Details about Yong Bao

Access statistics for papers by Yong Bao.

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Short-id: pba507

Working Papers

2021

1. Analytical Finite Sample Econometrics-from A.L.Nagar to Now
   Working Papers, University of California at Riverside, Department of Economics View citations (1)
   See also Journal Article Analytical Finite Sample Econometrics: From A. L. Nagar to Now, Journal of Quantitative Economics, Springer (2021) View citations (1) (2021)

2020

2. On the Exact Statistical Distribution of Econometric Estimators and Test Statistics
   Working Papers, University of California at Riverside, Department of Economics

2014

3. Exact Distribution of the Mean Reversion Estimator in the Ornstein-Uhlenbeck Process
   Working Papers, University of California at Riverside, Department of Economics
4. Moment Approximation for Unit Root Models with Nonnormal Errors
   Working Papers, University of California at Riverside, Department of Economics View citations (2)

2013

5. Bias in the Mean Reversion Estimator in Continuous-Time Gaussian and Levy Processes
   Working Papers, Singapore Management University, Sim Kee Boon Institute for Financial Economics
   Also in Working Papers, Singapore Management University, School of Economics (2013) View citations (2)

2009

6. Expectation of Quadratic Forms in Normal and Nonnormal Variables with Econometric Applications
   Working Papers, University of California at Riverside, Department of Economics

Journal Articles

2024

1. A Spatial Sample Selection Model
   Oxford Bulletin of Economics and Statistics, 2024, 86, (4), 928-950
2. Estimating Linear Dynamic Panels with Recentered Moments
   Econometrics, 2024, 12, (1), 1-48
3. Estimating spatial autoregressions under heteroskedasticity without searching for instruments
   Regional Science and Urban Economics, 2024, 106, (C)
4. Machine Learning-Facilitated Policy Intensity Analysis: A Proposed Procedure and Its Application
   Social Indicators Research: An International and Interdisciplinary Journal for Quality-of-Life Measurement, 2024, 174, (3), 881-904

2023

5. Heterogeneous spatial dynamic panels with an application to US housing data
   Spatial Economic Analysis, 2023, 18, (2), 259-285
6. Indirect inference estimation of dynamic panel data models
   Journal of Econometrics, 2023, 235, (2), 1027-1053 View citations (3)
7. Indirect inference estimation of higher-order spatial autoregressive models
   Econometric Reviews, 2023, 42, (3), 247-280 View citations (1)

2021

8. Analytical Finite Sample Econometrics: From A. L. Nagar to Now
   Journal of Quantitative Economics, 2021, 19, (1), 17-37 View citations (1)
   See also Working Paper Analytical Finite Sample Econometrics-from A.L.Nagar to Now, Working Papers (2021) View citations (1) (2021)
9. Estimating a spatial autoregressive model with autoregressive disturbances based on the indirect inference principle
   Spatial Economic Analysis, 2021, 16, (4), 506-529 View citations (1)
10. Indirect Inference Estimation of a First-Order Dynamic Panel Data Model
    Journal of Quantitative Economics, 2021, 19, (1), 79-98 View citations (3)
11. The Special Issue in Honor of Anirudh Lal Nagar: An Introduction
    Journal of Quantitative Economics, 2021, 19, (1), 1-8

2020

12. Indirect Inference Estimation of Spatial Autoregressions
    Econometrics, 2020, 8, (3), 1-26 View citations (2)

2018

13. The asymptotic covariance matrix of the QMLE in ARMA models
    Econometric Reviews, 2018, 37, (4), 309-324 View citations (2)

2017

14. Distribution of the mean reversion estimator in the Ornstein–Uhlenbeck process
    Econometric Reviews, 2017, 36, (6-9), 1039-1056 View citations (5)

2016

15. Are Overall Journal Rankings a Good Mapping for Article Quality in Specialty Fields?
    Journal of Business & Economic Statistics, 2016, 34, (1), 62-67 View citations (8)

2015

16. Bias in the estimation of mean reversion in continuous-time Lévy processes
    Economics Letters, 2015, 134, (C), 16-19 View citations (2)
17. Should We Demean the Data?
    Annals of Economics and Finance, 2015, 16, (1), 163-171 View citations (1)

2014

18. Contributions to Spatial Econometrics
    International Regional Science Review, 2014, 37, (3), 247-250
19. On the Fisher information matrix of a vector ARMA process
    Economics Letters, 2014, 123, (1), 14-16 View citations (5)

2013

20. Estimation Bias and Feasible Conditional Forecasts from the First-Order Moving Average Model
    Journal of Time Series Econometrics, 2013, 6, (1), 63-80
21. FINITE SAMPLE BIAS OF THE QMLE IN SPATIAL AUTOREGRESSIVE MODELS – ERRATUM
    Econometric Theory, 2013, 29, (1), 89-89 View citations (24)
22. FINITE-SAMPLE BIAS OF THE QMLE IN SPATIAL AUTOREGRESSIVE MODELS
    Econometric Theory, 2013, 29, (1), 68-88 View citations (24)
23. On Sample Skewness and Kurtosis
    Econometric Reviews, 2013, 32, (4), 415-448 View citations (9)
24. On existence of moment of mean reversion estimator in linear diffusion models
    Economics Letters, 2013, 120, (2), 146-148 View citations (1)
25. On the moments of ratios of quadratic forms in normal random variables
    Journal of Multivariate Analysis, 2013, 117, (C), 229-245 View citations (5)

2010

26. General-interest versus specialty journals: Using intellectual influence of econometrics research to rank economics journals and articles
    Journal of Applied Econometrics, 2010, 25, (2), 345-353 View citations (9)

2009

27. Borderplex menu evidence for the law of one price: a convergence approach
    Applied Economics Letters, 2009, 16, (17), 1717-1720 View citations (1)
28. Estimation Risk-Adjusted Sharpe Ratio and Fund Performance Ranking under a General Return Distribution
    Journal of Financial Econometrics, 2009, 7, (2), 152-173 View citations (8)
29. FINITE-SAMPLE MOMENTS OF THE COEFFICIENT OF VARIATION
    Econometric Theory, 2009, 25, (1), 291-297 View citations (1)
30. On skewness and kurtosis of econometric estimators
    Econometrics Journal, 2009, 12, (2), 232-247 View citations (4)
31. Testing Convergence in Income Distribution*
    Oxford Bulletin of Economics and Statistics, 2009, 71, (2), 295-302 View citations (8)

2007

32. Comparing density forecast models Previous versions of this paper have been circulated with the title, 'A Test for Density Forecast Comparison with Applications to Risk Management' since October 2003; see Bao et al. (2004)
    Journal of Forecasting, 2007, 26, (3), 203-225 View citations (21)
33. FINITE-SAMPLE PROPERTIES OF FORECASTS FROM THE STATIONARY FIRST-ORDER AUTOREGRESSIVE MODEL UNDER A GENERAL ERROR DISTRIBUTION
    Econometric Theory, 2007, 23, (4), 767-773 View citations (4)
34. Finite sample properties of maximum likelihood estimator in spatial models
    Journal of Econometrics, 2007, 137, (2), 396-413 View citations (42)
35. THE APPROXIMATE MOMENTS OF THE LEAST SQUARES ESTIMATOR FOR THE STATIONARY AUTOREGRESSIVE MODEL UNDER A GENERAL ERROR DISTRIBUTION
    Econometric Theory, 2007, 23, (5), 1013-1021 View citations (27)
36. The second-order bias and mean squared error of estimators in time-series models
    Journal of Econometrics, 2007, 140, (2), 650-669 View citations (66)

2006

37. Evaluating predictive performance of value-at-risk models in emerging markets: a reality check
    Journal of Forecasting, 2006, 25, (2), 101-128 View citations (98)
38. Moments of the estimated Sharpe ratio when the observations are not IID
    Finance Research Letters, 2006, 3, (1), 49-56 View citations (6)

2004

39. Bias of a Value-at-Risk estimator
    Finance Research Letters, 2004, 1, (4), 241-249 View citations (6)
40. Reexamination of Economic Growth, Tax Policy, and Distributive Politics
    Review of Development Economics, 2004, 8, (3), 474-482 View citations (3)

Chapters

2016

1. A Selective Review of Aman Ullah’s Contributions to Econometrics
   A chapter in Essays in Honor of Aman Ullah, 2016, vol. 36, pp 3-43
2. Finite-Sample Bias of the Conditional Gaussian Maximum Likelihood Estimator in ARMA Models
   A chapter in Essays in Honor of Aman Ullah, 2016, vol. 36, pp 207-244

2014

3. Moment Approximation for Least-Squares Estimator in First-Order Regression Models with Unit Root and Nonnormal Errors
   A chapter in Essays in Honor of Peter C. B. Phillips, 2014, vol. 14, pp 65-92 View citations (2)

2006

4. Asymmetric Predictive Abilities of Nonlinear Models for Stock Returns: Evidence from Density Forecast Comparison
   A chapter in Econometric Analysis of Financial and Economic Time Series, 2006, pp 41-62