Details about Xu Han

Access statistics for papers by Xu Han.

Last updated 2022-05-26. Update your information in the RePEc Author Service.

Short-id: pha807

Working Papers

2021

1. Quasi-maximum likelihood estimation of break point in high-dimensional factor models
   Papers, arXiv.org

2020

2. An Upper Bound for Functions of Estimators in High Dimensions
   Papers, arXiv.org
   See also Journal Article An upper bound for functions of estimators in high dimensions, Econometric Reviews, Taylor & Francis Journals (2021) (2021)

2015

3. Adaptive Elastic Net GMM Estimation with Many Invalid Moment Conditions: Simultaneous Model and Moment Selection
   Center for Policy Research Working Papers, Center for Policy Research, Maxwell School, Syracuse University View citations (2)
   See also Journal Article Adaptive Elastic Net GMM Estimation With Many Invalid Moment Conditions: Simultaneous Model and Moment Selection, Journal of Business & Economic Statistics, Taylor & Francis Journals (2018) View citations (20) (2018)

2013

4. Tests for Parameter Instability in Dynamic Factor Models
   TERG Discussion Papers, Graduate School of Economics and Management, Tohoku University View citations (6)
   Also in DSSR Discussion Papers, Graduate School of Economics and Management, Tohoku University (2013) View citations (3)
   See also Journal Article TESTS FOR PARAMETER INSTABILITY IN DYNAMIC FACTOR MODELS, Econometric Theory, Cambridge University Press (2015) View citations (59) (2015)

Journal Articles

2021

1. An upper bound for functions of estimators in high dimensions
   Econometric Reviews, 2021, 40, (1), 1-13
   See also Working Paper An Upper Bound for Functions of Estimators in High Dimensions, Papers (2020) (2020)
2. Shrinkage Estimation of Factor Models With Global and Group-Specific Factors
   Journal of Business & Economic Statistics, 2021, 39, (1), 1-17 View citations (13)

2020

3. Estimation and inference of change points in high-dimensional factor models
   Journal of Econometrics, 2020, 219, (1), 66-100 View citations (16)

2018

4. Adaptive Elastic Net GMM Estimation With Many Invalid Moment Conditions: Simultaneous Model and Moment Selection
   Journal of Business & Economic Statistics, 2018, 36, (1), 24-46 View citations (20)
   See also Working Paper Adaptive Elastic Net GMM Estimation with Many Invalid Moment Conditions: Simultaneous Model and Moment Selection, Center for Policy Research Working Papers (2015) View citations (2) (2015)
5. Estimation and inference of dynamic structural factor models with over-identifying restrictions
   Journal of Econometrics, 2018, 202, (2), 125-147 View citations (4)

2017

6. Determining the number of factors with potentially strong within-block correlations in error terms
   Econometric Reviews, 2017, 36, (6-9), 946-969 View citations (1)

2016

7. Structural Changes in High Dimensional Factor Models
   Frontiers of Economics in China-Selected Publications from Chinese Universities, 2016, 11, (1), 9-39 View citations (9)

2015

8. TESTS FOR PARAMETER INSTABILITY IN DYNAMIC FACTOR MODELS
   Econometric Theory, 2015, 31, (5), 1117-1152 View citations (59)
   See also Working Paper Tests for Parameter Instability in Dynamic Factor Models, TERG Discussion Papers (2013) View citations (6) (2013)
9. Tests for overidentifying restrictions in Factor-Augmented VAR models
   Journal of Econometrics, 2015, 184, (2), 394-419 View citations (3)

2014

10. Selecting the Correct Number of Factors in Approximate Factor Models: The Large Panel Case With Group Bridge Estimators
    Journal of Business & Economic Statistics, 2014, 32, (3), 359-374 View citations (23)

2010

11. Ambiguity aversion and rational herd behaviour
    Applied Financial Economics, 2010, 20, (4), 331-343 View citations (8)