Details about Richard Song

Access statistics for papers by Richard Song.

Last updated 2026-09-14. Update your information in the RePEc Author Service.

Short-id: pso178

Working Papers

2011

1. Dynamic Large Spatial Covariance Matrix Estimation in Application to Semiparametric Model Construction via Variable Clustering: the SCE approach
   Papers, arXiv.org
2. Large Vector Auto Regressions
   Papers, arXiv.org View citations (84)
   Also in SFB 649 Discussion Papers, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk (2011) View citations (38)
3. Risk patterns and correlated brain activities: Multidimensional statistical analysis of fMRI data with application to risk patterns
   SFB 649 Discussion Papers, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk

2010

4. High dimensional nonstationary time series modelling with generalized dynamic semiparametric factor model
   SFB 649 Discussion Papers, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk
5. Partial linear quantile regression and bootstrap confidence bands
   SFB 649 Discussion Papers, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk

2008

6. The stochastic fluctuation of the quantile regression curve
   SFB 649 Discussion Papers, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk

Journal Articles

2016

1. Group-wise semiparametric modeling: A SCSE approach
   Journal of Multivariate Analysis, 2016, 152, (C), 1-14

2014

2. Generalized dynamic semi‐parametric factor models for high‐dimensional non‐stationary time series
   Econometrics Journal, 2014, 17, (2), S101-S131 View citations (4)
3. Risk Patterns and Correlated Brain Activities. Multidimensional Statistical Analysis of fMRI Data in Economic Decision Making Study
   Psychometrika, 2014, 79, (3), 489-514 View citations (14)

2012

4. A CONSISTENT NONPARAMETRIC TEST FOR CAUSALITY IN QUANTILE
   Econometric Theory, 2012, 28, (4), 861-887 View citations (337)
5. Bootstrap confidence bands and partial linear quantile regression
   Journal of Multivariate Analysis, 2012, 107, (C), 244-262 View citations (11)

2010

6. CONFIDENCE BANDS IN QUANTILE REGRESSION
   Econometric Theory, 2010, 26, (4), 1180-1200 View citations (28)
   Also in Econometric Theory, 2012, 28, (2), 483-484 (2012)

2008

7. Diagnostic checking for multivariate regression models
   Journal of Multivariate Analysis, 2008, 99, (9), 1841-1859