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Details about Degui Li

Homepage:https://sites.google.com/site/deguiliswebsite/home
Workplace:Department of Mathematics, University of York

Access statistics for papers by Degui Li.

Last updated 2024-03-07. Update your information in the RePEc Author Service.

Short-id: pli664


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Working Papers

2024

  1. Covariance Function Estimation for High-Dimensional Functional Time Series with Dual Factor Structures
    Papers, arXiv.org Downloads
  2. Estimation of Grouped Time-Varying Network Vector Autoregression Models
    Papers, arXiv.org Downloads

2023

  1. Detection and Estimation of Structural Breaks in High-Dimensional Functional Time Series
    Papers, arXiv.org Downloads
  2. Estimating Time-Varying Networks for High-Dimensional Time Series
    Papers, arXiv.org Downloads View citations (2)
  3. Functional-Coefficient Quantile Regression for Panel Data with Latent Group Structure
    Papers, arXiv.org Downloads
  4. Inference of Grouped Time-Varying Network Vector Autoregression Models
    Monash Econometrics and Business Statistics Working Papers, Monash University, Department of Econometrics and Business Statistics Downloads
  5. Nonparametric Estimation of Large Spot Volatility Matrices for High-Frequency Financial Data
    Papers, arXiv.org Downloads
    Also in Working Papers, University of Liverpool, Department of Economics (2022) Downloads

2022

  1. Detection of multiple structural breaks in large covariance matrices
    LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library Downloads
    See also Journal Article Detection of Multiple Structural Breaks in Large Covariance Matrices, Journal of Business & Economic Statistics, Taylor & Francis Journals (2023) Downloads (2023)

2019

  1. Nonparametric Homogeneity Pursuit in Functional-Coefficient Models
    Discussion Papers, Department of Economics, University of York Downloads
    See also Journal Article Nonparametric homogeneity pursuit in functional-coefficient models, Journal of Nonparametric Statistics, Taylor & Francis Journals (2021) Downloads View citations (1) (2021)

2018

  1. A New Semiparametric Estimation Approach for Large Dynamic Covariance Matrices with Multiple Conditioning Variables
    Discussion Papers, Department of Economics, University of York Downloads
    See also Journal Article A new semiparametric estimation approach for large dynamic covariance matrices with multiple conditioning variables, Journal of Econometrics, Elsevier (2019) Downloads View citations (13) (2019)

2017

  1. Kernel-Based Inference In Time-Varying Coefficient Cointegrating Regression
    Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University Downloads
    See also Journal Article Kernel-based Inference in Time-Varying Coefficient Cointegrating Regression, Journal of Econometrics, Elsevier (2020) Downloads View citations (4) (2020)
  2. 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 Downloads View citations (1)

2016

  1. 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) Downloads View citations (24) (2016)

2015

  1. New Semiparametric Estimation Procedure for Functional Coefficient Longitudinal Data Models
    Discussion Papers, Department of Economics, University of York Downloads
  2. Semiparametric Dynamic Portfolio Choice with Multiple Conditioning Variables
    Discussion Papers, Department of Economics, University of York Downloads View citations (3)
    Also in CeMMAP working papers, Institute for Fiscal Studies (2015) Downloads
    CeMMAP working papers, Centre for Microdata Methods and Practice, Institute for Fiscal Studies (2015) Downloads View citations (3)

    See also Journal Article Semiparametric dynamic portfolio choice with multiple conditioning variables, Journal of Econometrics, Elsevier (2016) Downloads View citations (6) (2016)
  3. Semiparametric Model Averaging of Ultra-High Dimensional Time Series
    Discussion Papers, Department of Economics, University of York Downloads
    Also in CeMMAP working papers, Centre for Microdata Methods and Practice, Institute for Fiscal Studies (2015) Downloads
    CeMMAP working papers, Institute for Fiscal Studies (2015) Downloads

2014

  1. Semiparametric GEE Analysis in Partially Linear Single-Index Models for Longitudinal Data
    Discussion Papers, Department of Economics, University of York Downloads View citations (2)
  2. Specification Testing in Nonstationary Time Series Models
    Discussion Papers, Department of Economics, University of York Downloads
    See also Journal Article Specification testing in nonstationary time series models, Econometrics Journal, Royal Economic Society (2015) Downloads View citations (5) (2015)

2013

  1. Estimating Smooth Structural Change in Cointegration Models
    Monash Econometrics and Business Statistics Working Papers, Monash University, Department of Econometrics and Business Statistics Downloads View citations (4)
    Also in Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University (2013) Downloads View citations (4)

    See also Journal Article Estimating smooth structural change in cointegration models, Journal of Econometrics, Elsevier (2017) Downloads View citations (40) (2017)
  2. 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 Downloads View citations (4)
  3. 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 Downloads View citations (3)
  4. 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 Downloads View citations (1)
  5. 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) Downloads View citations (2)
  6. Uniform Consistency for Nonparametric Estimators in Null Recurrent Time Series
    CREATES Research Papers, Department of Economics and Business Economics, Aarhus University Downloads View citations (6)
    Also in Monash Econometrics and Business Statistics Working Papers, Monash University, Department of Econometrics and Business Statistics (2011) Downloads View citations (1)
    School of Economics and Public Policy Working Papers, University of Adelaide, School of Economics and Public Policy (2009) Downloads View citations (2)

    See also Journal Article UNIFORM CONSISTENCY FOR NONPARAMETRIC ESTIMATORS IN NULL RECURRENT TIME SERIES, Econometric Theory, Cambridge University Press (2015) Downloads View citations (9) (2015)
  7. Uniform Consistency of Nonstationary Kernel-Weighted Sample Covariances for Nonparametric Regression
    Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University Downloads
    Also in Monash Econometrics and Business Statistics Working Papers, Monash University, Department of Econometrics and Business Statistics (2013) Downloads

    See also Journal Article UNIFORM CONSISTENCY OF NONSTATIONARY KERNEL-WEIGHTED SAMPLE COVARIANCES FOR NONPARAMETRIC REGRESSION, Econometric Theory, Cambridge University Press (2016) Downloads View citations (7) (2016)

2012

  1. A Flexible Semiparametric Model for Time Series
    Monash Econometrics and Business Statistics Working Papers, Monash University, Department of Econometrics and Business Statistics Downloads View citations (1)
    Also in CeMMAP working papers, Centre for Microdata Methods and Practice, Institute for Fiscal Studies (2012) Downloads View citations (1)
    CeMMAP working papers, Institute for Fiscal Studies (2012) Downloads
  2. Nonlinear Regression with Harris Recurrent Markov Chains
    Monash Econometrics and Business Statistics Working Papers, Monash University, Department of Econometrics and Business Statistics Downloads

2011

  1. 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 Downloads 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) Downloads View citations (29) (2013)
  2. 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 Downloads View citations (5)
    Also in School of Economics and Public Policy Working Papers, University of Adelaide, School of Economics and Public Policy (2010) Downloads View citations (4)

    See also Journal Article Estimation in Single-Index Panel Data Models with Heterogeneous Link Functions, Econometric Reviews, Taylor & Francis Journals (2013) Downloads View citations (11) (2013)
  3. 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 Downloads
    See also Journal Article LOCAL LINEAR FITTING UNDER NEAR EPOCH DEPENDENCE: UNIFORM CONSISTENCY WITH CONVERGENCE RATES, Econometric Theory, Cambridge University Press (2012) Downloads View citations (21) (2012)
  4. Semiparametric Trending Panel Data Models with Cross-Sectional Dependence
    Monash Econometrics and Business Statistics Working Papers, Monash University, Department of Econometrics and Business Statistics Downloads View citations (5)
    Also in School of Economics and Public Policy Working Papers, University of Adelaide, School of Economics and Public Policy (2010) Downloads View citations (8)

    See also Journal Article Semiparametric trending panel data models with cross-sectional dependence, Journal of Econometrics, Elsevier (2012) Downloads View citations (58) (2012)

2010

  1. Estimation in Semiparametric Time Series Regression
    School of Economics and Public Policy Working Papers, University of Adelaide, School of Economics and Public Policy Downloads View citations (6)
  2. 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 Downloads
    Also in LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library (2010) Downloads
  3. 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 Downloads View citations (8)
    See also Journal Article Non‐parametric time‐varying coefficient panel data models with fixed effects, Econometrics Journal, Royal Economic Society (2011) Downloads View citations (77) (2011)

2009

  1. 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 Downloads View citations (9)
  2. 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 Downloads View citations (5)

Journal Articles

2024

  1. Estimation of Large Dynamic Covariance Matrices: A Selective Review
    Econometrics and Statistics, 2024, 29, (C), 16-30 Downloads

2023

  1. Detection of Multiple Structural Breaks in Large Covariance Matrices
    Journal of Business & Economic Statistics, 2023, 41, (3), 846-861 Downloads
    See also Working Paper Detection of multiple structural breaks in large covariance matrices, LSE Research Online Documents on Economics (2022) Downloads (2022)

2021

  1. Local Whittle estimation of long‐range dependence for functional time series
    Journal of Time Series Analysis, 2021, 42, (5-6), 685-695 Downloads View citations (1)
  2. Nonparametric Quantile Regression Estimation With Mixed Discrete and Continuous Data
    Journal of Business & Economic Statistics, 2021, 39, (3), 741-756 Downloads View citations (2)
  3. Nonparametric estimation of large covariance matrices with conditional sparsity
    Journal of Econometrics, 2021, 223, (1), 53-72 Downloads View citations (3)
  4. Nonparametric homogeneity pursuit in functional-coefficient models
    Journal of Nonparametric Statistics, 2021, 33, (3-4), 387-416 Downloads View citations (1)
    See also Working Paper Nonparametric Homogeneity Pursuit in Functional-Coefficient Models, Discussion Papers (2019) Downloads (2019)
  5. Robust nonlinear regression estimation in null recurrent time series
    Journal of Econometrics, 2021, 224, (2), 416-438 Downloads View citations (3)

2020

  1. Kernel-based Inference in Time-Varying Coefficient Cointegrating Regression
    Journal of Econometrics, 2020, 215, (2), 607-632 Downloads View citations (4)
    See also Working Paper Kernel-Based Inference In Time-Varying Coefficient Cointegrating Regression, Cowles Foundation Discussion Papers (2017) Downloads (2017)
  2. Long-Range Dependent Curve Time Series
    Journal of the American Statistical Association, 2020, 115, (530), 957-971 Downloads View citations (17)
  3. Nonlinear Factor‐Augmented Predictive Regression Models with Functional Coefficients
    Journal of Time Series Analysis, 2020, 41, (3), 367-386 Downloads View citations (1)

2019

  1. A new semiparametric estimation approach for large dynamic covariance matrices with multiple conditioning variables
    Journal of Econometrics, 2019, 212, (1), 155-176 Downloads View citations (13)
    See also Working Paper A New Semiparametric Estimation Approach for Large Dynamic Covariance Matrices with Multiple Conditioning Variables, Discussion Papers (2018) Downloads (2018)
  2. Estimation of a rank-reduced functional-coefficient panel data model with serial correlation
    Journal of Multivariate Analysis, 2019, 173, (C), 456-479 Downloads
  3. Nonparametric estimation of conditional quantile functions in the presence of irrelevant covariates
    Journal of Econometrics, 2019, 212, (2), 433-450 Downloads View citations (10)

2018

  1. Nonparametric Estimation and Forecasting for Time-Varying Coefficient Realized Volatility Models
    Journal of Business & Economic Statistics, 2018, 36, (1), 88-100 Downloads View citations (20)
  2. Semiparametric Ultra-High Dimensional Model Averaging of Nonlinear Dynamic Time Series
    Journal of the American Statistical Association, 2018, 113, (522), 919-932 Downloads View citations (22)

2017

  1. Estimating smooth structural change in cointegration models
    Journal of Econometrics, 2017, 196, (1), 180-195 Downloads View citations (40)
    See also Working Paper Estimating Smooth Structural Change in Cointegration Models, Monash Econometrics and Business Statistics Working Papers (2013) Downloads View citations (4) (2013)
  2. Estimation of semi-varying coefficient models with nonstationary regressors
    Econometric Reviews, 2017, 36, (1-3), 354-369 Downloads View citations (8)

2016

  1. Generalized nonparametric smoothing with mixed discrete and continuous data
    Computational Statistics & Data Analysis, 2016, 100, (C), 424-444 Downloads View citations (24)
    See also Working Paper Generalized nonparametric smoothing with mixed discrete and continuous data, LIDAM Reprints ISBA (2016) View citations (22) (2016)
  2. Local composite quantile regression smoothing for Harris recurrent Markov processes
    Journal of Econometrics, 2016, 194, (1), 44-56 Downloads View citations (6)
  3. Panel Data Models With Interactive Fixed Effects and Multiple Structural Breaks
    Journal of the American Statistical Association, 2016, 111, (516), 1804-1819 Downloads View citations (59)
  4. Semiparametric dynamic portfolio choice with multiple conditioning variables
    Journal of Econometrics, 2016, 194, (2), 309-318 Downloads View citations (6)
    See also Working Paper Semiparametric Dynamic Portfolio Choice with Multiple Conditioning Variables, Discussion Papers (2015) Downloads View citations (3) (2015)
  5. UNIFORM CONSISTENCY OF NONSTATIONARY KERNEL-WEIGHTED SAMPLE COVARIANCES FOR NONPARAMETRIC REGRESSION
    Econometric Theory, 2016, 32, (3), 655-685 Downloads View citations (7)
    See also Working Paper Uniform Consistency of Nonstationary Kernel-Weighted Sample Covariances for Nonparametric Regression, Cowles Foundation Discussion Papers (2013) Downloads (2013)

2015

  1. A flexible semiparametric forecasting model for time series
    Journal of Econometrics, 2015, 187, (1), 345-357 Downloads View citations (26)
  2. Estimation in generalised varying-coefficient models with unspecified link functions
    Journal of Econometrics, 2015, 187, (1), 238-255 Downloads View citations (3)
  3. Specification testing in nonstationary time series models
    Econometrics Journal, 2015, 18, (1), 117-136 Downloads View citations (5)
    See also Working Paper Specification Testing in Nonstationary Time Series Models, Discussion Papers (2014) Downloads (2014)
  4. UNIFORM CONSISTENCY FOR NONPARAMETRIC ESTIMATORS IN NULL RECURRENT TIME SERIES
    Econometric Theory, 2015, 31, (5), 911-952 Downloads View citations (9)
    See also Working Paper Uniform Consistency for Nonparametric Estimators in Null Recurrent Time Series, CREATES Research Papers (2013) Downloads View citations (6) (2013)

2013

  1. Estimation in Partially Linear Single-Index Panel Data Models With Fixed Effects
    Journal of Business & Economic Statistics, 2013, 31, (3), 315-330 Downloads View citations (29)
    See also Working Paper Estimation in Partially Linear Single-Index Panel Data Models with Fixed Effects, Monash Econometrics and Business Statistics Working Papers (2011) Downloads View citations (5) (2011)
  2. Estimation in Single-Index Panel Data Models with Heterogeneous Link Functions
    Econometric Reviews, 2013, 32, (8), 928-955 Downloads View citations (11)
    See also Working Paper Estimation in Single-Index Panel Data Models with Heterogeneous Link Functions, Monash Econometrics and Business Statistics Working Papers (2011) Downloads View citations (5) (2011)

2012

  1. A NEW DIAGNOSTIC TEST FOR CROSS-SECTION UNCORRELATEDNESS IN NONPARAMETRIC PANEL DATA MODELS
    Econometric Theory, 2012, 28, (5), 1144-1163 Downloads View citations (32)
  2. LOCAL LINEAR FITTING UNDER NEAR EPOCH DEPENDENCE: UNIFORM CONSISTENCY WITH CONVERGENCE RATES
    Econometric Theory, 2012, 28, (5), 935-958 Downloads 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) Downloads (2011)
  3. Semiparametric trending panel data models with cross-sectional dependence
    Journal of Econometrics, 2012, 171, (1), 71-85 Downloads View citations (58)
    See also Working Paper Semiparametric Trending Panel Data Models with Cross-Sectional Dependence, Monash Econometrics and Business Statistics Working Papers (2011) Downloads View citations (5) (2011)

2011

  1. Non‐parametric time‐varying coefficient panel data models with fixed effects
    Econometrics Journal, 2011, 14, (3), 387-408 Downloads View citations (77)
    See also Working Paper Nonparametric Time-Varying Coefficient Panel Data Models with Fixed Effects, School of Economics and Public Policy Working Papers (2010) Downloads View citations (8) (2010)

2010

  1. Robust estimation in a nonlinear cointegration model
    Journal of Multivariate Analysis, 2010, 101, (3), 706-717 Downloads View citations (12)

2009

  1. Local Linear M‐estimation in non‐parametric spatial regression
    Journal of Time Series Analysis, 2009, 30, (3), 286-314 Downloads View citations (6)
  2. Variable selection in partially time-varying coefficient models
    Journal of Nonparametric Statistics, 2009, 21, (5), 553-566 Downloads View citations (4)

2008

  1. Change point estimators by local polynomial fits under a dependence assumption
    Journal of Multivariate Analysis, 2008, 99, (10), 2339-2355 Downloads View citations (1)
  2. Spatial local M-estimation under association
    Metrika: International Journal for Theoretical and Applied Statistics, 2008, 67, (1), 11-29 Downloads

2007

  1. 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 Downloads
  2. Asymptotic normality for L1-norm kernel estimator of conditional median under association dependence
    Journal of Multivariate Analysis, 2007, 98, (6), 1214-1230 Downloads View citations (2)
 
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