Details about Yuan Liao

Access statistics for papers by Yuan Liao.

Last updated 2023-03-16. Update your information in the RePEc Author Service.

Short-id: pli595

Working Papers

2018

1. Augmented Factor Models with Applications to Validating Market Risk Factors and Forecasting Bond Risk Premia
   Papers, arXiv.org
2. Factor-Driven Two-Regime Regression
   Department of Economics Working Papers, McMaster University View citations (7)
3. Uniform Inference for Characteristic Effects of Large Continuous-Time Linear Models
   Papers, arXiv.org View citations (3)

2016

4. Bayesian Inference for Partially Identified Convex Models: Is it Valid for Frequentist Inference?
   Departmental Working Papers, Rutgers University, Department of Economics View citations (4)
5. Oracle Estimation of a Change Point in High Dimensional Quantile Regression
   Papers, arXiv.org View citations (3)
6. The Factor-Lasso and K-Step Bootstrap Approach for Inference in High-Dimensional Economic Applications
   MPRA Paper, University Library of Munich, Germany View citations (5)
   See also Journal Article THE FACTOR-LASSO AND K-STEP BOOTSTRAP APPROACH FOR INFERENCE IN HIGH-DIMENSIONAL ECONOMIC APPLICATIONS, Econometric Theory, Cambridge University Press (2019) View citations (12) (2019)

2015

7. 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 View citations (4)
   Also in Papers, arXiv.org (2015) View citations (4)
   CeMMAP working papers, Centre for Microdata Methods and Practice, Institute for Fiscal Studies (2015) View citations (4)

2013

8. Risks of Large Portfolios
   Papers, arXiv.org View citations (3)
   Also in MPRA Paper, University Library of Munich, Germany (2013) View citations (8)
   See also Journal Article Risks of large portfolios, Journal of Econometrics, Elsevier (2015) View citations (32) (2015)
9. Semi-parametric Bayesian Partially Identified Models based on Support Function
   Papers, arXiv.org View citations (6)
   Also in MPRA Paper, University Library of Munich, Germany (2012) View citations (4)

2012

10. Efficient Estimation of Approximate Factor Models
    MPRA Paper, University Library of Munich, Germany View citations (8)
11. Endogeneity in ultrahigh dimension
    MPRA Paper, University Library of Munich, Germany View citations (8)

2011

12. Large covariance estimation by thresholding principal orthogonal complements
    MPRA Paper, University Library of Munich, Germany View citations (30)
    See also Journal Article Large covariance estimation by thresholding principal orthogonal complements, Journal of the Royal Statistical Society Series B, Royal Statistical Society (2013) View citations (370) (2013)
13. Posterior consistency of nonparametric conditional moment restricted models
    MPRA Paper, University Library of Munich, Germany View citations (19)

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 View citations (12)
   See also Working Paper The Factor-Lasso and K-Step Bootstrap Approach for Inference in High-Dimensional Economic Applications, MPRA Paper (2016) View citations (5) (2016)

2017

2. Inferences in panel data with interactive effects using large covariance matrices
   Journal of Econometrics, 2017, 200, (1), 59-78 View citations (16)

2016

3. An overview of the estimation of large covariance and precision matrices
   Econometrics Journal, 2016, 19, (1), C1-C32 View citations (69)
4. Efficient estimation of approximate factor models via penalized maximum likelihood
   Journal of Econometrics, 2016, 191, (1), 1-18 View citations (38)

2015

5. Power Enhancement in High‐Dimensional Cross‐Sectional Tests
   Econometrica, 2015, 83, (4), 1497-1541 View citations (47)
6. Risks of large portfolios
   Journal of Econometrics, 2015, 186, (2), 367-387 View citations (32)
   See also Working Paper Risks of Large Portfolios, Papers (2013) View citations (3) (2013)

2013

7. Large covariance estimation by thresholding principal orthogonal complements
   Journal of the Royal Statistical Society Series B, 2013, 75, (4), 603-680 View citations (370)
   See also Working Paper Large covariance estimation by thresholding principal orthogonal complements, MPRA Paper (2011) View citations (30) (2011)