Details about Yixiao Sun

Access statistics for papers by Yixiao Sun.

Last updated 2012-10-24. Update your information in the RePEc Author Service.

Short-id: psu5

Working Papers

2012

1. Asymptotic F Test in a GMM Framework with Cross Sectional Dependence
   Working Papers, Ryerson University, Department of Economics
2. Sieve Inference on Semi-nonparametric Time Series Models
   Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University
   Also in CeMMAP working papers, Centre for Microdata Methods and Practice, Institute for Fiscal Studies (2012)

2011

3. Heteroskedasticity and Spatiotemporal Dependence Robust Inference for Linear Panel Models with Fixed Effects
   Working Papers, Ryerson University, Department of Economics

2010

4. 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
   See also Journal Article in Econometric Theory (2011)

2008

5. Optimal Bandwidth Choice for Interval Estimation in GMM Regression
   Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University View citations (2)

2006

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

2005

7. A New Approach to Robust Inference in Cointegration
   Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University
   See also Journal Article in Economics Letters (2006)
8. Adaptive Estimation of the Regression Discontinuity Model
   Econometrics, EconWPA View citations (3)
9. Estimation and Inference in Panel Structure Models
   University of California at San Diego, Economics Working Paper Series, Department of Economics, UC San Diego View citations (1)
10. Improved HAR Inference
    Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University View citations (1)
11. Optimal Bandwidth Selection in Heteroskedasticity-Autocorrelation Robust Testing∗
    University of California at San Diego, Economics Working Paper Series, Department of Economics, UC San Diego

2004

12. Bias-Reduced Log-Periodogram and Whittle Estimation of the Long-Memory Parameter Without Variance Inflation
    University of California at San Diego, Economics Working Paper Series, Department of Economics, UC San Diego
    See also Journal Article in Econometric Theory (2006)
13. Consistent HAC Estimation and Robust Regression Testing Using Sharp Origin Kernels with No Truncation
    Econometric Society 2004 North American Winter Meetings, Econometric Society
    Also in Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University (2003) View citations (6)
    University of California at San Diego, Economics Working Paper Series, Department of Economics, UC San Diego (2004)
    Yale School of Management Working Papers, Yale School of Management (2004)
14. Long Run Variance Estimation Using Steep Origin Kernels Without Truncation
    Yale School of Management Working Papers, Yale School of Management
    Also in Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University (2003) View citations (3)
15. 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
    See also Journal Article in International Economic Review (2006)

2003

16. A Convergent t-statistic in Spurious Regressions
    University of California at San Diego, Economics Working Paper Series, Department of Economics, UC San Diego
    See also Journal Article in Econometric Theory (2004)
17. Estimation of the Long-run Average Relationship in Nonstationary Panel Time Series
    University of California at San Diego, Economics Working Paper Series, Department of Economics, UC San Diego
    See also Journal Article in Econometric Theory (2004)
18. Spurious Regressions with Stationary Gegenbauer Processes and Harmonic Processes
    University of California at San Diego, Economics Working Paper Series, Department of Economics, UC San Diego View citations (1)

2002

19. Adaptive Local Polynomial Whittle Estimation of Long-Range Dependence
    University of California at San Diego, Economics Working Paper Series, Department of Economics, UC San Diego View citations (2)
    Also in Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University (2002) View citations (3)
    See also Journal Article in Econometrica (2004)
20. Nonlinear Log-Periodogram Regression for Perturbed Fractional Processes
    Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University View citations (1)
    See also Journal Article in Journal of Econometrics (2003)

2001

21. Local Polynomial Whittle Estimation of Long-range Dependence
    Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University View citations (8)

Journal Articles

2012

1. Simple and powerful GMM over-identification tests with accurate size
   Journal of Econometrics, 2012, 166, (2), 267-281

2011

2. Asymptotic distributions of impulse response functions in short panel vector autoregressions
   Journal of Econometrics, 2011, 163, (2), 127-143 View citations (1)
3. POWER MAXIMIZATION AND SIZE CONTROL IN HETEROSKEDASTICITY AND AUTOCORRELATION ROBUST TESTS WITH EXPONENTIATED KERNELS
   Econometric Theory, 2011, 27, (06), 1320-1368
   See also Working Paper (2010)
4. Robust trend inference with series variance estimator and testing-optimal smoothing parameter
   Journal of Econometrics, 2011, 164, (2), 345-366 View citations (5)
5. Spatial heteroskedasticity and autocorrelation consistent estimation of covariance matrix
   Journal of Econometrics, 2011, 160, (2), 349-371 View citations (6)

2008

6. Optimal Bandwidth Selection in Heteroskedasticity-Autocorrelation Robust Testing
   Econometrica, 2008, 76, (1), 175-194 View citations (7)
   See also Working Paper (2006)

2007

7. The Tobit model with a non-zero threshold
   Econometrics Journal, 2007, 10, (3), 488-502 View citations (5)

2006

8. A new approach to robust inference in cointegration
   Economics Letters, 2006, 91, (2), 300-306
   See also Working Paper (2005)
9. BIAS-REDUCED LOG-PERIODOGRAM AND WHITTLE ESTIMATION OF THE LONG-MEMORY PARAMETER WITHOUT VARIANCE INFLATION
   Econometric Theory, 2006, 22, (05), 863-912 View citations (2)
   See also Working Paper (2004)
10. SPECTRAL DENSITY ESTIMATION AND ROBUST HYPOTHESIS TESTING USING STEEP ORIGIN KERNELS WITHOUT TRUNCATION
    International Economic Review, 2006, 47, (3), 837-894 View citations (11)
    See also Working Paper (2004)
11. Spurious regressions between stationary generalized long memory processes
    Economics Letters, 2006, 90, (3), 446-454 View citations (3)

2004

12. A CONVERGENT t-STATISTIC IN SPURIOUS REGRESSIONS
    Econometric Theory, 2004, 20, (05), 943-962 View citations (8)
    See also Working Paper (2003)
13. Adaptive Local Polynomial Whittle Estimation of Long-range Dependence
    Econometrica, 2004, 72, (2), 569-614 View citations (24)
    See also Working Paper (2002)
14. ESTIMATION OF THE LONG-RUN AVERAGE RELATIONSHIP IN NONSTATIONARY PANEL TIME SERIES
    Econometric Theory, 2004, 20, (06), 1227-1260 View citations (3)
    See also Working Paper (2003)

2003

15. 02.3.1. Regression with an Evaporating Logarithmic Trend Solution
    Econometric Theory, 2003, 19, (04), 692-701 View citations (1)
16. Nonlinear log-periodogram regression for perturbed fractional processes
    Journal of Econometrics, 2003, 115, (2), 355-389 View citations (37)
    See also Working Paper (2002)