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Details about Sainan Jin

Workplace:School of Economics and Management, Tsinghua University, (more information at EDIRC)
Institute of Economics, Tsinghua University, (more information at EDIRC)

Access statistics for papers by Sainan Jin.

Last updated 2024-02-09. Update your information in the RePEc Author Service.

Short-id: pji199


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Working Papers

2020

  1. Nonstationary Panel Models with Latent Group Structures and Cross-Section Dependence
    Economics and Statistics Working Papers, Singapore Management University, School of Economics Downloads View citations (3)
    See also Journal Article Nonstationary panel models with latent group structures and cross-section dependence, Journal of Econometrics, Elsevier (2021) Downloads View citations (9) (2021)

2019

  1. On Factor Models with Random Missing: EM Estimation, Inference, and Cross Validation
    Economics and Statistics Working Papers, Singapore Management University, School of Economics Downloads View citations (10)
    See also Journal Article On factor models with random missing: EM estimation, inference, and cross validation, Journal of Econometrics, Elsevier (2021) Downloads View citations (15) (2021)

2018

  1. Identifying Latent Grouped Patterns in Cointegrated Panels
    Economics and Statistics Working Papers, Singapore Management University, School of Economics Downloads View citations (2)
    See also Journal Article IDENTIFYING LATENT GROUPED PATTERNS IN COINTEGRATED PANELS, Econometric Theory, Cambridge University Press (2020) Downloads View citations (8) (2020)

2015

  1. Business Cycles, Trend Elimination, and the HP Filter
    Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University Downloads View citations (37)
    See also Journal Article BUSINESS CYCLES, TREND ELIMINATION, AND THE HP FILTER, International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association (2021) Downloads View citations (15) (2021)
  2. Robust Forecast Comparison
    Departmental Working Papers, Rutgers University, Department of Economics Downloads View citations (1)
    See also Journal Article ROBUST FORECAST COMPARISON, Econometric Theory, Cambridge University Press (2017) Downloads View citations (9) (2017)

2014

  1. Nonparametric Testing for Anomaly Effects in Empirical Asset Pricing Models
    Working Papers, Singapore Management University, School of Economics Downloads
    See also Journal Article Nonparametric testing for anomaly effects in empirical asset pricing models, Empirical Economics, Springer (2015) Downloads View citations (1) (2015)
  2. Specification Test for Panel Data Models with Interactive Fixed Effects
    Working Papers, Singapore Management University, School of Economics Downloads View citations (3)
    See also Journal Article Specification test for panel data models with interactive fixed effects, Journal of Econometrics, Elsevier (2015) Downloads View citations (31) (2015)

2013

  1. Testing the Martingale Hypothesis
    Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University Downloads View citations (1)
    See also Journal Article Testing the Martingale Hypothesis, Journal of Business & Economic Statistics, Taylor & Francis Journals (2014) Downloads View citations (8) (2014)

2010

  1. Power Maximization and Size Control in Heteroskedasticity and Autocorrelation Robust Tests with Exponentiated Kernels
    Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University Downloads
    See also Journal Article POWER MAXIMIZATION AND SIZE CONTROL IN HETEROSKEDASTICITY AND AUTOCORRELATION ROBUST TESTS WITH EXPONENTIATED KERNELS, Econometric Theory, Cambridge University Press (2011) Downloads View citations (12) (2011)

2007

  1. Demand volatility and the lag between the growth of temporary and permanent employment
    Working Paper Series, Federal Reserve Bank of Chicago Downloads

2006

  1. Optimal Bandwidth Selection in Heteroskedasticity-Autocorrelation Robust Testing
    Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University Downloads View citations (3)
    See also Journal Article Optimal Bandwidth Selection in Heteroskedasticity-Autocorrelation Robust Testing, Econometrica, Econometric Society (2008) Downloads View citations (118) (2008)

2005

  1. A New Approach to Robust Inference in Cointegration
    Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University Downloads
    See also Journal Article A new approach to robust inference in cointegration, Economics Letters, Elsevier (2006) Downloads View citations (7) (2006)
  2. Improved HAR Inference
    Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University Downloads View citations (3)
  3. Nonstationary Discrete Choice: A Corrigendum and Addendum
    Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University Downloads View citations (4)
    See also Journal Article Nonstationary discrete choice: A corrigendum and addendum, Journal of Econometrics, Elsevier (2007) Downloads View citations (10) (2007)
  4. Optimal Bandwidth Selection in Heteroskedasticity-Autocorrelation Robust Testing∗
    University of California at San Diego, Economics Working Paper Series, Department of Economics, UC San Diego Downloads View citations (1)

2004

  1. Consistent HAC Estimation and Robust Regression Testing Using Sharp Origin Kernels with No Truncation
    Yale School of Management Working Papers, Yale School of Management Downloads
    Also in Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University (2003) Downloads View citations (12)
    Econometric Society 2004 North American Winter Meetings, Econometric Society (2004) Downloads
    University of California at San Diego, Economics Working Paper Series, Department of Economics, UC San Diego (2004) Downloads
  2. Long Run Variance Estimation Using Steep Origin Kernels Without Truncation
    Yale School of Management Working Papers, Yale School of Management Downloads
    Also in Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University (2003) Downloads View citations (4)
  3. Spectral Density Estimation and Robust Hypothesis Testing Using Steep Origin Kernels Without Truncation
    University of California at San Diego, Economics Working Paper Series, Department of Economics, UC San Diego Downloads
    See also Journal Article SPECTRAL DENSITY ESTIMATION AND ROBUST HYPOTHESIS TESTING USING STEEP ORIGIN KERNELS WITHOUT TRUNCATION, International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association (2006) View citations (30) (2006)

2002

  1. The KPSS Test with Seasonal Dummies
    Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University Downloads View citations (11)
    See also Journal Article The KPSS test with seasonal dummies, Economics Letters, Elsevier (2002) Downloads View citations (12) (2002)

Journal Articles

2023

  1. Robust forecast superiority testing with an application to assessing pools of expert forecasters
    Journal of Applied Econometrics, 2023, 38, (4), 596-622 Downloads

2021

  1. BUSINESS CYCLES, TREND ELIMINATION, AND THE HP FILTER
    International Economic Review, 2021, 62, (2), 469-520 Downloads View citations (15)
    See also Working Paper Business Cycles, Trend Elimination, and the HP Filter, Cowles Foundation Discussion Papers (2015) Downloads View citations (37) (2015)
  2. Nonstationary panel models with latent group structures and cross-section dependence
    Journal of Econometrics, 2021, 221, (1), 198-222 Downloads View citations (9)
    See also Working Paper Nonstationary Panel Models with Latent Group Structures and Cross-Section Dependence, Economics and Statistics Working Papers (2020) Downloads View citations (3) (2020)
  3. On factor models with random missing: EM estimation, inference, and cross validation
    Journal of Econometrics, 2021, 222, (1), 745-777 Downloads View citations (15)
    See also Working Paper On Factor Models with Random Missing: EM Estimation, Inference, and Cross Validation, Economics and Statistics Working Papers (2019) Downloads View citations (10) (2019)

2020

  1. IDENTIFYING LATENT GROUPED PATTERNS IN COINTEGRATED PANELS
    Econometric Theory, 2020, 36, (3), 410-456 Downloads View citations (8)
    See also Working Paper Identifying Latent Grouped Patterns in Cointegrated Panels, Economics and Statistics Working Papers (2018) Downloads View citations (2) (2018)

2019

  1. Sieve Estimation of Time-Varying Panel Data Models With Latent Structures
    Journal of Business & Economic Statistics, 2019, 37, (2), 334-349 Downloads View citations (30)

2017

  1. ROBUST FORECAST COMPARISON
    Econometric Theory, 2017, 33, (6), 1306-1351 Downloads View citations (9)
    See also Working Paper Robust Forecast Comparison, Departmental Working Papers (2015) Downloads View citations (1) (2015)

2015

  1. ADAPTIVE NONPARAMETRIC REGRESSION WITH CONDITIONAL HETEROSKEDASTICITY
    Econometric Theory, 2015, 31, (6), 1153-1191 Downloads View citations (4)
  2. Nonparametric testing for anomaly effects in empirical asset pricing models
    Empirical Economics, 2015, 48, (1), 9-36 Downloads View citations (1)
    See also Working Paper Nonparametric Testing for Anomaly Effects in Empirical Asset Pricing Models, Working Papers (2014) Downloads (2014)
  3. Specification test for panel data models with interactive fixed effects
    Journal of Econometrics, 2015, 186, (1), 222-244 Downloads View citations (31)
    See also Working Paper Specification Test for Panel Data Models with Interactive Fixed Effects, Working Papers (2014) Downloads View citations (3) (2014)

2014

  1. Robustify Financial Time Series Forecasting with Bagging
    Econometric Reviews, 2014, 33, (5-6), 575-605 Downloads View citations (17)
  2. Testing the Martingale Hypothesis
    Journal of Business & Economic Statistics, 2014, 32, (4), 537-554 Downloads View citations (8)
    See also Working Paper Testing the Martingale Hypothesis, Cowles Foundation Discussion Papers (2013) Downloads View citations (1) (2013)

2013

  1. A Nonparametric Poolability Test for Panel Data Models with Cross Section Dependence
    Econometric Reviews, 2013, 32, (4), 469-512 Downloads View citations (12)

2012

  1. Sieve estimation of panel data models with cross section dependence
    Journal of Econometrics, 2012, 169, (1), 34-47 Downloads View citations (60)

2011

  1. POWER MAXIMIZATION AND SIZE CONTROL IN HETEROSKEDASTICITY AND AUTOCORRELATION ROBUST TESTS WITH EXPONENTIATED KERNELS
    Econometric Theory, 2011, 27, (6), 1320-1368 Downloads View citations (12)
    See also Working Paper Power Maximization and Size Control in Heteroskedasticity and Autocorrelation Robust Tests with Exponentiated Kernels, Cowles Foundation Discussion Papers (2010) Downloads (2010)

2010

  1. Profile quasi-maximum likelihood estimation of partially linear spatial autoregressive models
    Journal of Econometrics, 2010, 157, (1), 18-33 Downloads View citations (57)

2009

  1. Discrete choice modeling with nonstationary panels applied to exchange rate regime choice
    Journal of Econometrics, 2009, 150, (2), 312-321 Downloads View citations (2)

2008

  1. Optimal Bandwidth Selection in Heteroskedasticity-Autocorrelation Robust Testing
    Econometrica, 2008, 76, (1), 175-194 Downloads View citations (118)
    See also Working Paper Optimal Bandwidth Selection in Heteroskedasticity-Autocorrelation Robust Testing, Cowles Foundation Discussion Papers (2006) Downloads View citations (3) (2006)

2007

  1. Forecasting the car penetration rate (CPR) in China: a nonparametric approach
    Applied Economics, 2007, 39, (17), 2189-2195 Downloads
  2. Nonstationary discrete choice: A corrigendum and addendum
    Journal of Econometrics, 2007, 141, (2), 1115-1130 Downloads View citations (10)
    See also Working Paper Nonstationary Discrete Choice: A Corrigendum and Addendum, Cowles Foundation Discussion Papers (2005) Downloads View citations (4) (2005)

2006

  1. A new approach to robust inference in cointegration
    Economics Letters, 2006, 91, (2), 300-306 Downloads View citations (7)
    See also Working Paper A New Approach to Robust Inference in Cointegration, Cowles Foundation Discussion Papers (2005) Downloads (2005)
  2. SPECTRAL DENSITY ESTIMATION AND ROBUST HYPOTHESIS TESTING USING STEEP ORIGIN KERNELS WITHOUT TRUNCATION
    International Economic Review, 2006, 47, (3), 837-894 View citations (30)
    See also Working Paper Spectral Density Estimation and Robust Hypothesis Testing Using Steep Origin Kernels Without Truncation, University of California at San Diego, Economics Working Paper Series (2004) Downloads (2004)
  3. The Rise in House Prices in China: Bubbles or Fundamentals?
    Economics Bulletin, 2006, 3, (7), 1-8 Downloads View citations (8)

2005

  1. A Bootstrap Test for Conditional Symmetry
    Annals of Economics and Finance, 2005, 6, (2), 251-261 Downloads View citations (1)

2002

  1. The KPSS test with seasonal dummies
    Economics Letters, 2002, 77, (2), 239-243 Downloads View citations (12)
    See also Working Paper The KPSS Test with Seasonal Dummies, Cowles Foundation Discussion Papers (2002) Downloads View citations (11) (2002)
 
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