Details about Zongwu Cai

Access statistics for papers by Zongwu Cai.

Last updated 2024-09-05. Update your information in the RePEc Author Service.

Short-id: pca121

Working Papers

2014

1. Predictive regressions for macroeconomic data
   Papers, arXiv.org View citations (15)

2013

2. A New Forecasting Model for USD/CNY Exchange Rate
   Working Papers, Wang Yanan Institute for Studies in Economics (WISE), Xiamen University View citations (4)
   See also Journal Article A New Forecasting Model for USD/CNY Exchange Rate, Studies in Nonlinear Dynamics & Econometrics, De Gruyter (2012) View citations (11) (2012)
3. A New Test for Superior Predictive Ability
   Working Papers, Wang Yanan Institute for Studies in Economics (WISE), Xiamen University
4. Convergency and Divergency of Functional Coefficient Weak Instrumental Variables Models
   Working Papers, Wang Yanan Institute for Studies in Economics (WISE), Xiamen University
5. Does Relative Risk Aversion Vary with Wealth? Evidence from Households' Portfolio Choice Data
   Departmental Working Papers, Department of Economics, Louisiana State University
6. Effient Estimation of Partially Varying Coefficient Instrumental Variables Models
   Working Papers, Wang Yanan Institute for Studies in Economics (WISE), Xiamen University
7. Functional Coefficient Models for Economic and Financial Data
   Working Papers, Wang Yanan Institute for Studies in Economics (WISE), Xiamen University
8. Nonparametric Estimation Of Varying Coefficient Dynamic Panel Data Models
   Working Papers, Wang Yanan Institute for Studies in Economics (WISE), Xiamen University
   See also Journal Article NONPARAMETRIC ESTIMATION OF VARYING COEFFICIENT DYNAMIC PANEL DATA MODELS, Econometric Theory, Cambridge University Press (2008) View citations (64) (2008)
9. Nonparametric Methods for Estimating Conditional VaR and Expected Shortfall
   Working Papers, Wang Yanan Institute for Studies in Economics (WISE), Xiamen University
10. Nonparametric Quantile Estimations For Dynamic Smooth Coefficient Models
    Working Papers, Wang Yanan Institute for Studies in Economics (WISE), Xiamen University
    See also Journal Article Nonparametric Quantile Estimations for Dynamic Smooth Coefficient Models, Journal of the American Statistical Association, American Statistical Association (2009) View citations (15) (2009)
11. Reducing the Asymptotic Bias of Weak Instruments Estimation Using Independently Repeated Cross-sectional Information
    Working Papers, Wang Yanan Institute for Studies in Economics (WISE), Xiamen University
    See also Journal Article Reducing asymptotic bias of weak instrumental estimation using independently repeated cross-sectional information, Statistics & Probability Letters, Elsevier (2012) View citations (1) (2012)
12. Semiparametric Estimation of Partially Varying-Coefficient
    Working Papers, Wang Yanan Institute for Studies in Economics (WISE), Xiamen University View citations (1)
13. Some Recent Develop- ments on Nonparametric Econometrics
    Working Papers, Wang Yanan Institute for Studies in Economics (WISE), Xiamen University View citations (2)
14. Weak Instrumental Variables Models for Longitudinal Data
    Working Papers, Wang Yanan Institute for Studies in Economics (WISE), Xiamen University View citations (4)

2012

15. Reexamining the Empirical Relevance of Habit Formation Preferences
    MPRA Paper, University Library of Munich, Germany

2010

16. Semiparametric Quantile Regression Estimation in Dynamic Models with Partially Varying Coefficients
    Boston College Working Papers in Economics, Boston College Department of Economics
    See also Journal Article Semiparametric quantile regression estimation in dynamic models with partially varying coefficients, Journal of Econometrics, Elsevier (2012) View citations (52) (2012)

2003

17. Adaptive varying co-efficient linear models
    LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library View citations (45)
    Also in LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library (2000)
    STICERD - Econometrics Paper Series, Suntory and Toyota International Centres for Economics and Related Disciplines, LSE (2000)
    See also Journal Article Adaptive varying‐coefficient linear models, Journal of the Royal Statistical Society Series B, Royal Statistical Society (2003) View citations (77) (2003)
18. Nonparametric Methods in Continuous-Time Finance: A Selective Review
    SFB 373 Discussion Papers, Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes View citations (8)
19. Trending Time-Varying Coefficient Models With Serially Correlated Errors
    SFB 373 Discussion Papers, Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes View citations (1)

2001

20. Smoothing for discrete-valued time series
    LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library View citations (3)
    See also Journal Article Smoothing for discrete‐valued time series, Journal of the Royal Statistical Society Series B, Royal Statistical Society (2001) View citations (2) (2001)

2000

21. Functional-coefficient regression models for nonlinear time series
    LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library View citations (240)

Journal Articles

2014

1. Selection of Mixed Copula Model via Penalized Likelihood
   Journal of the American Statistical Association, 2014, 109, (506), 788-801 View citations (11)
2. Testing predictive regression models with nonstationary regressors
   Journal of Econometrics, 2014, 178, (P1), 4-14 View citations (25)

2012

3. A New Forecasting Model for USD/CNY Exchange Rate
   Studies in Nonlinear Dynamics & Econometrics, 2012, 16, (3), 20 View citations (11)
   See also Working Paper A New Forecasting Model for USD/CNY Exchange Rate, Working Papers (2013) View citations (4) (2013)
4. Partially varying coefficient instrumental variables models
   Statistica Neerlandica, 2012, 66, (2), 85-110 View citations (6)
5. Reducing asymptotic bias of weak instrumental estimation using independently repeated cross-sectional information
   Statistics & Probability Letters, 2012, 82, (1), 180-185 View citations (1)
   See also Working Paper Reducing the Asymptotic Bias of Weak Instruments Estimation Using Independently Repeated Cross-sectional Information, Working Papers (2013) (2013)
6. Semiparametric quantile regression estimation in dynamic models with partially varying coefficients
   Journal of Econometrics, 2012, 167, (2), 413-425 View citations (52)
   See also Working Paper Semiparametric Quantile Regression Estimation in Dynamic Models with Partially Varying Coefficients, Boston College Working Papers in Economics (2010) (2010)

2009

7. Functional-coefficient models for nonstationary time series data
   Journal of Econometrics, 2009, 148, (2), 101-113 View citations (87)
8. Nonparametric Quantile Estimations for Dynamic Smooth Coefficient Models
   Journal of the American Statistical Association, 2009, 104, (485), 371-383 View citations (15)
   Also in Journal of the American Statistical Association, 2008, 103, (484), 1595-1608 (2008) View citations (74)
   See also Working Paper Nonparametric Quantile Estimations For Dynamic Smooth Coefficient Models, Working Papers (2013) (2013)

2008

9. NONPARAMETRIC ESTIMATION OF VARYING COEFFICIENT DYNAMIC PANEL DATA MODELS
   Econometric Theory, 2008, 24, (5), 1321-1342 View citations (64)
   See also Working Paper Nonparametric Estimation Of Varying Coefficient Dynamic Panel Data Models, Working Papers (2013) (2013)
10. Nonparametric estimation of conditional VaR and expected shortfall
    Journal of Econometrics, 2008, 147, (1), 120-130 View citations (51)

2007

11. Trending time-varying coefficient time series models with serially correlated errors
    Journal of Econometrics, 2007, 136, (1), 163-188 View citations (197)

2006

12. Functional coefficient instrumental variables models
    Journal of Econometrics, 2006, 133, (1), 207-241 View citations (42)

2003

13. Adaptive varying‐coefficient linear models
    Journal of the Royal Statistical Society Series B, 2003, 65, (1), 57-80 View citations (77)
    See also Working Paper Adaptive varying co-efficient linear models, LSE Research Online Documents on Economics (2003) View citations (45) (2003)
14. Local Linear Estimation for Time‐Dependent Coefficients in Cox's Regression Models
    Scandinavian Journal of Statistics, 2003, 30, (1), 93-111 View citations (30)
15. Local M-estimator for nonparametric time series
    Statistics & Probability Letters, 2003, 65, (4), 433-449 View citations (15)
16. Nonparametric estimation equations for time series data
    Statistics & Probability Letters, 2003, 62, (4), 379-390 View citations (8)

2002

17. A two–stage approach to additive time series models
    Statistica Neerlandica, 2002, 56, (4), 415-433 View citations (20)
18. REGRESSION QUANTILES FOR TIME SERIES
    Econometric Theory, 2002, 18, (1), 169-192 View citations (83)
19. Two-Step Likelihood Estimation Procedure for Varying-Coefficient Models
    Journal of Multivariate Analysis, 2002, 82, (1), 189-209 View citations (18)

2001

20. Estimating a Distribution Function for Censored Time Series Data
    Journal of Multivariate Analysis, 2001, 78, (2), 299-318 View citations (3)
21. Smoothing for discrete‐valued time series
    Journal of the Royal Statistical Society Series B, 2001, 63, (2), 357-375 View citations (2)
    See also Working Paper Smoothing for discrete-valued time series, LSE Research Online Documents on Economics (2001) View citations (3) (2001)
22. Weighted Nadaraya-Watson regression estimation
    Statistics & Probability Letters, 2001, 51, (3), 307-318 View citations (15)

2000

23. Average Regression Surface for Dependent Data
    Journal of Multivariate Analysis, 2000, 75, (1), 112-142 View citations (9)
24. NONPARAMETRIC ESTIMATION OF ADDITIVE NONLINEAR ARX TIME SERIES: LOCAL LINEAR FITTING AND PROJECTIONS
    Econometric Theory, 2000, 16, (4), 465-501 View citations (17)

1999

25. Diagnostics for nonlinearity in generalized linear models
    Computational Statistics & Data Analysis, 1999, 29, (4), 445-469

1998

26. Asymptotic properties of Kaplan-Meier estimator for censored dependent data
    Statistics & Probability Letters, 1998, 37, (4), 381-389 View citations (23)
27. Kaplan-Meier Estimator under Association
    Journal of Multivariate Analysis, 1998, 67, (2), 318-348 View citations (17)
28. Kernel Density and Hazard Rate Estimation for Censored Dependent Data
    Journal of Multivariate Analysis, 1998, 67, (1), 23-34 View citations (10)

1997

29. Smooth estimate of quantiles under association
    Statistics & Probability Letters, 1997, 36, (3), 275-287 View citations (11)

1992

30. Strong consistency and rates for recursive nonparametric conditional probability density estimates under ([alpha], [beta])-mixing conditions
    Stochastic Processes and their Applications, 1992, 41, (1), 179-179
    Also in Stochastic Processes and their Applications, 1991, 38, (2), 323-333 (1991)
31. Uniform strong estimation under [alpha]-mixing, with rates
    Statistics & Probability Letters, 1992, 15, (1), 47-55 View citations (5)