Details about Yixiao Sun

Access statistics for papers by Yixiao Sun.

Last updated 2023-02-24. Update your information in the RePEc Author Service.

Short-id: psu5

Working Papers

2025

1. Asymptotic F and t Tests in Cointegrating Regressions with Asymptotically Homogeneous Functions
   Working papers, University of Connecticut, Department of Economics

2019

2. A Simple Asymptotically F-Distributed Portmanteau Test for Time Series Models with Uncorrelated Innovations
   Working Papers, Wang Yanan Institute for Studies in Economics (WISE), Xiamen University
3. A Simple and Trustworthy Asymptotic t Test in Difference-in-Differences Regressions
   University of California at San Diego, Economics Working Paper Series, Department of Economics, UC San Diego View citations (3)
   See also Journal Article A simple and trustworthy asymptotic t test in difference-in-differences regressions, Journal of Econometrics, Elsevier (2019) View citations (3) (2019)
4. An Asymptotic F Test for Uncorrelatedness in the Presence of Time Series Dependence
   Working Papers, Wang Yanan Institute for Studies in Economics (WISE), Xiamen University View citations (2)
5. An Asymptotically F-Distributed Chow Test in the Presence of Heteroscedasticity and Autocorrelation
   Papers, arXiv.org
6. Asymptotic F Tests under Possibly Weak Identification
   University of California at San Diego, Economics Working Paper Series, Department of Economics, UC San Diego View citations (2)
   Also in Working Papers, Wang Yanan Institute for Studies in Economics (WISE), Xiamen University (2019) View citations (1)

2018

7. Does urban-rural income inequality increase agricultural fertilizer or pesticide use? A provincial panel data analysis in China
   2018 Conference, July 28-August 2, 2018, Vancouver, British Columbia, International Association of Agricultural Economists
8. Heteroscedasticity and Autocorrelation Robust F and t Tests in Stata
   University of California at San Diego, Economics Working Paper Series, Department of Economics, UC San Diego View citations (2)
   See also Journal Article Heteroskedasticity- and autocorrelation-robust F and t tests in Stata, Stata Journal, StataCorp LLC (2018) View citations (2) (2018)
9. Testing for Moderate Explosiveness in the Presence of Drift
   University of California at San Diego, Economics Working Paper Series, Department of Economics, UC San Diego

2017

10. Simple, Robust, and Accurate F and t Tests in Cointegrated Systems
    University of California at San Diego, Economics Working Paper Series, Department of Economics, UC San Diego View citations (4)
    Also in University of California at San Diego, Economics Working Paper Series, Department of Economics, UC San Diego (2016) View citations (1)
    See also Journal Article SIMPLE, ROBUST, AND ACCURATE F AND t TESTS IN COINTEGRATED SYSTEMS, Econometric Theory, Cambridge University Press (2018) View citations (7) (2018)

2016

11. A Fixed-bandwidth View of the Pre-asymptotic Inference for Kernel Smoothing with Time Series Data
    University of California at San Diego, Economics Working Paper Series, Department of Economics, UC San Diego
    Also in Working Papers, Toronto Metropolitan University, Department of Economics (2015) View citations (3)
    See also Journal Article A fixed-bandwidth view of the pre-asymptotic inference for kernel smoothing with time series data, Journal of Econometrics, Elsevier (2017) View citations (5) (2017)
12. Smoothed estimating equations for instrumental variables quantile regression
    Papers, arXiv.org View citations (4)
    Also in Working Papers, Department of Economics, University of Missouri (2013) View citations (12)
    University of California at San Diego, Economics Working Paper Series, Department of Economics, UC San Diego (2012) View citations (3)
    See also Journal Article SMOOTHED ESTIMATING EQUATIONS FOR INSTRUMENTAL VARIABLES QUANTILE REGRESSION, Econometric Theory, Cambridge University Press (2017) View citations (49) (2017)

2015

13. Asymptotic F and t Tests in an Efficient GMM Setting
    University of California at San Diego, Economics Working Paper Series, Department of Economics, UC San Diego View citations (2)
    See also Journal Article Asymptotic F and t tests in an efficient GMM setting, Journal of Econometrics, Elsevier (2017) View citations (13) (2017)
14. Should We Go One Step Further? An Accurate Comparison of One-step and Two-step Procedures in a Generalized Method of Moments Framework
    University of California at San Diego, Economics Working Paper Series, Department of Economics, UC San Diego View citations (17)
    See also Journal Article Should we go one step further? An accurate comparison of one-step and two-step procedures in a generalized method of moments framework, Journal of Econometrics, Elsevier (2018) View citations (31) (2018)

2014

15. Fixed-smoothing Asymptotics and Asymptotic F and t Tests in the Presence of Strong Autocorrelation
    University of California at San Diego, Economics Working Paper Series, Department of Economics, UC San Diego View citations (10)
    See also Chapter Fixed-smoothing Asymptotics and AsymptoticFandtTests in the Presence of Strong Autocorrelation, Advances in Econometrics, Emerald Group Publishing Limited (2014) View citations (6) (2014)

2013

16. A Flexible Nonparametric Test for Conditional Independence
    University of California at San Diego, Economics Working Paper Series, Department of Economics, UC San Diego View citations (3)
    See also Journal Article A FLEXIBLE NONPARAMETRIC TEST FOR CONDITIONAL INDEPENDENCE, Econometric Theory, Cambridge University Press (2016) View citations (13) (2016)
17. Fixed-smoothing Asymptotics in a Two-step GMM Framework
    University of California at San Diego, Economics Working Paper Series, Department of Economics, UC San Diego View citations (3)
18. Let's Fix It: Fixed-b Asymptotics versus Small-b Asymptotics in Heteroscedasticity and Autocorrelation Robust Inference
    University of California at San Diego, Economics Working Paper Series, Department of Economics, UC San Diego View citations (1)
    See also Journal Article Let’s fix it: Fixed-b asymptotics versus small-b asymptotics in heteroskedasticity and autocorrelation robust inference, Journal of Econometrics, Elsevier (2014) View citations (43) (2014)

2012

19. Asymptotic F Test in a GMM Framework with Cross Sectional Dependence
    Working Papers, Toronto Metropolitan University, Department of Economics View citations (1)
    See also Journal Article Asymptotic F-Test in a GMM Framework with Cross-Sectional Dependence, The Review of Economics and Statistics, MIT Press (2015) View citations (12) (2015)
20. Sieve Inference on Semi-nonparametric Time Series Models
    Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University View citations (9)
    Also in CeMMAP working papers, Centre for Microdata Methods and Practice, Institute for Fiscal Studies (2012) View citations (8)

2011

21. A New Asymptotic Theory for Vector Autoregressive Long-run Variance Estimation and Autocorrelation Robust Testing
    University of California at San Diego, Economics Working Paper Series, Department of Economics, UC San Diego View citations (5)
22. Heteroskedasticity and Spatiotemporal Dependence Robust Inference for Linear Panel Models with Fixed Effects
    Working Papers, Toronto Metropolitan University, Department of Economics View citations (1)
    See also Journal Article Heteroskedasticity and spatiotemporal dependence robust inference for linear panel models with fixed effects, Journal of Econometrics, Elsevier (2013) View citations (37) (2013)

2010

23. 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 POWER MAXIMIZATION AND SIZE CONTROL IN HETEROSKEDASTICITY AND AUTOCORRELATION ROBUST TESTS WITH EXPONENTIATED KERNELS, Econometric Theory, Cambridge University Press (2011) View citations (12) (2011)

2009

24. k-step Bootstrap Bias Correction for Fixed Effects Estimators in Nonlinear Panel Models
    University of California at San Diego, Economics Working Paper Series, Department of Economics, UC San Diego View citations (1)

2008

25. Optimal Bandwidth Choice for Interval Estimation in GMM Regression
    Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University View citations (4)

2006

26. Optimal Bandwidth Selection in Heteroskedasticity-Autocorrelation Robust Testing
    Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University View citations (3)
    See also Journal Article Optimal Bandwidth Selection in Heteroskedasticity-Autocorrelation Robust Testing, Econometrica, Econometric Society (2008) View citations (119) (2008)

2005

27. A New Approach to Robust Inference in Cointegration
    Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University
    See also Journal Article A new approach to robust inference in cointegration, Economics Letters, Elsevier (2006) View citations (7) (2006)
28. Adaptive Estimation of the Regression Discontinuity Model
    Econometrics, University Library of Munich, Germany View citations (14)
29. 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 (18)
30. Improved HAR Inference
    Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University View citations (3)
31. Optimal Bandwidth Selection in Heteroskedasticity-Autocorrelation Robust Testing∗
    University of California at San Diego, Economics Working Paper Series, Department of Economics, UC San Diego View citations (1)

2004

32. 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 View citations (2)
    See also Journal Article BIAS-REDUCED LOG-PERIODOGRAM AND WHITTLE ESTIMATION OF THE LONG-MEMORY PARAMETER WITHOUT VARIANCE INFLATION, Econometric Theory, Cambridge University Press (2006) View citations (10) (2006)
33. Consistent HAC Estimation and Robust Regression Testing Using Sharp Origin Kernels with No Truncation
    University of California at San Diego, Economics Working Paper Series, Department of Economics, UC San Diego
    Also in Yale School of Management Working Papers, Yale School of Management (2004)
    Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University (2003) View citations (12)
    Econometric Society 2004 North American Winter Meetings, Econometric Society (2004)
34. 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 (4)
35. 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 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)

2003

36. 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 A CONVERGENT t-STATISTIC IN SPURIOUS REGRESSIONS, Econometric Theory, Cambridge University Press (2004) View citations (29) (2004)
37. 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 ESTIMATION OF THE LONG-RUN AVERAGE RELATIONSHIP IN NONSTATIONARY PANEL TIME SERIES, Econometric Theory, Cambridge University Press (2004) View citations (5) (2004)
38. 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

39. 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 Adaptive Local Polynomial Whittle Estimation of Long-range Dependence, Econometrica, Econometric Society (2004) View citations (80) (2004)
40. 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 Nonlinear log-periodogram regression for perturbed fractional processes, Journal of Econometrics, Elsevier (2003) View citations (59) (2003)

2001

41. Local Polynomial Whittle Estimation of Long-range Dependence
    Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University View citations (11)

Journal Articles

2019

1. A simple and trustworthy asymptotic t test in difference-in-differences regressions
   Journal of Econometrics, 2019, 210, (2), 327-362 View citations (3)
   See also Working Paper A Simple and Trustworthy Asymptotic t Test in Difference-in-Differences Regressions, University of California at San Diego, Economics Working Paper Series (2019) View citations (3) (2019)
2. Testing for moderate explosiveness
   The Econometrics Journal, 2019, 22, (1), 73-95 View citations (5)

2018

3. Comment
   Journal of Business & Economic Statistics, 2018, 36, (4), 565-568
4. Heteroskedasticity- and autocorrelation-robust F and t tests in Stata
   Stata Journal, 2018, 18, (4), 951-980 View citations (2)
   See also Working Paper Heteroscedasticity and Autocorrelation Robust F and t Tests in Stata, University of California at San Diego, Economics Working Paper Series (2018) View citations (2) (2018)
5. SIMPLE, ROBUST, AND ACCURATE F AND t TESTS IN COINTEGRATED SYSTEMS
   Econometric Theory, 2018, 34, (5), 949-984 View citations (7)
   See also Working Paper Simple, Robust, and Accurate F and t Tests in Cointegrated Systems, University of California at San Diego, Economics Working Paper Series (2017) View citations (4) (2017)
6. Should we go one step further? An accurate comparison of one-step and two-step procedures in a generalized method of moments framework
   Journal of Econometrics, 2018, 207, (2), 381-405 View citations (31)
   See also Working Paper Should We Go One Step Further? An Accurate Comparison of One-step and Two-step Procedures in a Generalized Method of Moments Framework, University of California at San Diego, Economics Working Paper Series (2015) View citations (17) (2015)

2017

7. A fixed-bandwidth view of the pre-asymptotic inference for kernel smoothing with time series data
   Journal of Econometrics, 2017, 197, (2), 298-322 View citations (5)
   See also Working Paper A Fixed-bandwidth View of the Pre-asymptotic Inference for Kernel Smoothing with Time Series Data, University of California at San Diego, Economics Working Paper Series (2016) (2016)
8. Asymptotic F and t tests in an efficient GMM setting
   Journal of Econometrics, 2017, 198, (2), 277-295 View citations (13)
   See also Working Paper Asymptotic F and t Tests in an Efficient GMM Setting, University of California at San Diego, Economics Working Paper Series (2015) View citations (2) (2015)
9. SMOOTHED ESTIMATING EQUATIONS FOR INSTRUMENTAL VARIABLES QUANTILE REGRESSION
   Econometric Theory, 2017, 33, (1), 105-157 View citations (49)
   See also Working Paper Smoothed estimating equations for instrumental variables quantile regression, Papers (2016) View citations (4) (2016)

2016

10. A FLEXIBLE NONPARAMETRIC TEST FOR CONDITIONAL INDEPENDENCE
    Econometric Theory, 2016, 32, (6), 1434-1482 View citations (13)
    See also Working Paper A Flexible Nonparametric Test for Conditional Independence, University of California at San Diego, Economics Working Paper Series (2013) View citations (3) (2013)
11. BOOTSTRAP AND k-STEP BOOTSTRAP BIAS CORRECTIONS FOR THE FIXED EFFECTS ESTIMATOR IN NONLINEAR PANEL DATA MODELS
    Econometric Theory, 2016, 32, (6), 1523-1568 View citations (14)

2015

12. Asymptotic F-Test in a GMM Framework with Cross-Sectional Dependence
    The Review of Economics and Statistics, 2015, 97, (1), 210-233 View citations (12)
    See also Working Paper Asymptotic F Test in a GMM Framework with Cross Sectional Dependence, Working Papers (2012) View citations (1) (2012)

2014

13. Comment
    Journal of Business & Economic Statistics, 2014, 32, (3), 330-334
14. Fixed‐Smoothing Asymptotics in a Two‐Step Generalized Method of Moments Framework
    Econometrica, 2014, 82, 2327-2370 View citations (18)
15. Let’s fix it: Fixed-b asymptotics versus small-b asymptotics in heteroskedasticity and autocorrelation robust inference
    Journal of Econometrics, 2014, 178, (P3), 659-677 View citations (43)
    See also Working Paper Let's Fix It: Fixed-b Asymptotics versus Small-b Asymptotics in Heteroscedasticity and Autocorrelation Robust Inference, University of California at San Diego, Economics Working Paper Series (2013) View citations (1) (2013)
16. Sieve inference on possibly misspecified semi-nonparametric time series models
    Journal of Econometrics, 2014, 178, (P3), 639-658 View citations (41)

2013

17. A heteroskedasticity and autocorrelation robust F test using an orthonormal series variance estimator
    Econometrics Journal, 2013, 16, (1), 1-26 View citations (53)
18. Heteroskedasticity and spatiotemporal dependence robust inference for linear panel models with fixed effects
    Journal of Econometrics, 2013, 177, (1), 85-108 View citations (37)
    See also Working Paper Heteroskedasticity and Spatiotemporal Dependence Robust Inference for Linear Panel Models with Fixed Effects, Working Papers (2011) View citations (1) (2011)

2012

19. Simple and powerful GMM over-identification tests with accurate size
    Journal of Econometrics, 2012, 166, (2), 267-281 View citations (17)

2011

20. Asymptotic distributions of impulse response functions in short panel vector autoregressions
    Journal of Econometrics, 2011, 163, (2), 127-143 View citations (5)
21. POWER MAXIMIZATION AND SIZE CONTROL IN HETEROSKEDASTICITY AND AUTOCORRELATION ROBUST TESTS WITH EXPONENTIATED KERNELS
    Econometric Theory, 2011, 27, (6), 1320-1368 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) (2010)
22. Robust trend inference with series variance estimator and testing-optimal smoothing parameter
    Journal of Econometrics, 2011, 164, (2), 345-366 View citations (40)
23. Spatial heteroskedasticity and autocorrelation consistent estimation of covariance matrix
    Journal of Econometrics, 2011, 160, (2), 349-371 View citations (41)

2008

24. Optimal Bandwidth Selection in Heteroskedasticity-Autocorrelation Robust Testing
    Econometrica, 2008, 76, (1), 175-194 View citations (119)
    See also Working Paper Optimal Bandwidth Selection in Heteroskedasticity-Autocorrelation Robust Testing, Cowles Foundation Discussion Papers (2006) View citations (3) (2006)

2007

25. The Tobit model with a non-zero threshold
    Econometrics Journal, 2007, 10, (3), 488-502 View citations (155)

2006

26. A new approach to robust inference in cointegration
    Economics Letters, 2006, 91, (2), 300-306 View citations (7)
    See also Working Paper A New Approach to Robust Inference in Cointegration, Cowles Foundation Discussion Papers (2005) (2005)
27. BIAS-REDUCED LOG-PERIODOGRAM AND WHITTLE ESTIMATION OF THE LONG-MEMORY PARAMETER WITHOUT VARIANCE INFLATION
    Econometric Theory, 2006, 22, (5), 863-912 View citations (10)
    See also Working Paper 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 (2004) View citations (2) (2004)
28. 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) (2004)
29. Spurious regressions between stationary generalized long memory processes
    Economics Letters, 2006, 90, (3), 446-454 View citations (12)

2004

30. A CONVERGENT t-STATISTIC IN SPURIOUS REGRESSIONS
    Econometric Theory, 2004, 20, (5), 943-962 View citations (29)
    See also Working Paper A Convergent t-statistic in Spurious Regressions, University of California at San Diego, Economics Working Paper Series (2003) (2003)
31. Adaptive Local Polynomial Whittle Estimation of Long-range Dependence
    Econometrica, 2004, 72, (2), 569-614 View citations (80)
    See also Working Paper Adaptive Local Polynomial Whittle Estimation of Long-Range Dependence, University of California at San Diego, Economics Working Paper Series (2002) View citations (2) (2002)
32. ESTIMATION OF THE LONG-RUN AVERAGE RELATIONSHIP IN NONSTATIONARY PANEL TIME SERIES
    Econometric Theory, 2004, 20, (6), 1227-1260 View citations (5)
    See also Working Paper Estimation of the Long-run Average Relationship in Nonstationary Panel Time Series, University of California at San Diego, Economics Working Paper Series (2003) (2003)

2003

33. 02.3.1. Regression with an Evaporating Logarithmic Trend— Solution
    Econometric Theory, 2003, 19, (4), 692-701 View citations (1)
34. Nonlinear log-periodogram regression for perturbed fractional processes
    Journal of Econometrics, 2003, 115, (2), 355-389 View citations (59)
    See also Working Paper Nonlinear Log-Periodogram Regression for Perturbed Fractional Processes, Cowles Foundation Discussion Papers (2002) View citations (1) (2002)

Chapters

2014

1. Fixed-smoothing Asymptotics and AsymptoticFandtTests in the Presence of Strong Autocorrelation
   A chapter in Essays in Honor of Peter C. B. Phillips, 2014, vol. 14, pp 23-63 View citations (6)
   See also Working Paper Fixed-smoothing Asymptotics and Asymptotic F and t Tests in the Presence of Strong Autocorrelation, Department of Economics, UC San Diego (2014) View citations (10) (2014)