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Details about Yuan Liao

E-mail:
Homepage:http://www.rci.rutgers.edu/~yl1114/
Workplace:Department of Economics, Rutgers University-New Brunswick, (more information at EDIRC)

Access statistics for papers by Yuan Liao.

Last updated 2019-09-07. Update your information in the RePEc Author Service.

Short-id: pli595


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Working Papers

2018

  1. Augmented Factor Models with Applications to Validating Market Risk Factors and Forecasting Bond Risk Premia
    Papers, arXiv.org Downloads
  2. Factor-Driven Two-Regime Regression
    Department of Economics Working Papers, McMaster University Downloads
  3. Uniform Inference for Characteristic Effects of Large Continuous-Time Linear Models
    Papers, arXiv.org Downloads

2016

  1. Bayesian Inference for Partially Identified Convex Models: Is it Valid for Frequentist Inference?
    Departmental Working Papers, Rutgers University, Department of Economics Downloads View citations (1)
  2. Oracle Estimation of a Change Point in High Dimensional Quantile Regression
    Papers, arXiv.org Downloads View citations (2)
  3. The Factor-Lasso and K-Step Bootstrap Approach for Inference in High-Dimensional Economic Applications
    MPRA Paper, University Library of Munich, Germany Downloads View citations (4)
    See also Journal Article in Econometric Theory (2019)

2015

  1. A lava attack on the recovery of sums of dense and sparse signals
    CeMMAP working papers, Centre for Microdata Methods and Practice, Institute for Fiscal Studies Downloads View citations (2)
    Also in Papers, arXiv.org (2015) Downloads
    CeMMAP working papers, Centre for Microdata Methods and Practice, Institute for Fiscal Studies (2015) Downloads View citations (2)

2013

  1. Risks of Large Portfolios
    Papers, arXiv.org Downloads View citations (3)
    Also in MPRA Paper, University Library of Munich, Germany (2013) Downloads View citations (8)

    See also Journal Article in Journal of Econometrics (2015)
  2. Semi-parametric Bayesian Partially Identified Models based on Support Function
    Papers, arXiv.org Downloads
    Also in MPRA Paper, University Library of Munich, Germany (2012) Downloads View citations (4)

2012

  1. Efficient Estimation of Approximate Factor Models
    MPRA Paper, University Library of Munich, Germany Downloads View citations (5)
  2. Endogeneity in ultrahigh dimension
    MPRA Paper, University Library of Munich, Germany Downloads View citations (6)

2011

  1. Large covariance estimation by thresholding principal orthogonal complements
    MPRA Paper, University Library of Munich, Germany Downloads View citations (28)
    See also Journal Article in Journal of the Royal Statistical Society Series B (2013)
  2. Posterior consistency of nonparametric conditional moment restricted models
    MPRA Paper, University Library of Munich, Germany Downloads View citations (12)

Journal Articles

2019

  1. THE FACTOR-LASSO AND K-STEP BOOTSTRAP APPROACH FOR INFERENCE IN HIGH-DIMENSIONAL ECONOMIC APPLICATIONS
    Econometric Theory, 2019, 35, (3), 465-509 Downloads
    See also Working Paper (2016)

2017

  1. Inferences in panel data with interactive effects using large covariance matrices
    Journal of Econometrics, 2017, 200, (1), 59-78 Downloads View citations (3)

2016

  1. An overview of the estimation of large covariance and precision matrices
    Econometrics Journal, 2016, 19, (1), C1-C32 Downloads View citations (7)
  2. Efficient estimation of approximate factor models via penalized maximum likelihood
    Journal of Econometrics, 2016, 191, (1), 1-18 Downloads View citations (8)

2015

  1. Power Enhancement in High‐Dimensional Cross‐Sectional Tests
    Econometrica, 2015, 83, (4), 1497-1541 Downloads View citations (11)
  2. Risks of large portfolios
    Journal of Econometrics, 2015, 186, (2), 367-387 Downloads View citations (12)
    See also Working Paper (2013)

2013

  1. Large covariance estimation by thresholding principal orthogonal complements
    Journal of the Royal Statistical Society Series B, 2013, 75, (4), 603-680 Downloads View citations (130)
    See also Working Paper (2011)
 
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