Details about Degui Li
Access statistics for papers by Degui Li.
Last updated 2025-03-19. Update your information in the RePEc Author Service.
Short-id: pli664
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Working Papers
2024
- Covariance Function Estimation for High-Dimensional Functional Time Series with Dual Factor Structures
Papers, arXiv.org 
- Estimating Factor-Based Spot Volatility Matrices with Noisy and Asynchronous High-Frequency Data
Papers, arXiv.org
- Estimation of Grouped Time-Varying Network Vector Autoregression Models
Papers, arXiv.org
Also in Monash Econometrics and Business Statistics Working Papers, Monash University, Department of Econometrics and Business Statistics (2024)
2023
- Detection and Estimation of Structural Breaks in High-Dimensional Functional Time Series
Papers, arXiv.org
- Estimating Time-Varying Networks for High-Dimensional Time Series
Papers, arXiv.org View citations (2)
- Functional-Coefficient Quantile Regression for Panel Data with Latent Group Structure
Papers, arXiv.org
See also Journal Article Functional-Coefficient Quantile Regression for Panel Data with Latent Group Structure, Journal of Business & Economic Statistics, Taylor & Francis Journals (2024) (2024)
- Inference of Grouped Time-Varying Network Vector Autoregression Models
Monash Econometrics and Business Statistics Working Papers, Monash University, Department of Econometrics and Business Statistics
- Nonparametric Estimation of Large Spot Volatility Matrices for High-Frequency Financial Data
Papers, arXiv.org
Also in Working Papers, University of Liverpool, Department of Economics (2022)
2022
- Detection of multiple structural breaks in large covariance matrices
LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library
See also Journal Article Detection of Multiple Structural Breaks in Large Covariance Matrices, Journal of Business & Economic Statistics, Taylor & Francis Journals (2023) View citations (1) (2023)
2019
- Nonparametric Homogeneity Pursuit in Functional-Coefficient Models
Discussion Papers, Department of Economics, University of York
See also Journal Article Nonparametric homogeneity pursuit in functional-coefficient models, Journal of Nonparametric Statistics, Taylor & Francis Journals (2021) View citations (1) (2021)
2018
- A New Semiparametric Estimation Approach for Large Dynamic Covariance Matrices with Multiple Conditioning Variables
Discussion Papers, Department of Economics, University of York
See also Journal Article A new semiparametric estimation approach for large dynamic covariance matrices with multiple conditioning variables, Journal of Econometrics, Elsevier (2019) View citations (17) (2019)
2017
- Kernel-Based Inference In Time-Varying Coefficient Cointegrating Regression
Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University
See also Journal Article Kernel-based Inference in Time-Varying Coefficient Cointegrating Regression, Journal of Econometrics, Elsevier (2020) View citations (5) (2020)
- Kernel-based inference in time-varying coefficient models with multiple integrated regressors
Monash Econometrics and Business Statistics Working Papers, Monash University, Department of Econometrics and Business Statistics View citations (1)
2016
- Generalized nonparametric smoothing with mixed discrete and continuous data
LIDAM Reprints ISBA, Université catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA) View citations (22)
See also Journal Article Generalized nonparametric smoothing with mixed discrete and continuous data, Computational Statistics & Data Analysis, Elsevier (2016) View citations (24) (2016)
2015
- New Semiparametric Estimation Procedure for Functional Coefficient Longitudinal Data Models
Discussion Papers, Department of Economics, University of York
- Semiparametric Dynamic Portfolio Choice with Multiple Conditioning Variables
Discussion Papers, Department of Economics, University of York View citations (3)
Also in CeMMAP working papers, Institute for Fiscal Studies (2015)
CeMMAP working papers, Centre for Microdata Methods and Practice, Institute for Fiscal Studies (2015) View citations (3)
See also Journal Article Semiparametric dynamic portfolio choice with multiple conditioning variables, Journal of Econometrics, Elsevier (2016) View citations (7) (2016)
- Semiparametric Model Averaging of Ultra-High Dimensional Time Series
Discussion Papers, Department of Economics, University of York
Also in CeMMAP working papers, Institute for Fiscal Studies (2015)
CeMMAP working papers, Centre for Microdata Methods and Practice, Institute for Fiscal Studies (2015)
2014
- Semiparametric GEE Analysis in Partially Linear Single-Index Models for Longitudinal Data
Discussion Papers, Department of Economics, University of York View citations (2)
- Specification Testing in Nonstationary Time Series Models
Discussion Papers, Department of Economics, University of York
See also Journal Article Specification testing in nonstationary time series models, Econometrics Journal, Royal Economic Society (2015) View citations (5) (2015)
2013
- Estimating Smooth Structural Change in Cointegration Models
Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University View citations (4)
Also in Monash Econometrics and Business Statistics Working Papers, Monash University, Department of Econometrics and Business Statistics (2013) View citations (4)
See also Journal Article Estimating smooth structural change in cointegration models, Journal of Econometrics, Elsevier (2017) View citations (42) (2017)
- Non- and Semi-Parametric Panel Data Models: A Selective Review
Monash Econometrics and Business Statistics Working Papers, Monash University, Department of Econometrics and Business Statistics View citations (4)
- Nonparametric Estimation and Parametric Calibration of Time-Varying Coefficient Realized Volatility Models
Monash Econometrics and Business Statistics Working Papers, Monash University, Department of Econometrics and Business Statistics View citations (3)
- Semiparametric Profile Likelihood Estimation of Varying Coefficient Models with Nonstationary Regressors
Monash Econometrics and Business Statistics Working Papers, Monash University, Department of Econometrics and Business Statistics View citations (1)
- To Smooth or Not to Smooth? The Case of Discrete Variables in Nonparametric Regression
LIDAM Discussion Papers ISBA, Université catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA) View citations (2)
- Uniform Consistency for Nonparametric Estimators in Null Recurrent Time Series
CREATES Research Papers, Department of Economics and Business Economics, Aarhus University View citations (6)
Also in School of Economics and Public Policy Working Papers, University of Adelaide, School of Economics and Public Policy (2009) View citations (2)
Monash Econometrics and Business Statistics Working Papers, Monash University, Department of Econometrics and Business Statistics (2011) View citations (1)
See also Journal Article UNIFORM CONSISTENCY FOR NONPARAMETRIC ESTIMATORS IN NULL RECURRENT TIME SERIES, Econometric Theory, Cambridge University Press (2015) View citations (10) (2015)
- Uniform Consistency of Nonstationary Kernel-Weighted Sample Covariances for Nonparametric Regression
Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University
Also in Monash Econometrics and Business Statistics Working Papers, Monash University, Department of Econometrics and Business Statistics (2013)
See also Journal Article UNIFORM CONSISTENCY OF NONSTATIONARY KERNEL-WEIGHTED SAMPLE COVARIANCES FOR NONPARAMETRIC REGRESSION, Econometric Theory, Cambridge University Press (2016) View citations (7) (2016)
2012
- A Flexible Semiparametric Model for Time Series
Monash Econometrics and Business Statistics Working Papers, Monash University, Department of Econometrics and Business Statistics View citations (1)
Also in CeMMAP working papers, Centre for Microdata Methods and Practice, Institute for Fiscal Studies (2012) View citations (1)
CeMMAP working papers, Institute for Fiscal Studies (2012)
- Nonlinear Regression with Harris Recurrent Markov Chains
Monash Econometrics and Business Statistics Working Papers, Monash University, Department of Econometrics and Business Statistics
2011
- Estimation in Partially Linear Single-Index Panel Data Models with Fixed Effects
Monash Econometrics and Business Statistics Working Papers, Monash University, Department of Econometrics and Business Statistics View citations (5)
See also Journal Article Estimation in Partially Linear Single-Index Panel Data Models With Fixed Effects, Journal of Business & Economic Statistics, Taylor & Francis Journals (2013) View citations (32) (2013)
- Estimation in Single-Index Panel Data Models with Heterogeneous Link Functions
Monash Econometrics and Business Statistics Working Papers, Monash University, Department of Econometrics and Business Statistics View citations (5)
Also in School of Economics and Public Policy Working Papers, University of Adelaide, School of Economics and Public Policy (2010) View citations (4)
See also Journal Article Estimation in Single-Index Panel Data Models with Heterogeneous Link Functions, Econometric Reviews, Taylor & Francis Journals (2013) View citations (13) (2013)
- Local Linear Fitting Under Near Epoch Dependence: Uniform consistency with Convergence Rates
Monash Econometrics and Business Statistics Working Papers, Monash University, Department of Econometrics and Business Statistics
See also Journal Article LOCAL LINEAR FITTING UNDER NEAR EPOCH DEPENDENCE: UNIFORM CONSISTENCY WITH CONVERGENCE RATES, Econometric Theory, Cambridge University Press (2012) View citations (21) (2012)
- Semiparametric Trending Panel Data Models with Cross-Sectional Dependence
Monash Econometrics and Business Statistics Working Papers, Monash University, Department of Econometrics and Business Statistics View citations (5)
Also in School of Economics and Public Policy Working Papers, University of Adelaide, School of Economics and Public Policy (2010) View citations (8)
See also Journal Article Semiparametric trending panel data models with cross-sectional dependence, Journal of Econometrics, Elsevier (2012) View citations (63) (2012)
2010
- Estimation in Semiparametric Time Series Regression
School of Economics and Public Policy Working Papers, University of Adelaide, School of Economics and Public Policy View citations (6)
- Loch Linear Fitting under Near Epoch Dependence: Uniform Consistency with Convergence Rate
STICERD - Econometrics Paper Series, Suntory and Toyota International Centres for Economics and Related Disciplines, LSE
Also in LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library (2010)
- Nonparametric Time-Varying Coefficient Panel Data Models with Fixed Effects
School of Economics and Public Policy Working Papers, University of Adelaide, School of Economics and Public Policy View citations (8)
See also Journal Article Non‐parametric time‐varying coefficient panel data models with fixed effects, Econometrics Journal, Royal Economic Society (2011) View citations (78) (2011)
2009
- A New Diagnostic Test for Cross-Section Independence in Nonparametric Panel Data Model
School of Economics and Public Policy Working Papers, University of Adelaide, School of Economics and Public Policy View citations (9)
- Semiparametric Regression Estimation in Null Recurrent Nonlinear Time Series
School of Economics and Public Policy Working Papers, University of Adelaide, School of Economics and Public Policy View citations (5)
Journal Articles
2024
- Estimation of Large Dynamic Covariance Matrices: A Selective Review
Econometrics and Statistics, 2024, 29, (C), 16-30 View citations (1)
- Functional-Coefficient Quantile Regression for Panel Data with Latent Group Structure
Journal of Business & Economic Statistics, 2024, 42, (3), 1026-1040
See also Working Paper Functional-Coefficient Quantile Regression for Panel Data with Latent Group Structure, Papers (2023) (2023)
2023
- Detection of Multiple Structural Breaks in Large Covariance Matrices
Journal of Business & Economic Statistics, 2023, 41, (3), 846-861 View citations (1)
See also Working Paper Detection of multiple structural breaks in large covariance matrices, LSE Research Online Documents on Economics (2022) (2022)
2021
- Local Whittle estimation of long‐range dependence for functional time series
Journal of Time Series Analysis, 2021, 42, (5-6), 685-695 View citations (1)
- Nonparametric Quantile Regression Estimation With Mixed Discrete and Continuous Data
Journal of Business & Economic Statistics, 2021, 39, (3), 741-756 View citations (3)
- Nonparametric estimation of large covariance matrices with conditional sparsity
Journal of Econometrics, 2021, 223, (1), 53-72 View citations (6)
- Nonparametric homogeneity pursuit in functional-coefficient models
Journal of Nonparametric Statistics, 2021, 33, (3-4), 387-416 View citations (1)
See also Working Paper Nonparametric Homogeneity Pursuit in Functional-Coefficient Models, Discussion Papers (2019) (2019)
- Robust nonlinear regression estimation in null recurrent time series
Journal of Econometrics, 2021, 224, (2), 416-438 View citations (4)
2020
- Kernel-based Inference in Time-Varying Coefficient Cointegrating Regression
Journal of Econometrics, 2020, 215, (2), 607-632 View citations (5)
See also Working Paper Kernel-Based Inference In Time-Varying Coefficient Cointegrating Regression, Cowles Foundation Discussion Papers (2017) (2017)
- Long-Range Dependent Curve Time Series
Journal of the American Statistical Association, 2020, 115, (530), 957-971 View citations (20)
- Nonlinear Factor‐Augmented Predictive Regression Models with Functional Coefficients
Journal of Time Series Analysis, 2020, 41, (3), 367-386 View citations (1)
2019
- A new semiparametric estimation approach for large dynamic covariance matrices with multiple conditioning variables
Journal of Econometrics, 2019, 212, (1), 155-176 View citations (17)
See also Working Paper A New Semiparametric Estimation Approach for Large Dynamic Covariance Matrices with Multiple Conditioning Variables, Discussion Papers (2018) (2018)
- Estimation of a rank-reduced functional-coefficient panel data model with serial correlation
Journal of Multivariate Analysis, 2019, 173, (C), 456-479
- Nonparametric estimation of conditional quantile functions in the presence of irrelevant covariates
Journal of Econometrics, 2019, 212, (2), 433-450 View citations (10)
2018
- Nonparametric Estimation and Forecasting for Time-Varying Coefficient Realized Volatility Models
Journal of Business & Economic Statistics, 2018, 36, (1), 88-100 View citations (21)
- Semiparametric Ultra-High Dimensional Model Averaging of Nonlinear Dynamic Time Series
Journal of the American Statistical Association, 2018, 113, (522), 919-932 View citations (23)
2017
- Estimating smooth structural change in cointegration models
Journal of Econometrics, 2017, 196, (1), 180-195 View citations (42)
See also Working Paper Estimating Smooth Structural Change in Cointegration Models, Cowles Foundation Discussion Papers (2013) View citations (4) (2013)
- Estimation of semi-varying coefficient models with nonstationary regressors
Econometric Reviews, 2017, 36, (1-3), 354-369 View citations (8)
2016
- Generalized nonparametric smoothing with mixed discrete and continuous data
Computational Statistics & Data Analysis, 2016, 100, (C), 424-444 View citations (24)
See also Working Paper Generalized nonparametric smoothing with mixed discrete and continuous data, LIDAM Reprints ISBA (2016) View citations (22) (2016)
- Local composite quantile regression smoothing for Harris recurrent Markov processes
Journal of Econometrics, 2016, 194, (1), 44-56 View citations (6)
- Panel Data Models With Interactive Fixed Effects and Multiple Structural Breaks
Journal of the American Statistical Association, 2016, 111, (516), 1804-1819 View citations (62)
- Semiparametric dynamic portfolio choice with multiple conditioning variables
Journal of Econometrics, 2016, 194, (2), 309-318 View citations (7)
See also Working Paper Semiparametric Dynamic Portfolio Choice with Multiple Conditioning Variables, Discussion Papers (2015) View citations (3) (2015)
- UNIFORM CONSISTENCY OF NONSTATIONARY KERNEL-WEIGHTED SAMPLE COVARIANCES FOR NONPARAMETRIC REGRESSION
Econometric Theory, 2016, 32, (3), 655-685 View citations (7)
See also Working Paper Uniform Consistency of Nonstationary Kernel-Weighted Sample Covariances for Nonparametric Regression, Cowles Foundation Discussion Papers (2013) (2013)
2015
- A flexible semiparametric forecasting model for time series
Journal of Econometrics, 2015, 187, (1), 345-357 View citations (27)
- Estimation in generalised varying-coefficient models with unspecified link functions
Journal of Econometrics, 2015, 187, (1), 238-255 View citations (3)
- Specification testing in nonstationary time series models
Econometrics Journal, 2015, 18, (1), 117-136 View citations (5)
See also Working Paper Specification Testing in Nonstationary Time Series Models, Discussion Papers (2014) (2014)
- UNIFORM CONSISTENCY FOR NONPARAMETRIC ESTIMATORS IN NULL RECURRENT TIME SERIES
Econometric Theory, 2015, 31, (5), 911-952 View citations (10)
See also Working Paper Uniform Consistency for Nonparametric Estimators in Null Recurrent Time Series, CREATES Research Papers (2013) View citations (6) (2013)
2013
- Estimation in Partially Linear Single-Index Panel Data Models With Fixed Effects
Journal of Business & Economic Statistics, 2013, 31, (3), 315-330 View citations (32)
See also Working Paper Estimation in Partially Linear Single-Index Panel Data Models with Fixed Effects, Monash Econometrics and Business Statistics Working Papers (2011) View citations (5) (2011)
- Estimation in Single-Index Panel Data Models with Heterogeneous Link Functions
Econometric Reviews, 2013, 32, (8), 928-955 View citations (13)
See also Working Paper Estimation in Single-Index Panel Data Models with Heterogeneous Link Functions, Monash Econometrics and Business Statistics Working Papers (2011) View citations (5) (2011)
2012
- A NEW DIAGNOSTIC TEST FOR CROSS-SECTION UNCORRELATEDNESS IN NONPARAMETRIC PANEL DATA MODELS
Econometric Theory, 2012, 28, (5), 1144-1163 View citations (32)
- LOCAL LINEAR FITTING UNDER NEAR EPOCH DEPENDENCE: UNIFORM CONSISTENCY WITH CONVERGENCE RATES
Econometric Theory, 2012, 28, (5), 935-958 View citations (21)
See also Working Paper Local Linear Fitting Under Near Epoch Dependence: Uniform consistency with Convergence Rates, Monash Econometrics and Business Statistics Working Papers (2011) (2011)
- Semiparametric trending panel data models with cross-sectional dependence
Journal of Econometrics, 2012, 171, (1), 71-85 View citations (63)
See also Working Paper Semiparametric Trending Panel Data Models with Cross-Sectional Dependence, Monash Econometrics and Business Statistics Working Papers (2011) View citations (5) (2011)
2011
- Non‐parametric time‐varying coefficient panel data models with fixed effects
Econometrics Journal, 2011, 14, (3), 387-408 View citations (78)
See also Working Paper Nonparametric Time-Varying Coefficient Panel Data Models with Fixed Effects, School of Economics and Public Policy Working Papers (2010) View citations (8) (2010)
2010
- Robust estimation in a nonlinear cointegration model
Journal of Multivariate Analysis, 2010, 101, (3), 706-717 View citations (12)
2009
- Local Linear M‐estimation in non‐parametric spatial regression
Journal of Time Series Analysis, 2009, 30, (3), 286-314 View citations (6)
- Variable selection in partially time-varying coefficient models
Journal of Nonparametric Statistics, 2009, 21, (5), 553-566 View citations (4)
2008
- Change point estimators by local polynomial fits under a dependence assumption
Journal of Multivariate Analysis, 2008, 99, (10), 2339-2355 View citations (2)
- Spatial local M-estimation under association
Metrika: International Journal for Theoretical and Applied Statistics, 2008, 67, (1), 11-29
2007
- Asymptotic behavior for S-estimators in random design linear model with long-range-dependent errors
Metrika: International Journal for Theoretical and Applied Statistics, 2007, 66, (3), 289-303
- Asymptotic normality for L1-norm kernel estimator of conditional median under association dependence
Journal of Multivariate Analysis, 2007, 98, (6), 1214-1230 View citations (2)
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