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Details about Zongwu Cai

Homepage:http://www.math.uncc.edu/~zcai/
Phone:(704) 687-2650

Access statistics for papers by Zongwu Cai.

Last updated 2015-05-21. Update your information in the RePEc Author Service.

Short-id: pca121


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Working Papers

2014

  1. Predictive regressions for macroeconomic data
    Papers, arXiv.org Downloads

2013

  1. A New Forecasting Model for USD/CNY Exchange Rate
    WISE Working Papers, Wang Yanan Institute for Studies in Economics (WISE), Xiamen University Downloads View citations (1)
    See also Journal Article in Studies in Nonlinear Dynamics & Econometrics (2012)
  2. A New Test for Superior Predictive Ability
    WISE Working Papers, Wang Yanan Institute for Studies in Economics (WISE), Xiamen University Downloads
  3. Convergency and Divergency of Functional Coefficient Weak Instrumental Variables Models
    WISE Working Papers, Wang Yanan Institute for Studies in Economics (WISE), Xiamen University Downloads
  4. Effient Estimation of Partially Varying Coefficient Instrumental Variables Models
    WISE Working Papers, Wang Yanan Institute for Studies in Economics (WISE), Xiamen University Downloads
  5. Functional Coefficient Models for Economic and Financial Data
    WISE Working Papers, Wang Yanan Institute for Studies in Economics (WISE), Xiamen University Downloads
  6. Nonparametric Estimation Of Varying Coefficient Dynamic Panel Data Models
    WISE Working Papers, Wang Yanan Institute for Studies in Economics (WISE), Xiamen University Downloads
    See also Journal Article in Econometric Theory (2008)
  7. Nonparametric Methods for Estimating Conditional VaR and Expected Shortfall
    WISE Working Papers, Wang Yanan Institute for Studies in Economics (WISE), Xiamen University Downloads
  8. Nonparametric Quantile Estimations For Dynamic Smooth Coefficient Models
    WISE Working Papers, Wang Yanan Institute for Studies in Economics (WISE), Xiamen University Downloads
    See also Journal Article in Journal of the American Statistical Association (2009)
  9. Nonparametric Regression With Nearly Integrated Regressors Under Long Run Dependence
    WISE Working Papers, Wang Yanan Institute for Studies in Economics (WISE), Xiamen University Downloads
  10. Reducing the Asymptotic Bias of Weak Instruments Estimation Using Independently Repeated Cross-sectional Information
    WISE Working Papers, Wang Yanan Institute for Studies in Economics (WISE), Xiamen University Downloads
  11. Semiparametric Estimation of Partially Varying-Coefficient
    WISE Working Papers, Wang Yanan Institute for Studies in Economics (WISE), Xiamen University Downloads
  12. Some Recent Develop- ments on Nonparametric Econometrics
    WISE Working Papers, Wang Yanan Institute for Studies in Economics (WISE), Xiamen University Downloads View citations (2)
  13. Some Recent Developments in Nonparametric Finance
    WISE Working Papers, Wang Yanan Institute for Studies in Economics (WISE), Xiamen University Downloads
  14. Weak Instrumental Variables Models for Longitudinal Data
    WISE Working Papers, Wang Yanan Institute for Studies in Economics (WISE), Xiamen University Downloads View citations (1)

2012

  1. Reexamining the Empirical Relevance of Habit Formation Preferences
    MPRA Paper, University Library of Munich, Germany Downloads

2010

  1. Semiparametric Quantile Regression Estimation in Dynamic Models with Partially Varying Coefficients
    Boston College Working Papers in Economics, Boston College Department of Economics Downloads
    See also Journal Article in Journal of Econometrics (2012)

2003

  1. Adaptive varying co-efficient linear models
    LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library Downloads View citations (15)
    Also in LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library (2000) Downloads
    STICERD - Econometrics Paper Series, Suntory and Toyota International Centres for Economics and Related Disciplines, LSE (2000) Downloads

    See also Journal Article in Journal of the Royal Statistical Society Series B (2003)
  2. Nonparametric Methods in Continuous-Time Finance: A Selective Review
    SFB 373 Discussion Papers, Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes Downloads View citations (3)
  3. Trending Time-Varying Coefficient Models With Serially Correlated Errors
    SFB 373 Discussion Papers, Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes Downloads

2001

  1. Smoothing for discrete-valued time series
    LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library Downloads
    See also Journal Article in Journal of the Royal Statistical Society Series B (2001)

2000

  1. Functional-coefficient regression models for nonlinear time series
    LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library Downloads View citations (125)

Undated

  1. Does Relative Risk Aversion Vary with Wealth? Evidence from Households' Portfolio Choice Data
    Departmental Working Papers, Department of Economics, Louisiana State University Downloads

Journal Articles

2014

  1. Selection of Mixed Copula Model via Penalized Likelihood
    Journal of the American Statistical Association, 2014, 109, (506), 788-801 Downloads View citations (1)
  2. Testing predictive regression models with nonstationary regressors
    Journal of Econometrics, 2014, 178, (P1), 4-14 Downloads View citations (3)

2013

  1. SEMIPARAMETRIC FUNCTIONAL COEFFICIENT MODELS WITH INTEGRATED COVARIATES
    Econometric Theory, 2013, 29, (03), 659-672 Downloads View citations (2)

2012

  1. A New Forecasting Model for USD/CNY Exchange Rate
    Studies in Nonlinear Dynamics & Econometrics, 2012, 16, (3), 1-20 Downloads View citations (10)
    See also Working Paper (2013)
  2. Partially varying coefficient instrumental variables models
    Statistica Neerlandica, 2012, 66, (2), 85-110 Downloads View citations (3)
  3. Reducing asymptotic bias of weak instrumental estimation using independently repeated cross-sectional information
    Statistics & Probability Letters, 2012, 82, (1), 180-185 Downloads
  4. Semiparametric quantile regression estimation in dynamic models with partially varying coefficients
    Journal of Econometrics, 2012, 167, (2), 413-425 Downloads View citations (16)
    See also Working Paper (2010)

2009

  1. Functional-coefficient models for nonstationary time series data
    Journal of Econometrics, 2009, 148, (2), 101-113 Downloads View citations (53)
  2. Nonparametric Quantile Estimations for Dynamic Smooth Coefficient Models
    Journal of the American Statistical Association, 2009, 104, (485), 371-383 Downloads View citations (5)
    Also in Journal of the American Statistical Association, 2008, 103, (484), 1595-1608 (2008) Downloads View citations (27)

    See also Working Paper (2013)

2008

  1. NONPARAMETRIC ESTIMATION OF VARYING COEFFICIENT DYNAMIC PANEL DATA MODELS
    Econometric Theory, 2008, 24, (05), 1321-1342 Downloads View citations (23)
    See also Working Paper (2013)
  2. Nonparametric estimation of conditional VaR and expected shortfall
    Journal of Econometrics, 2008, 147, (1), 120-130 Downloads View citations (18)

2007

  1. Trending time-varying coefficient time series models with serially correlated errors
    Journal of Econometrics, 2007, 136, (1), 163-188 Downloads View citations (70)

2006

  1. Functional coefficient instrumental variables models
    Journal of Econometrics, 2006, 133, (1), 207-241 Downloads View citations (19)

2003

  1. Adaptive varying-coefficient linear models
    Journal of the Royal Statistical Society Series B, 2003, 65, (1), 57-80 Downloads View citations (41)
    See also Working Paper (2003)
  2. Local Linear Estimation for Time-Dependent Coefficients in Cox's Regression Models
    Scandinavian Journal of Statistics, 2003, 30, (1), 93-111 Downloads View citations (8)
  3. Local M-estimator for nonparametric time series
    Statistics & Probability Letters, 2003, 65, (4), 433-449 Downloads View citations (10)
  4. Nonparametric estimation equations for time series data
    Statistics & Probability Letters, 2003, 62, (4), 379-390 Downloads View citations (4)

2002

  1. A two-stage approach to additive time series models
    Statistica Neerlandica, 2002, 56, (4), 415-433 Downloads View citations (19)
  2. REGRESSION QUANTILES FOR TIME SERIES
    Econometric Theory, 2002, 18, (01), 169-192 Downloads View citations (52)
  3. Two-Step Likelihood Estimation Procedure for Varying-Coefficient Models
    Journal of Multivariate Analysis, 2002, 82, (1), 189-209 Downloads View citations (12)

2001

  1. Estimating a Distribution Function for Censored Time Series Data
    Journal of Multivariate Analysis, 2001, 78, (2), 299-318 Downloads View citations (3)
  2. Smoothing for discrete-valued time series
    Journal of the Royal Statistical Society Series B, 2001, 63, (2), 357-375 Downloads View citations (2)
    See also Working Paper (2001)
  3. Weighted Nadaraya-Watson regression estimation
    Statistics & Probability Letters, 2001, 51, (3), 307-318 Downloads View citations (12)

2000

  1. Average Regression Surface for Dependent Data
    Journal of Multivariate Analysis, 2000, 75, (1), 112-142 Downloads View citations (6)
  2. NONPARAMETRIC ESTIMATION OF ADDITIVE NONLINEAR ARX TIME SERIES: LOCAL LINEAR FITTING AND PROJECTIONS
    Econometric Theory, 2000, 16, (04), 465-501 Downloads View citations (7)

1999

  1. Diagnostics for nonlinearity in generalized linear models
    Computational Statistics & Data Analysis, 1999, 29, (4), 445-469 Downloads

1998

  1. Asymptotic properties of Kaplan-Meier estimator for censored dependent data
    Statistics & Probability Letters, 1998, 37, (4), 381-389 Downloads View citations (14)
  2. Kaplan-Meier Estimator under Association
    Journal of Multivariate Analysis, 1998, 67, (2), 318-348 Downloads View citations (10)
  3. Kernel Density and Hazard Rate Estimation for Censored Dependent Data
    Journal of Multivariate Analysis, 1998, 67, (1), 23-34 Downloads View citations (7)

1997

  1. Smooth estimate of quantiles under association
    Statistics & Probability Letters, 1997, 36, (3), 275-287 Downloads View citations (10)

1992

  1. Strong consistency and rates for recursive nonparametric conditional probability density estimates under ([alpha], [beta])-mixing conditions
    Stochastic Processes and their Applications, 1992, 41, (1), 179-179 Downloads
    Also in Stochastic Processes and their Applications, 1991, 38, (2), 323-333 (1991) Downloads
  2. Uniform strong estimation under [alpha]-mixing, with rates
    Statistics & Probability Letters, 1992, 15, (1), 47-55 Downloads View citations (2)
 
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