe Buchinsky and Fanghua Li), Journal of Econometrics,
Vol.226(1), 2021, pp. 80--103. 15.
"Uniform Nonparametric Inference for Time Series using Stata",
(with Jia Li and Mengsi Gao), Stata Journal, Vol.20(3), 2020, pp. 706--721. [Stata Package] 16.
"Uniform Nonparametric Inference for Time Series",
(with Jia Li), Journal of
Econometrics, Vol.219(1),
2020, 38--51. 17.
"A Nondegenerate
Vuong Test and A Post Selection Confidence Interval for Semi/Nonparametric
Models", (with Xiaoxia Shi), Quantitative
Economics, Vol.11, 2020, pp. 983--1017. 18.
"On Uniform Asymptotic Risk of Averaging GMM Estimators",
(with Xu Cheng and Ruoyao Shi), Quantitative
Economics, Vol.10(3), 2019, pp. 931--979. 19.
"Nonparametric Two-Step Sieve M Estimation and Inferences",
(with Jinyong Hahn and Geert Ridder), Econometric Theory,
Vol.34(6), 2018, pp. 1281--1384. 20.
"On Standard Inference for GMM with Local Identification Failure of
Known Forms", (with
Ji Hyung Lee), Econometric Theory, Vol.34,
2018, pp. 790--814. 21.
"Nonparametric Instrumental Variables and Regular Estimation",
(with Jinyong Hahn), Econometric Theory,
Vol.34(3), 2018, pp. 574--597. 22.
"Shrinkage Estimation of High-Dimensional Factor Models with
Structural Instabilities",
(with Xu Cheng and Frank Schorfheide), Review of Economic Studies, Vol.83(4), 2016, pp. 1511--1543. 23.
"Sieve Semiparametric Two-Step GMM Under Weak Dependence",
(with Xiaohong Chen), Journal
of Econometrics, Vol.189(1),
2015, 163--186. 24.
"Select the Valid and Relevant Moments: An Information-based LASSO for
GMM with Many Moments",
(with Xu Cheng), Journal
of Econometrics, Vol.186
(2), 2015, 443--464. 25.
"Automated Estimation of Vector Error Correction Models",
(with Peter C.B. Phillips), Econometric Theory, Vol.31(3), 2015, 581--646. 26.
"Asymptotic
Efficiency of Semiparametric Two-step GMM", (with
Daniel Ackerberg, Xiaohong Chen, Jinyong Hahn), Review of Economic Studies, Vol.81(3), 2014, 919--943. 27.
"Sieve M Inference of Irregular Parameters",
(with Xiaohong Chen), Journal of Econometrics, Vol.182(1), 2014, 70--86. 28.
"Sieve Inference on Possibly Misspecified
Semi-nonparametric Time Series Models", (with
Xiaohong Chen and Yixiao Sun), Journal of Econometrics, Vol.178(3), 2014, 639--658. 29.
"Adaptive
GMM Shrinkage Estimation with Consistent Moment Selection",
Econometric Theory, Vol.29, 2013, 1--48. 30.
"Series Estimation of Stochastic Processes: Recent Developments and
Econometric Applications",
(with Peter C.B. Phillips)
in A. Ullah, J. Racine and L. Su (eds.) Handbook of Applied Nonparametric
and Semiparametric Econometrics and
Statistics, Oxford University Press, 2013. 31. "Asymptotic Properties of Penalized M
Estimators with Time Series Observations", (with
Xiaohong Chen), in N.R. Swanson and X. Chen
(eds.) Recent Advances and Future
Directions in Causality, Prediction, and Specification Analysis: Essays in
Honor of Halbert L. White Jr, Springer, 2013. |