Details about Liangjun Su

Access statistics for papers by Liangjun Su.

Last updated 2025-04-24. Update your information in the RePEc Author Service.

Short-id: psu241

Working Papers

2025

1. A Robust Residual-Based Test for Structural Changes in Factor Models
   Papers, arXiv.org
   Also in Monash Econometrics and Business Statistics Working Papers, Monash University, Department of Econometrics and Business Statistics (2024)
2. Inference on many jumps in nonparametric panel regression models
   Papers, arXiv.org

2024

3. A Functional-Coefficient VAR Model for Dynamic Quantiles and Its Application to Constructing Nonparametric Financial Network
   WORKING PAPERS SERIES IN THEORETICAL AND APPLIED ECONOMICS, University of Kansas, Department of Economics
4. A One-Covariate-at-a-Time Method for Nonparametric Additive Models
   Papers, arXiv.org

2023

5. Panel Data Models with Time-Varying Latent Group Structures
   Papers, arXiv.org
   Also in Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University (2023)
   See also Journal Article Panel data models with time-varying latent group structures, Journal of Econometrics, Elsevier (2024) View citations (2) (2024)

2022

6. L2-Relaxation: With Applications to Forecast Combination and Portfolio Analysis
   Papers, arXiv.org View citations (1)
7. Low-rank Panel Quantile Regression: Estimation and Inference
   Papers, arXiv.org View citations (3)
8. Unified Factor Model Estimation and Inference under Short and Long Memory
   Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University

2021

9. Detecting Latent Communities in Network Formation Models
   Papers, arXiv.org View citations (1)
   Also in Economics and Statistics Working Papers, Singapore Management University, School of Economics (2020) View citations (7)
10. Interactive Effects Panel Data Models with General Factors and Regressors
    Papers, arXiv.org View citations (2)
    Also in Monash Econometrics and Business Statistics Working Papers, Monash University, Department of Econometrics and Business Statistics (2021) View citations (2)

2020

11. Corrigendum to “On Time-varying Factor Models: Estimation and Testing” [J. Econometrics 198 (2017) 84-101]
    Economics and Statistics Working Papers, Singapore Management University, School of Economics
12. High-Dimensional VARs with Common Factors
    Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University View citations (2)
    See also Journal Article High-dimensional VARs with common factors, Journal of Econometrics, Elsevier (2023) View citations (12) (2023)
13. Nonstationary Panel Models with Latent Group Structures and Cross-Section Dependence
    Economics and Statistics Working Papers, Singapore Management University, School of Economics View citations (3)
    See also Journal Article Nonstationary panel models with latent group structures and cross-section dependence, Journal of Econometrics, Elsevier (2021) View citations (12) (2021)

2019

14. Inference in partially identified panel data models with interactive fixed effects
    Economics and Statistics Working Papers, Singapore Management University, School of Economics View citations (2)
15. On Factor Models with Random Missing: EM Estimation, Inference, and Cross Validation
    Economics and Statistics Working Papers, Singapore Management University, School of Economics View citations (10)
    See also Journal Article On factor models with random missing: EM estimation, inference, and cross validation, Journal of Econometrics, Elsevier (2021) View citations (15) (2021)
16. Panel threshold regressions with latent group structures
    Economics and Statistics Working Papers, Singapore Management University, School of Economics View citations (1)
    See also Journal Article Panel threshold regressions with latent group structures, Journal of Econometrics, Elsevier (2020) View citations (9) (2020)

2018

17. Determination of Different Types of Fixed Effects in Three-Dimensional Panels
    Economics and Statistics Working Papers, Singapore Management University, School of Economics View citations (1)
    See also Journal Article Determination of different types of fixed effects in three-dimensional panels*, Econometric Reviews, Taylor & Francis Journals (2021) (2021)
18. Identifying Latent Grouped Patterns in Cointegrated Panels
    Economics and Statistics Working Papers, Singapore Management University, School of Economics View citations (2)
    See also Journal Article IDENTIFYING LATENT GROUPED PATTERNS IN COINTEGRATED PANELS, Econometric Theory, Cambridge University Press (2020) View citations (8) (2020)
19. Testing Alphas in Conditional Time-Varying Factor Models with High Dimensional Assets
    Economics and Statistics Working Papers, Singapore Management University, School of Economics
    See also Journal Article Testing Alphas in Conditional Time-Varying Factor Models With High-Dimensional Assets, Journal of Business & Economic Statistics, Taylor & Francis Journals (2020) View citations (6) (2020)
20. The Heterogeneous Effects of the Minimum Wage on Employment Across States
    Economics and Statistics Working Papers, Singapore Management University, School of Economics View citations (1)
    See also Journal Article The heterogeneous effects of the minimum wage on employment across states, Economics Letters, Elsevier (2019) View citations (24) (2019)

2017

21. Identifying Latent Group Structures in Nonlinear Panels
    Economics and Statistics Working Papers, Singapore Management University, School of Economics
    See also Journal Article Identifying latent group structures in nonlinear panels, Journal of Econometrics, Elsevier (2021) View citations (17) (2021)
22. M-Estimation of a Nonparametric Threshold Regression Model
    Working Papers, University of Miami, Department of Economics View citations (1)
23. Non-separable Models with High-dimensional Data
    Economics and Statistics Working Papers, Singapore Management University, School of Economics
    See also Journal Article Non-separable models with high-dimensional data, Journal of Econometrics, Elsevier (2019) View citations (17) (2019)
24. Strong Consistency of Spectral Clustering for Stochastic Block Models
    Economics and Statistics Working Papers, Singapore Management University, School of Economics

2016

25. Homogeneity Pursuit in Panel Data Models: Theory and Applications
    Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University View citations (12)
    See also Journal Article Homogeneity pursuit in panel data models: Theory and application, Journal of Applied Econometrics, John Wiley & Sons, Ltd. (2018) View citations (29) (2018)
26. Testing Monotonicity in Unobservables with Panel Data
    Boston College Working Papers in Economics, Boston College Department of Economics

2015

27. Shrinkage Estimation of Dynamic Panel Data Models with Interactive Fixed Effects
    Working Papers, Singapore Management University, School of Economics View citations (17)
    See also Journal Article Shrinkage estimation of dynamic panel data models with interactive fixed effects, Journal of Econometrics, Elsevier (2016) View citations (82) (2016)
28. Sieve Instrumental Variable Quantile Regression Estimation of Functional Coefficient Models
    Working Papers, Singapore Management University, School of Economics View citations (3)
    See also Journal Article Sieve instrumental variable quantile regression estimation of functional coefficient models, Journal of Econometrics, Elsevier (2016) View citations (13) (2016)
29. Testing for Monotonicity in Unobservables under Unconfoundedness
    Boston College Working Papers in Economics, Boston College Department of Economics
    See also Journal Article Testing for monotonicity in unobservables under unconfoundedness, Journal of Econometrics, Elsevier (2016) View citations (6) (2016)

2014

30. A Combined Approach to the Inference of Conditional Factor Models
    Working Papers, Singapore Management University, School of Economics View citations (2)
    See also Journal Article A Combined Approach to the Inference of Conditional Factor Models, Journal of Business & Economic Statistics, Taylor & Francis Journals (2015) View citations (3) (2015)
31. Additive Nonparametric Regression in the Presence of Endogenous Regressors
    IZA Discussion Papers, Institute of Labor Economics (IZA) View citations (16)
    See also Journal Article Additive Nonparametric Regression in the Presence of Endogenous Regressors, Journal of Business & Economic Statistics, Taylor & Francis Journals (2014) View citations (16) (2014)
32. Identifying Latent Structures in Panel Data
    Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University View citations (9)
    Also in Working Papers, Singapore Management University, School of Economics (2014) View citations (10)
    See also Journal Article Identifying Latent Structures in Panel Data, Econometrica, Econometric Society (2016) View citations (141) (2016)
33. Jackknife Model Averaging for Quantile Regressions
    Working Papers, Singapore Management University, School of Economics View citations (1)
    See also Journal Article Jackknife model averaging for quantile regressions, Journal of Econometrics, Elsevier (2015) View citations (49) (2015)
34. Nonparametric Testing for Anomaly Effects in Empirical Asset Pricing Models
    Working Papers, Singapore Management University, School of Economics
    See also Journal Article Nonparametric testing for anomaly effects in empirical asset pricing models, Empirical Economics, Springer (2015) View citations (1) (2015)
35. Shrinkage Estimation of Regression Models with Multiple Structural Changes
    Working Papers, Singapore Management University, School of Economics View citations (11)
    See also Journal Article SHRINKAGE ESTIMATION OF REGRESSION MODELS WITH MULTIPLE STRUCTURAL CHANGES, Econometric Theory, Cambridge University Press (2016) View citations (24) (2016)
36. Specification Test for Panel Data Models with Interactive Fixed Effects
    Working Papers, Singapore Management University, School of Economics View citations (3)
    See also Journal Article Specification test for panel data models with interactive fixed effects, Journal of Econometrics, Elsevier (2015) View citations (32) (2015)

2013

37. Specification Testing for Transformation Models with an Application to Generalized Accelerated Failure-time Models
    Boston College Working Papers in Economics, Boston College Department of Economics
    See also Journal Article Specification testing for transformation models with an application to generalized accelerated failure-time models, Journal of Econometrics, Elsevier (2015) View citations (17) (2015)

2011

38. Testing for Common Trends in Semiparametric Panel Data Models with Fixed Effects
    Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University View citations (2)
    See also Journal Article Testing for common trends in semi‐parametric panel data models with fixed effects, Econometrics Journal, Royal Economic Society (2012) View citations (22) (2012)

2009

39. A Paradox of Inconsistent Parametric and Consistent Nonparametric Regression
    Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University
40. Asymptotics and Bootstrap for Transformed Panel Data Regressions
    Working Papers, Singapore Management University, School of Economics View citations (1)
    Also in Development Economics Working Papers, East Asian Bureau of Economic Research (2008) View citations (1)
41. Estimation and Forecasting of Dynamic Conditional Covariance: A Semiparametric Multivariate Model Variables with Econometric Applications
    Working Papers, University of California at Riverside, Department of Economics View citations (2)
42. Functional Coefficient Estimation with Both Categorical and Continuous Data
    Working Papers, University of California at Riverside, Department of Economics View citations (2)
43. Nonparametric Structural Estimation via Continuous Location Shifts in an Endogenous Regressor
    Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University View citations (1)

2007

44. Instrumental Variable Quantile Estimation of Spatial Autoregressive Models
    Working Papers, Singapore Management University, School of Economics View citations (11)
    Also in Development Economics Working Papers, East Asian Bureau of Economic Research (2007) View citations (18)

2003

45. A Consistent Characteristic-Function-Based Test for Conditional Independence
    University of California at San Diego, Economics Working Paper Series, Department of Economics, UC San Diego View citations (2)
    See also Journal Article A consistent characteristic function-based test for conditional independence, Journal of Econometrics, Elsevier (2007) View citations (51) (2007)
46. Testing Conditional Independence Via Empirical Likelihood
    University of California at San Diego, Economics Working Paper Series, Department of Economics, UC San Diego View citations (13)
    See also Journal Article Testing conditional independence via empirical likelihood, Journal of Econometrics, Elsevier (2014) View citations (16) (2014)

Journal Articles

2025

1. ℓ2-Relaxation: With Applications to Forecast Combination and Portfolio Analysis
   The Review of Economics and Statistics, 2025, 107, (2), 523-538

2024

2. A one-covariate-at-a-time multiple testing approach to variable selection in additive models
   Econometric Reviews, 2024, 43, (9), 671-712
3. Estimation and Inference on Time-Varying FAVAR Models
   Journal of Business & Economic Statistics, 2024, 42, (2), 533-547 View citations (1)
4. Oracle Efficient Estimation of Heterogeneous Dynamic Panel Data Models with Interactive Fixed Effects
   Journal of Business & Economic Statistics, 2024, 42, (4), 1169-1184
5. Panel data models with time-varying latent group structures
   Journal of Econometrics, 2024, 240, (1) View citations (2)
   See also Working Paper Panel Data Models with Time-Varying Latent Group Structures, Papers (2023) (2023)
6. Robust inference of panel data models with interactive fixed effects under long memory: A frequency domain approach
   Journal of Econometrics, 2024, 241, (2)
7. TESTING FOR STRICT STATIONARITY VIA THE DISCRETE FOURIER TRANSFORM
   Econometric Theory, 2024, 40, (3), 511-557

2023

8. Detecting Unobserved Heterogeneity in Efficient Prices via Classifier-Lasso
   Journal of Business & Economic Statistics, 2023, 41, (2), 509-522 View citations (1)
9. High-dimensional VARs with common factors
   Journal of Econometrics, 2023, 233, (1), 155-183 View citations (12)
   See also Working Paper High-Dimensional VARs with Common Factors, Cowles Foundation Discussion Papers (2020) View citations (2) (2020)
10. Identifying latent group structures in spatial dynamic panels
    Journal of Econometrics, 2023, 235, (2), 1955-1980 View citations (2)
11. Profile GMM estimation of panel data models with interactive fixed effects
    Journal of Econometrics, 2023, 235, (2), 927-948 View citations (8)
12. Specification tests for time-varying coefficient models
    Journal of Econometrics, 2023, 235, (2), 720-744
13. Uniform inference in linear panel data models with two-dimensional heterogeneity
    Journal of Econometrics, 2023, 235, (2), 694-719 View citations (4)

2021

14. Determination of different types of fixed effects in three-dimensional panels*
    Econometric Reviews, 2021, 40, (9), 867-898
    See also Working Paper Determination of Different Types of Fixed Effects in Three-Dimensional Panels, Economics and Statistics Working Papers (2018) View citations (1) (2018)
15. Identifying latent group structures in nonlinear panels
    Journal of Econometrics, 2021, 220, (2), 272-295 View citations (17)
    See also Working Paper Identifying Latent Group Structures in Nonlinear Panels, Economics and Statistics Working Papers (2017) (2017)
16. Nonstationary panel models with latent group structures and cross-section dependence
    Journal of Econometrics, 2021, 221, (1), 198-222 View citations (12)
    See also Working Paper Nonstationary Panel Models with Latent Group Structures and Cross-Section Dependence, Economics and Statistics Working Papers (2020) View citations (3) (2020)
17. On factor models with random missing: EM estimation, inference, and cross validation
    Journal of Econometrics, 2021, 222, (1), 745-777 View citations (15)
    See also Working Paper On Factor Models with Random Missing: EM Estimation, Inference, and Cross Validation, Economics and Statistics Working Papers (2019) View citations (10) (2019)

2020

18. Determining individual or time effects in panel data models
    Journal of Econometrics, 2020, 215, (1), 60-83 View citations (3)
19. IDENTIFYING LATENT GROUPED PATTERNS IN COINTEGRATED PANELS
    Econometric Theory, 2020, 36, (3), 410-456 View citations (8)
    See also Working Paper Identifying Latent Grouped Patterns in Cointegrated Panels, Economics and Statistics Working Papers (2018) View citations (2) (2018)
20. Panel threshold models with interactive fixed effects
    Journal of Econometrics, 2020, 219, (1), 137-170 View citations (4)
21. Panel threshold regressions with latent group structures
    Journal of Econometrics, 2020, 214, (2), 451-481 View citations (9)
    See also Working Paper Panel threshold regressions with latent group structures, Economics and Statistics Working Papers (2019) View citations (1) (2019)
22. TESTING FOR STRUCTURAL CHANGES IN FACTOR MODELS VIA A NONPARAMETRIC REGRESSION
    Econometric Theory, 2020, 36, (6), 1127-1158 View citations (10)
23. Testing Alphas in Conditional Time-Varying Factor Models With High-Dimensional Assets
    Journal of Business & Economic Statistics, 2020, 38, (1), 214-227 View citations (6)
    See also Working Paper Testing Alphas in Conditional Time-Varying Factor Models with High Dimensional Assets, Economics and Statistics Working Papers (2018) (2018)

2019

24. A smoothed Q‐learning algorithm for estimating optimal dynamic treatment regimes
    Scandinavian Journal of Statistics, 2019, 46, (2), 446-469
25. Common threshold in quantile regressions with an application to pricing for reputation
    Econometric Reviews, 2019, 38, (4), 417-450 View citations (4)
26. Non-separable models with high-dimensional data
    Journal of Econometrics, 2019, 212, (2), 646-677 View citations (17)
    See also Working Paper Non-separable Models with High-dimensional Data, Economics and Statistics Working Papers (2017) (2017)
27. Semi-parametric single-index panel data models with interactive fixed effects: Theory and practice
    Journal of Econometrics, 2019, 212, (2), 607-622 View citations (3)
28. Sieve Estimation of Time-Varying Panel Data Models With Latent Structures
    Journal of Business & Economic Statistics, 2019, 37, (2), 334-349 View citations (33)
29. The heterogeneous effects of the minimum wage on employment across states
    Economics Letters, 2019, 174, (C), 179-185 View citations (24)
    See also Working Paper The Heterogeneous Effects of the Minimum Wage on Employment Across States, Economics and Statistics Working Papers (2018) View citations (1) (2018)

2018

30. Asymptotics and bootstrap for random-effects panel data transformation models
    Econometric Reviews, 2018, 37, (6), 602-625
31. Estimation of large dimensional factor models with an unknown number of breaks
    Journal of Econometrics, 2018, 207, (1), 1-29 View citations (31)
32. Homogeneity pursuit in panel data models: Theory and application
    Journal of Applied Econometrics, 2018, 33, (6), 797-815 View citations (29)
    See also Working Paper Homogeneity Pursuit in Panel Data Models: Theory and Applications, Cowles Foundation Discussion Papers (2016) View citations (12) (2016)
33. Identifying latent grouped patterns in panel data models with interactive fixed effects
    Journal of Econometrics, 2018, 206, (2), 554-573 View citations (28)

2017

34. A martingale-difference-divergence-based test for specification
    Economics Letters, 2017, 156, (C), 162-167 View citations (5)
35. Determining the number of groups in latent panel structures with an application to income and democracy
    Quantitative Economics, 2017, 8, (3), 729-760 View citations (29)
36. On time-varying factor models: Estimation and testing
    Journal of Econometrics, 2017, 198, (1), 84-101 View citations (66)
37. Specification Test for Spatial Autoregressive Models
    Journal of Business & Economic Statistics, 2017, 35, (4), 572-584 View citations (9)

2016

38. A practical test for strict exogeneity in linear panel data models with fixed effects
    Economics Letters, 2016, 147, (C), 27-31 View citations (9)
39. Identifying Latent Structures in Panel Data
    Econometrica, 2016, 84, 2215-2264 View citations (141)
    See also Working Paper Identifying Latent Structures in Panel Data, Cowles Foundation Discussion Papers (2014) View citations (9) (2014)
40. Panel Data Models With Interactive Fixed Effects and Multiple Structural Breaks
    Journal of the American Statistical Association, 2016, 111, (516), 1804-1819 View citations (64)
41. SHRINKAGE ESTIMATION OF REGRESSION MODELS WITH MULTIPLE STRUCTURAL CHANGES
    Econometric Theory, 2016, 32, (6), 1376-1433 View citations (24)
    See also Working Paper Shrinkage Estimation of Regression Models with Multiple Structural Changes, Working Papers (2014) View citations (11) (2014)
42. Shrinkage estimation of common breaks in panel data models via adaptive group fused Lasso
    Journal of Econometrics, 2016, 191, (1), 86-109 View citations (51)
43. Shrinkage estimation of dynamic panel data models with interactive fixed effects
    Journal of Econometrics, 2016, 190, (1), 148-175 View citations (82)
    See also Working Paper Shrinkage Estimation of Dynamic Panel Data Models with Interactive Fixed Effects, Working Papers (2015) View citations (17) (2015)
44. Sieve instrumental variable quantile regression estimation of functional coefficient models
    Journal of Econometrics, 2016, 191, (1), 231-254 View citations (13)
    See also Working Paper Sieve Instrumental Variable Quantile Regression Estimation of Functional Coefficient Models, Working Papers (2015) View citations (3) (2015)
45. Testing for monotonicity in unobservables under unconfoundedness
    Journal of Econometrics, 2016, 193, (1), 183-202 View citations (6)
    See also Working Paper Testing for Monotonicity in Unobservables under Unconfoundedness, Boston College Working Papers in Economics (2015) (2015)

2015

46. A Combined Approach to the Inference of Conditional Factor Models
    Journal of Business & Economic Statistics, 2015, 33, (2), 203-220 View citations (3)
    See also Working Paper A Combined Approach to the Inference of Conditional Factor Models, Working Papers (2014) View citations (2) (2014)
47. ADAPTIVE NONPARAMETRIC REGRESSION WITH CONDITIONAL HETEROSKEDASTICITY
    Econometric Theory, 2015, 31, (6), 1153-1191 View citations (4)
48. Jackknife model averaging for quantile regressions
    Journal of Econometrics, 2015, 188, (1), 40-58 View citations (49)
    See also Working Paper Jackknife Model Averaging for Quantile Regressions, Working Papers (2014) View citations (1) (2014)
49. Nonparametric testing for anomaly effects in empirical asset pricing models
    Empirical Economics, 2015, 48, (1), 9-36 View citations (1)
    See also Working Paper Nonparametric Testing for Anomaly Effects in Empirical Asset Pricing Models, Working Papers (2014) (2014)
50. QML estimation of dynamic panel data models with spatial errors
    Journal of Econometrics, 2015, 185, (1), 230-258 View citations (61)
51. Specification test for panel data models with interactive fixed effects
    Journal of Econometrics, 2015, 186, (1), 222-244 View citations (32)
    See also Working Paper Specification Test for Panel Data Models with Interactive Fixed Effects, Working Papers (2014) View citations (3) (2014)
52. Specification testing for transformation models with an application to generalized accelerated failure-time models
    Journal of Econometrics, 2015, 184, (1), 81-96 View citations (17)
    See also Working Paper Specification Testing for Transformation Models with an Application to Generalized Accelerated Failure-time Models, Boston College Working Papers in Economics (2013) (2013)
53. Testing Additive Separability of Error Term in Nonparametric Structural Models
    Econometric Reviews, 2015, 34, (6-10), 1057-1088 View citations (7)

2014

54. Additive Nonparametric Regression in the Presence of Endogenous Regressors
    Journal of Business & Economic Statistics, 2014, 32, (4), 555-575 View citations (16)
    See also Working Paper Additive Nonparametric Regression in the Presence of Endogenous Regressors, IZA Discussion Papers (2014) View citations (16) (2014)
55. Robustify Financial Time Series Forecasting with Bagging
    Econometric Reviews, 2014, 33, (5-6), 575-605 View citations (17)
56. Structural change estimation in time series regressions with endogenous variables
    Economics Letters, 2014, 125, (3), 415-421 View citations (7)
57. Testing conditional independence via empirical likelihood
    Journal of Econometrics, 2014, 182, (1), 27-44 View citations (16)
    See also Working Paper Testing Conditional Independence Via Empirical Likelihood, University of California at San Diego, Economics Working Paper Series (2003) View citations (13) (2003)

2013

58. A NONPARAMETRIC GOODNESS-OF-FIT-BASED TEST FOR CONDITIONAL HETEROSKEDASTICITY
    Econometric Theory, 2013, 29, (1), 187-212 View citations (10)
59. A Nonparametric Poolability Test for Panel Data Models with Cross Section Dependence
    Econometric Reviews, 2013, 32, (4), 469-512 View citations (12)
60. Local Linear GMM Estimation of Functional Coefficient IV Models With an Application to Estimating the Rate of Return to Schooling
    Journal of Business & Economic Statistics, 2013, 31, (2), 184-207 View citations (22)
61. Nonparametric Testing for Asymmetric Information
    Journal of Business & Economic Statistics, 2013, 31, (2), 208-225 View citations (23)
62. Nonparametric dynamic panel data models: Kernel estimation and specification testing
    Journal of Econometrics, 2013, 176, (2), 112-133 View citations (15)
63. Nonparametric regression estimation with general parametric error covariance: a more efficient two-step estimator
    Empirical Economics, 2013, 45, (2), 1009-1024 View citations (8)
64. TESTING HOMOGENEITY IN PANEL DATA MODELS WITH INTERACTIVE FIXED EFFECTS
    Econometric Theory, 2013, 29, (6), 1079-1135 View citations (72)

2012

65. Semiparametric GMM estimation of spatial autoregressive models
    Journal of Econometrics, 2012, 167, (2), 543-560 View citations (55)
66. Sieve estimation of panel data models with cross section dependence
    Journal of Econometrics, 2012, 169, (1), 34-47 View citations (65)
67. Testing for common trends in semi‐parametric panel data models with fixed effects
    Econometrics Journal, 2012, 15, (1), 56-100 View citations (22)
    See also Working Paper Testing for Common Trends in Semiparametric Panel Data Models with Fixed Effects, Cowles Foundation Discussion Papers (2011) View citations (2) (2011)

2011

68. Estimation and Forecasting of Dynamic Conditional Covariance: A Semiparametric Multivariate Model
    Journal of Business & Economic Statistics, 2011, 29, (1), 109-125 View citations (40)
    Also in Journal of Business & Economic Statistics, 2011, 29, (1), 109-125 (2011) View citations (42)
69. Non‐parametric regression under location shifts
    Econometrics Journal, 2011, 14, (3), 457-486 View citations (3)

2010

70. Profile quasi-maximum likelihood estimation of partially linear spatial autoregressive models
    Journal of Econometrics, 2010, 157, (1), 18-33 View citations (64)
71. Semiparametric Estimator of Time Series Conditional Variance
    Journal of Business & Economic Statistics, 2010, 28, (2), 256-274 View citations (20)
72. TESTING STRUCTURAL CHANGE IN PARTIALLY LINEAR MODELS
    Econometric Theory, 2010, 26, (6), 1761-1806 View citations (10)

2009

73. Testing Conditional Uncorrelatedness
    Journal of Business & Economic Statistics, 2009, 27, 18-29 View citations (4)

2008

74. A NONPARAMETRIC HELLINGER METRIC TEST FOR CONDITIONAL INDEPENDENCE
    Econometric Theory, 2008, 24, (4), 829-864 View citations (45)
75. Local polynomial estimation of nonparametric simultaneous equations models
    Journal of Econometrics, 2008, 144, (1), 193-218 View citations (45)
76. Testing for parameter stability in quantile regression models
    Statistics & Probability Letters, 2008, 78, (16), 2768-2775 View citations (18)

2007

77. A consistent characteristic function-based test for conditional independence
    Journal of Econometrics, 2007, 141, (2), 807-834 View citations (51)
    See also Working Paper A Consistent Characteristic-Function-Based Test for Conditional Independence, University of California at San Diego, Economics Working Paper Series (2003) View citations (2) (2003)
78. Business output and business experience — Evidence from China's nongovernmental businesses
    Applied Economics Letters, 2007, 14, (3), 227-231
79. Forecasting the car penetration rate (CPR) in China: a nonparametric approach
    Applied Economics, 2007, 39, (17), 2189-2195
80. More efficient estimation of nonparametric panel data models with random effects
    Economics Letters, 2007, 96, (3), 375-380 View citations (12)

2006

81. A simple test for multivariate conditional symmetry
    Economics Letters, 2006, 93, (3), 374-378 View citations (4)
82. MORE EFFICIENT ESTIMATION IN NONPARAMETRIC REGRESSION WITH NONPARAMETRIC AUTOCORRELATED ERRORS
    Econometric Theory, 2006, 22, (1), 98-126 View citations (17)
83. Profile likelihood estimation of partially linear panel data models with fixed effects
    Economics Letters, 2006, 92, (1), 75-81 View citations (69)
84. The Rise in House Prices in China: Bubbles or Fundamentals?
    Economics Bulletin, 2006, 3, (7), 1-8 View citations (8)

2005

85. A Bootstrap Test for Conditional Symmetry
    Annals of Economics and Finance, 2005, 6, (2), 251-261 View citations (1)

Books

2014

1. The Oxford Handbook of Applied Nonparametric and Semiparametric Econometrics and Statistics
   OUP Catalogue, Oxford University Press View citations (32)

Chapters

2016

1. A Selective Review of Aman Ullah’s Contributions to Econometrics
   A chapter in Essays in Honor of Aman Ullah, 2016, vol. 36, pp 3-43
2. Semiparametric Estimation of Partially Linear Dynamic Panel Data Models with Fixed Effects
   A chapter in Essays in Honor of Aman Ullah, 2016, vol. 36, pp 137-204 View citations (14)

2012

3. Conditional Independence Specification Testing for Dependent Processes with Local Polynomial Quantile Regression
   A chapter in Essays in Honor of Jerry Hausman, 2012, pp 355-434 View citations (1)

2009

4. Functional coefficient estimation with both categorical and continuous data
   A chapter in Nonparametric Econometric Methods, 2009, pp 131-167 View citations (1)