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
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Working Papers
2018
- Augmented Factor Models with Applications to Validating Market Risk Factors and Forecasting Bond Risk Premia
Papers, arXiv.org
- Factor-Driven Two-Regime Regression
Department of Economics Working Papers, McMaster University View citations (7)
- Uniform Inference for Characteristic Effects of Large Continuous-Time Linear Models
Papers, arXiv.org View citations (2)
2016
- Bayesian Inference for Partially Identified Convex Models: Is it Valid for Frequentist Inference?
Departmental Working Papers, Rutgers University, Department of Economics View citations (4)
- Oracle Estimation of a Change Point in High Dimensional Quantile Regression
Papers, arXiv.org View citations (3)
- 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 (11) (2019)
2015
- 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
- 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 (31) (2015)
- 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
- Efficient Estimation of Approximate Factor Models
MPRA Paper, University Library of Munich, Germany View citations (8)
- Endogeneity in ultrahigh dimension
MPRA Paper, University Library of Munich, Germany View citations (8)
2011
- 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 (365) (2013)
- Posterior consistency of nonparametric conditional moment restricted models
MPRA Paper, University Library of Munich, Germany View citations (19)
Journal Articles
2019
- THE FACTOR-LASSO AND K-STEP BOOTSTRAP APPROACH FOR INFERENCE IN HIGH-DIMENSIONAL ECONOMIC APPLICATIONS
Econometric Theory, 2019, 35, (3), 465-509 View citations (11)
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
- Inferences in panel data with interactive effects using large covariance matrices
Journal of Econometrics, 2017, 200, (1), 59-78 View citations (16)
2016
- An overview of the estimation of large covariance and precision matrices
Econometrics Journal, 2016, 19, (1), C1-C32 View citations (67)
- Efficient estimation of approximate factor models via penalized maximum likelihood
Journal of Econometrics, 2016, 191, (1), 1-18 View citations (35)
2015
- Power Enhancement in High‐Dimensional Cross‐Sectional Tests
Econometrica, 2015, 83, (4), 1497-1541 View citations (47)
- Risks of large portfolios
Journal of Econometrics, 2015, 186, (2), 367-387 View citations (31)
See also Working Paper Risks of Large Portfolios, Papers (2013) View citations (3) (2013)
2013
- Large covariance estimation by thresholding principal orthogonal complements
Journal of the Royal Statistical Society Series B, 2013, 75, (4), 603-680 View citations (365)
See also Working Paper Large covariance estimation by thresholding principal orthogonal complements, MPRA Paper (2011) View citations (30) (2011)
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