Details about Zhijie Xiao

Access statistics for papers by Zhijie Xiao.

Last updated 2009-10-16. Update your information in the RePEc Author Service.

Short-id: pxi26

Working Papers

2009

1. Conditional Quantile Estimation for GARCH Models
   Boston College Working Papers in Economics, Boston College Department of Economics
2. Quantile Cointegrating Regression
   Boston College Working Papers in Economics, Boston College Department of Economics
3. Tests for Changing Mean with Monotonic Power
   Boston College Working Papers in Economics, Boston College Department of Economics

2008

4. Copula-Based Nonlinear Quantile Autoregression
   Boston College Working Papers in Economics, Boston College Department of Economics

2006

5. Testing Covariance Stationarity
   Economics Working Papers (Ensaios Economicos da EPGE), Graduate School of Economics, Getulio Vargas Foundation (Brazil)

2004

6. Do shocks permanently change output? Local persistency in economic time series
   Economics Working Papers (Ensaios Economicos da EPGE), Graduate School of Economics, Getulio Vargas Foundation (Brazil)
7. Purchasing power parity and the unit root tests: A robust analysis
   Economics Working Papers (Ensaios Economicos da EPGE), Graduate School of Economics, Getulio Vargas Foundation (Brazil) View citations
8. Robustness of stationary tests under long-memory alternatives
   Economics Working Papers (Ensaios Economicos da EPGE), Graduate School of Economics, Getulio Vargas Foundation (Brazil)
9. SMOOTH TEST FOR TESTING EQUALITY OF TWO DENSITIES
   Econometric Society 2004 Far Eastern Meetings, Econometric Society
10. Testing Unit Root Based on Partially Adaptive Estimation
    Econometric Society 2004 Latin American Meetings, Econometric Society
    Also in Economics Working Papers (Ensaios Economicos da EPGE), Graduate School of Economics, Getulio Vargas Foundation (Brazil) (2004)

2002

11. Efficient Regression in Time Series Partial Linear Models
    Cowles Foundation Discussion Papers, Cowles Foundation, Yale University View citations
12. More Efficient Kernel Estimation in Nonparametric Regression with Autocorrelated Errors
    STICERD - Econometrics Paper Series, Suntory and Toyota International Centres for Economics and Related Disciplines, LSE View citations
    Also in Cowles Foundation Discussion Papers, Cowles Foundation, Yale University (2002) View citations
13. Partially Linear Models with Unit Roots
    Cowles Foundation Discussion Papers, Cowles Foundation, Yale University View citations

2001

14. A CUSUM Test for Cointegration Using Regression Residuals
    Cowles Foundation Discussion Papers, Cowles Foundation, Yale University View citations
    See also Journal Article in Journal of Econometrics (2002)
15. A Nonparametric Regression Estimator that Adapts to Error Distribution of Unknown Form
    STICERD - Econometrics Paper Series, Suntory and Toyota International Centres for Economics and Related Disciplines, LSE
    Also in Working Papers, Humboldt University, Sonderforschungsbereich 373 View citations

2000

16. N-Consistent Semiparametric Regression: Partially Linear Models with Unit Roots
    Econometric Society World Congress 2000 Contributed Papers, Econometric Society

1998

17. A Primer on Unit Root Testing
    Cowles Foundation Discussion Papers, Cowles Foundation, Yale University View citations
    See also Journal Article in Journal of Economic Surveys (1998)
18. Higher Order Approximations for Wald Statistics in Cointegrating Regressions
    Cowles Foundation Discussion Papers, Cowles Foundation, Yale University
19. How to Estimate Autoregressive Roots Near Unity
    Cowles Foundation Discussion Papers, Cowles Foundation, Yale University View citations

1997

20. An ADF Coefficient Test for a Unit Root in ARMA Models of Unknown Order with Empirical Applications to the U.S. Economy
    Cowles Foundation Discussion Papers, Cowles Foundation, Yale University View citations

Journal Articles

2007

1. Do shocks last forever? Local persistency in economic time series
   Journal of Macroeconomics, 2007, 29, (1), 103-122 View citations

2006

2. Quantile Autoregression
   Journal of the American Statistical Association, 2006, 101, 980-990 View citations
3. Rejoinder
   Journal of the American Statistical Association, 2006, 101, 1002-1006

2005

4. A nonparametric test for changing trends
   Journal of Econometrics, 2005, 127, (2), 179-199 View citations
5. Testing for cointegration using partially linear models
   Journal of Econometrics, 2005, 124, (2), 363-394

2004

6. Estimating average economic growth in time series data with persistency
   Journal of Macroeconomics, 2004, 26, (4), 699-724
7. Unit Root Quantile Autoregression Inference
   Journal of the American Statistical Association, 2004, 99, 775-787 View citations

2003

8. More Efficient Local Polynomial Estimation in Nonparametric Regression With Autocorrelated Errors
   Journal of the American Statistical Association, 2003, 98, 980-992 View citations
9. Note on bandwidth selection in testing for long range dependence
   Economics Letters, 2003, 78, (1), 33-39 View citations

2002

10. A CUSUM test for cointegration using regression residuals
    Journal of Econometrics, 2002, 108, (1), 43-61 View citations
    See also Working Paper (2001)
11. A generalized partially linear model of asymmetric volatility
    Journal of Empirical Finance, 2002, 9, (3), 287-319 View citations
12. Higher order approximations for Wald statistics in time series regressions with integrated processes
    Journal of Econometrics, 2002, 108, (1), 157-198 View citations
13. Inference on the Quantile Regression Process
    Econometrica, 2002, 70, (4), 1583-1612 View citations

1999

14. A residual based test for the null hypothesis of cointegration
    Economics Letters, 1999, 64, (2), 133-141 View citations

1998

15. A Primer on Unit Root Testing
    Journal of Economic Surveys, 1998, 12, (5), 423-69 View citations
    See also Working Paper (1998)
16. Higher-order approximations for frequency domain time series regression
    Journal of Econometrics, 1998, 86, (2), 297-336 View citations