Details about Liangjun Su
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Last updated 2023-03-05. Update your information in the RePEc Author Service.
Short-id: psu241
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Working Papers
2022
- A One-Covariate-at-a-Time Method for Nonparametric Additive Models
Papers, arXiv.org
- L2-Relaxation: With Applications to Forecast Combination and Portfolio Analysis
Papers, arXiv.org
- Low-rank Panel Quantile Regression: Estimation and Inference
Papers, arXiv.org
2021
- Detecting Latent Communities in Network Formation Models
Papers, arXiv.org 
Also in Economics and Statistics Working Papers, Singapore Management University, School of Economics (2020) View citations (3)
- Interactive Effects Panel Data Models with General Factors and Regressors
Monash Econometrics and Business Statistics Working Papers, Monash University, Department of Econometrics and Business Statistics View citations (1)
Also in Papers, arXiv.org (2021) View citations (1)
2020
- 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
- High-Dimensional VARs with Common Factors
Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University View citations (2)
- Nonstationary Panel Models with Latent Group Structures and Cross-Section Dependence
Economics and Statistics Working Papers, Singapore Management University, School of Economics View citations (2)
See also Journal Article in Journal of Econometrics (2021)
2019
- 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)
- 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 in Journal of Econometrics (2021)
- 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 in Journal of Econometrics (2020)
2018
- 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 in Econometric Reviews (2021)
- Identifying Latent Grouped Patterns in Cointegrated Panels
Economics and Statistics Working Papers, Singapore Management University, School of Economics View citations (1)
See also Journal Article in Econometric Theory (2020)
- 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 in Journal of Business & Economic Statistics (2020)
- 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 in Economics Letters (2019)
2017
- Identifying Latent Group Structures in Nonlinear Panels
Economics and Statistics Working Papers, Singapore Management University, School of Economics 
See also Journal Article in Journal of Econometrics (2021)
- M-Estimation of a Nonparametric Threshold Regression Model
Working Papers, University of Miami, Department of Economics
- Non-separable Models with High-dimensional Data
Economics and Statistics Working Papers, Singapore Management University, School of Economics 
See also Journal Article in Journal of Econometrics (2019)
- Strong Consistency of Spectral Clustering for Stochastic Block Models
Economics and Statistics Working Papers, Singapore Management University, School of Economics
2016
- 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 in Journal of Applied Econometrics (2018)
- Testing Monotonicity in Unobservables with Panel Data
Boston College Working Papers in Economics, Boston College Department of Economics
2015
- Shrinkage Estimation of Dynamic Panel Data Models with Interactive Fixed Effects
Working Papers, Singapore Management University, School of Economics View citations (12)
See also Journal Article in Journal of Econometrics (2016)
- 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 in Journal of Econometrics (2016)
- Testing for Monotonicity in Unobservables under Unconfoundedness
Boston College Working Papers in Economics, Boston College Department of Economics 
See also Journal Article in Journal of Econometrics (2016)
2014
- 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 in Journal of Business & Economic Statistics (2015)
- Additive Nonparametric Regression in the Presence of Endogenous Regressors
IZA Discussion Papers, Institute of Labor Economics (IZA) View citations (11)
See also Journal Article in Journal of Business & Economic Statistics (2014)
- Identifying Latent Structures in Panel Data
Working Papers, Singapore Management University, School of Economics View citations (9)
Also in Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University (2014) View citations (8)
See also Journal Article in Econometrica (2016)
- Jackknife Model Averaging for Quantile Regressions
Working Papers, Singapore Management University, School of Economics View citations (1)
See also Journal Article in Journal of Econometrics (2015)
- Nonparametric Testing for Anomaly Effects in Empirical Asset Pricing Models
Working Papers, Singapore Management University, School of Economics 
See also Journal Article in Empirical Economics (2015)
- Shrinkage Estimation of Regression Models with Multiple Structural Changes
Working Papers, Singapore Management University, School of Economics View citations (11)
See also Journal Article in Econometric Theory (2016)
- 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 in Journal of Econometrics (2015)
2013
- 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 in Journal of Econometrics (2015)
2011
- 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 in Econometrics Journal (2012)
2009
- A Paradox of Inconsistent Parametric and Consistent Nonparametric Regression
Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University
- 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)
- 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)
- Functional Coefficient Estimation with Both Categorical and Continuous Data
Working Papers, University of California at Riverside, Department of Economics View citations (1)
- 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
- Instrumental Variable Quantile Estimation of Spatial Autoregressive Models
Development Economics Working Papers, East Asian Bureau of Economic Research View citations (15)
Also in Working Papers, Singapore Management University, School of Economics (2007) View citations (8)
2003
- 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 in Journal of Econometrics (2007)
- 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 in Journal of Econometrics (2014)
Journal Articles
2021
- Determination of different types of fixed effects in three-dimensional panels*
Econometric Reviews, 2021, 40, (9), 867-898 
See also Working Paper (2018)
- Identifying latent group structures in nonlinear panels
Journal of Econometrics, 2021, 220, (2), 272-295 View citations (4)
See also Working Paper (2017)
- Nonstationary panel models with latent group structures and cross-section dependence
Journal of Econometrics, 2021, 221, (1), 198-222 View citations (6)
See also Working Paper (2020)
- On factor models with random missing: EM estimation, inference, and cross validation
Journal of Econometrics, 2021, 222, (1), 745-777 View citations (2)
See also Working Paper (2019)
2020
- Determining individual or time effects in panel data models
Journal of Econometrics, 2020, 215, (1), 60-83
- IDENTIFYING LATENT GROUPED PATTERNS IN COINTEGRATED PANELS
Econometric Theory, 2020, 36, (3), 410-456 View citations (2)
See also Working Paper (2018)
- Panel threshold models with interactive fixed effects
Journal of Econometrics, 2020, 219, (1), 137-170 View citations (1)
- Panel threshold regressions with latent group structures
Journal of Econometrics, 2020, 214, (2), 451-481 View citations (3)
See also Working Paper (2019)
- TESTING FOR STRUCTURAL CHANGES IN FACTOR MODELS VIA A NONPARAMETRIC REGRESSION
Econometric Theory, 2020, 36, (6), 1127-1158 View citations (3)
- Testing Alphas in Conditional Time-Varying Factor Models With High-Dimensional Assets
Journal of Business & Economic Statistics, 2020, 38, (1), 214-227 View citations (3)
See also Working Paper (2018)
2019
- A smoothed Q‐learning algorithm for estimating optimal dynamic treatment regimes
Scandinavian Journal of Statistics, 2019, 46, (2), 446-469
- Common threshold in quantile regressions with an application to pricing for reputation
Econometric Reviews, 2019, 38, (4), 417-450 View citations (2)
- Non-separable models with high-dimensional data
Journal of Econometrics, 2019, 212, (2), 646-677 View citations (8)
See also Working Paper (2017)
- Semi-parametric single-index panel data models with interactive fixed effects: Theory and practice
Journal of Econometrics, 2019, 212, (2), 607-622 View citations (2)
- Sieve Estimation of Time-Varying Panel Data Models With Latent Structures
Journal of Business & Economic Statistics, 2019, 37, (2), 334-349 View citations (13)
- The heterogeneous effects of the minimum wage on employment across states
Economics Letters, 2019, 174, (C), 179-185 View citations (16)
See also Working Paper (2018)
2018
- Asymptotics and bootstrap for random-effects panel data transformation models
Econometric Reviews, 2018, 37, (6), 602-625
- Estimation of large dimensional factor models with an unknown number of breaks
Journal of Econometrics, 2018, 207, (1), 1-29 View citations (19)
- Homogeneity pursuit in panel data models: Theory and application
Journal of Applied Econometrics, 2018, 33, (6), 797-815 View citations (15)
See also Working Paper (2016)
- Identifying latent grouped patterns in panel data models with interactive fixed effects
Journal of Econometrics, 2018, 206, (2), 554-573 View citations (16)
2017
- A martingale-difference-divergence-based test for specification
Economics Letters, 2017, 156, (C), 162-167 View citations (4)
- 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 (15)
- On time-varying factor models: Estimation and testing
Journal of Econometrics, 2017, 198, (1), 84-101 View citations (36)
- Specification Test for Spatial Autoregressive Models
Journal of Business & Economic Statistics, 2017, 35, (4), 572-584 View citations (7)
2016
- A practical test for strict exogeneity in linear panel data models with fixed effects
Economics Letters, 2016, 147, (C), 27-31 View citations (7)
- Identifying Latent Structures in Panel Data
Econometrica, 2016, 84, 2215-2264 View citations (84)
See also Working Paper (2014)
- Panel Data Models With Interactive Fixed Effects and Multiple Structural Breaks
Journal of the American Statistical Association, 2016, 111, (516), 1804-1819 View citations (49)
- SHRINKAGE ESTIMATION OF REGRESSION MODELS WITH MULTIPLE STRUCTURAL CHANGES
Econometric Theory, 2016, 32, (6), 1376-1433 View citations (13)
See also Working Paper (2014)
- Shrinkage estimation of common breaks in panel data models via adaptive group fused Lasso
Journal of Econometrics, 2016, 191, (1), 86-109 View citations (33)
- Shrinkage estimation of dynamic panel data models with interactive fixed effects
Journal of Econometrics, 2016, 190, (1), 148-175 View citations (56)
See also Working Paper (2015)
- Sieve instrumental variable quantile regression estimation of functional coefficient models
Journal of Econometrics, 2016, 191, (1), 231-254 View citations (8)
See also Working Paper (2015)
- Testing for monotonicity in unobservables under unconfoundedness
Journal of Econometrics, 2016, 193, (1), 183-202 View citations (5)
See also Working Paper (2015)
2015
- A Combined Approach to the Inference of Conditional Factor Models
Journal of Business & Economic Statistics, 2015, 33, (2), 203-220 View citations (2)
See also Working Paper (2014)
- ADAPTIVE NONPARAMETRIC REGRESSION WITH CONDITIONAL HETEROSKEDASTICITY
Econometric Theory, 2015, 31, (6), 1153-1191 View citations (3)
- Jackknife model averaging for quantile regressions
Journal of Econometrics, 2015, 188, (1), 40-58 View citations (31)
See also Working Paper (2014)
- Nonparametric testing for anomaly effects in empirical asset pricing models
Empirical Economics, 2015, 48, (1), 9-36 View citations (1)
See also Working Paper (2014)
- QML estimation of dynamic panel data models with spatial errors
Journal of Econometrics, 2015, 185, (1), 230-258 View citations (53)
- Specification test for panel data models with interactive fixed effects
Journal of Econometrics, 2015, 186, (1), 222-244 View citations (21)
See also Working Paper (2014)
- Specification testing for transformation models with an application to generalized accelerated failure-time models
Journal of Econometrics, 2015, 184, (1), 81-96 View citations (15)
See also Working Paper (2013)
- Testing Additive Separability of Error Term in Nonparametric Structural Models
Econometric Reviews, 2015, 34, (6-10), 1057-1088 View citations (7)
2014
- Additive Nonparametric Regression in the Presence of Endogenous Regressors
Journal of Business & Economic Statistics, 2014, 32, (4), 555-575 View citations (11)
See also Working Paper (2014)
- Robustify Financial Time Series Forecasting with Bagging
Econometric Reviews, 2014, 33, (5-6), 575-605 View citations (15)
- Structural change estimation in time series regressions with endogenous variables
Economics Letters, 2014, 125, (3), 415-421 View citations (6)
- Testing conditional independence via empirical likelihood
Journal of Econometrics, 2014, 182, (1), 27-44 View citations (9)
See also Working Paper (2003)
2013
- A NONPARAMETRIC GOODNESS-OF-FIT-BASED TEST FOR CONDITIONAL HETEROSKEDASTICITY
Econometric Theory, 2013, 29, (1), 187-212 View citations (8)
- A Nonparametric Poolability Test for Panel Data Models with Cross Section Dependence
Econometric Reviews, 2013, 32, (4), 469-512 View citations (11)
- 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 (18)
- Nonparametric Testing for Asymmetric Information
Journal of Business & Economic Statistics, 2013, 31, (2), 208-225 View citations (22)
- Nonparametric dynamic panel data models: Kernel estimation and specification testing
Journal of Econometrics, 2013, 176, (2), 112-133 View citations (14)
- Nonparametric regression estimation with general parametric error covariance: a more efficient two-step estimator
Empirical Economics, 2013, 45, (2), 1009-1024 View citations (8)
- TESTING HOMOGENEITY IN PANEL DATA MODELS WITH INTERACTIVE FIXED EFFECTS
Econometric Theory, 2013, 29, (6), 1079-1135 View citations (57)
2012
- Semiparametric GMM estimation of spatial autoregressive models
Journal of Econometrics, 2012, 167, (2), 543-560 View citations (40)
- Sieve estimation of panel data models with cross section dependence
Journal of Econometrics, 2012, 169, (1), 34-47 View citations (56)
- Testing for common trends in semi‐parametric panel data models with fixed effects
Econometrics Journal, 2012, 15, (1), 56-100 View citations (20)
See also Working Paper (2011)
2011
- 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 (38)
- Non‐parametric regression under location shifts
Econometrics Journal, 2011, 14, (3), 457-486 View citations (3)
2010
- Profile quasi-maximum likelihood estimation of partially linear spatial autoregressive models
Journal of Econometrics, 2010, 157, (1), 18-33 View citations (46)
- Semiparametric Estimator of Time Series Conditional Variance
Journal of Business & Economic Statistics, 2010, 28, (2), 256-274 View citations (19)
- TESTING STRUCTURAL CHANGE IN PARTIALLY LINEAR MODELS
Econometric Theory, 2010, 26, (6), 1761-1806 View citations (9)
2009
- Testing Conditional Uncorrelatedness
Journal of Business & Economic Statistics, 2009, 27, 18-29 View citations (4)
2008
- A NONPARAMETRIC HELLINGER METRIC TEST FOR CONDITIONAL INDEPENDENCE
Econometric Theory, 2008, 24, (4), 829-864 View citations (36)
- Local polynomial estimation of nonparametric simultaneous equations models
Journal of Econometrics, 2008, 144, (1), 193-218 View citations (39)
- Testing for parameter stability in quantile regression models
Statistics & Probability Letters, 2008, 78, (16), 2768-2775 View citations (14)
2007
- A consistent characteristic function-based test for conditional independence
Journal of Econometrics, 2007, 141, (2), 807-834 View citations (40)
See also Working Paper (2003)
- Business output and business experience — Evidence from China's nongovernmental businesses
Applied Economics Letters, 2007, 14, (3), 227-231
- Forecasting the car penetration rate (CPR) in China: a nonparametric approach
Applied Economics, 2007, 39, (17), 2189-2195
- More efficient estimation of nonparametric panel data models with random effects
Economics Letters, 2007, 96, (3), 375-380 View citations (12)
2006
- A simple test for multivariate conditional symmetry
Economics Letters, 2006, 93, (3), 374-378 View citations (4)
- MORE EFFICIENT ESTIMATION IN NONPARAMETRIC REGRESSION WITH NONPARAMETRIC AUTOCORRELATED ERRORS
Econometric Theory, 2006, 22, (1), 98-126 View citations (17)
- Profile likelihood estimation of partially linear panel data models with fixed effects
Economics Letters, 2006, 92, (1), 75-81 View citations (61)
- The Rise in House Prices in China: Bubbles or Fundamentals?
Economics Bulletin, 2006, 3, (7), 1-8 View citations (8)
2005
- A Bootstrap Test for Conditional Symmetry
Annals of Economics and Finance, 2005, 6, (2), 251-261 View citations (1)
Books
2014
- The Oxford Handbook of Applied Nonparametric and Semiparametric Econometrics and Statistics
OUP Catalogue, Oxford University Press View citations (30)
Chapters
2016
- 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
- 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 (13)
2012
- 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
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