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Details about Liangjun Su

Homepage:http://www.mysmu.edu/faculty/ljsu/
Postal address:Singapore Management Univ., School of Economics 90 Stamford Road Singapore 178903
Workplace:School of Economics, Singapore Management University, (more information at EDIRC)

Access statistics for papers by Liangjun Su.

Last updated 2019-09-20. Update your information in the RePEc Author Service.

Short-id: psu241


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Working Papers

2019

  1. Inference in partially identified panel data models with interactive fixed effects
    Economics and Statistics Working Papers, Singapore Management University, School of Economics Downloads
  2. On Factor Models with Random Missing: EM Estimation, Inference, and Cross Validation
    Economics and Statistics Working Papers, Singapore Management University, School of Economics Downloads
  3. Panel threshold regressions with latent group structures
    Economics and Statistics Working Papers, Singapore Management University, School of Economics Downloads

2018

  1. Determination of Different Types of Fixed Effects in Three-Dimensional Panels
    Economics and Statistics Working Papers, Singapore Management University, School of Economics Downloads
  2. Identifying Latent Grouped Patterns in Cointegrated Panels
    Economics and Statistics Working Papers, Singapore Management University, School of Economics Downloads
  3. Testing Alphas in Conditional Time-Varying Factor Models with High Dimensional Assets
    Economics and Statistics Working Papers, Singapore Management University, School of Economics Downloads
  4. The Heterogeneous Effects of the Minimum Wage on Employment Across States
    Economics and Statistics Working Papers, Singapore Management University, School of Economics Downloads
    See also Journal Article in Economics Letters (2019)

2017

  1. Identifying Latent Group Structures in Nonlinear Panels
    Economics and Statistics Working Papers, Singapore Management University, School of Economics Downloads
  2. M-Estimation of a Nonparametric Threshold Regression Model
    Working Papers, University of Miami, Department of Economics Downloads
  3. Non-separable Models with High-dimensional Data
    Economics and Statistics Working Papers, Singapore Management University, School of Economics Downloads
  4. Strong Consistency of Spectral Clustering for Stochastic Block Models
    Economics and Statistics Working Papers, Singapore Management University, School of Economics Downloads

2016

  1. Homogeneity Pursuit in Panel Data Models: Theory and Applications
    Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University Downloads View citations (3)
    See also Journal Article in Journal of Applied Econometrics (2018)
  2. Testing Monotonicity in Unobservables with Panel Data
    Boston College Working Papers in Economics, Boston College Department of Economics Downloads

2015

  1. Shrinkage Estimation of Dynamic Panel Data Models with Interactive Fixed Effects
    Working Papers, Singapore Management University, School of Economics Downloads View citations (8)
    See also Journal Article in Journal of Econometrics (2016)
  2. Sieve Instrumental Variable Quantile Regression Estimation of Functional Coefficient Models
    Working Papers, Singapore Management University, School of Economics Downloads View citations (3)
    See also Journal Article in Journal of Econometrics (2016)
  3. Testing for Monotonicity in Unobservables under Unconfoundedness
    Boston College Working Papers in Economics, Boston College Department of Economics Downloads
    See also Journal Article in Journal of Econometrics (2016)

2014

  1. A Combined Approach to the Inference of Conditional Factor Models
    Working Papers, Singapore Management University, School of Economics Downloads View citations (1)
    See also Journal Article in Journal of Business & Economic Statistics (2015)
  2. Additive Nonparametric Regression in the Presence of Endogenous Regressors
    IZA Discussion Papers, Institute of Labor Economics (IZA) Downloads View citations (7)
    See also Journal Article in Journal of Business & Economic Statistics (2014)
  3. Identifying Latent Structures in Panel Data
    Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University Downloads View citations (6)
    Also in Working Papers, Singapore Management University, School of Economics (2014) Downloads View citations (6)

    See also Journal Article in Econometrica (2016)
  4. Jackknife Model Averaging for Quantile Regressions
    Working Papers, Singapore Management University, School of Economics Downloads
    See also Journal Article in Journal of Econometrics (2015)
  5. Nonparametric Testing for Anomaly Effects in Empirical Asset Pricing Models
    Working Papers, Singapore Management University, School of Economics Downloads
    See also Journal Article in Empirical Economics (2015)
  6. Shrinkage Estimation of Regression Models with Multiple Structural Changes
    Working Papers, Singapore Management University, School of Economics Downloads View citations (6)
    See also Journal Article in Econometric Theory (2016)
  7. Specification Test for Panel Data Models with Interactive Fixed Effects
    Working Papers, Singapore Management University, School of Economics Downloads View citations (3)
    See also Journal Article in Journal of Econometrics (2015)

2013

  1. 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 Downloads
    See also Journal Article in Journal of Econometrics (2015)

2011

  1. Testing for Common Trends in Semiparametric Panel Data Models with Fixed Effects
    Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University Downloads View citations (2)
    See also Journal Article in Econometrics Journal (2012)

2009

  1. A Paradox of Inconsistent Parametric and Consistent Nonparametric Regression
    Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University Downloads
  2. Asymptotics and Bootstrap for Transformed Panel Data Regressions
    Working Papers, Singapore Management University, School of Economics Downloads
    Also in Development Economics Working Papers, East Asian Bureau of Economic Research (2008) Downloads View citations (1)
  3. 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 Downloads View citations (2)
  4. Functional Coefficient Estimation with Both Categorical and Continuous Data
    Working Papers, University of California at Riverside, Department of Economics Downloads View citations (1)
  5. Nonparametric Structural Estimation via Continuous Location Shifts in an Endogenous Regressor
    Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University Downloads View citations (1)

2007

  1. Instrumental Variable Quantile Estimation of Spatial Autoregressive Models
    Development Economics Working Papers, East Asian Bureau of Economic Research Downloads View citations (10)
    Also in Working Papers, Singapore Management University, School of Economics (2007) Downloads View citations (1)

2003

  1. 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 Downloads View citations (2)
    See also Journal Article in Journal of Econometrics (2007)
  2. Testing Conditional Independence Via Empirical Likelihood
    University of California at San Diego, Economics Working Paper Series, Department of Economics, UC San Diego Downloads View citations (11)
    See also Journal Article in Journal of Econometrics (2014)

Journal Articles

2019

  1. A smoothed Q‐learning algorithm for estimating optimal dynamic treatment regimes
    Scandinavian Journal of Statistics, 2019, 46, (2), 446-469 Downloads
  2. Common threshold in quantile regressions with an application to pricing for reputation
    Econometric Reviews, 2019, 38, (4), 417-450 Downloads
  3. Sieve Estimation of Time-Varying Panel Data Models With Latent Structures
    Journal of Business & Economic Statistics, 2019, 37, (2), 334-349 Downloads
  4. The heterogeneous effects of the minimum wage on employment across states
    Economics Letters, 2019, 174, (C), 179-185 Downloads
    See also Working Paper (2018)

2018

  1. Asymptotics and bootstrap for random-effects panel data transformation models
    Econometric Reviews, 2018, 37, (6), 602-625 Downloads
  2. Estimation of large dimensional factor models with an unknown number of breaks
    Journal of Econometrics, 2018, 207, (1), 1-29 Downloads View citations (4)
  3. Homogeneity pursuit in panel data models: Theory and application
    Journal of Applied Econometrics, 2018, 33, (6), 797-815 Downloads View citations (1)
    See also Working Paper (2016)
  4. Identifying latent grouped patterns in panel data models with interactive fixed effects
    Journal of Econometrics, 2018, 206, (2), 554-573 Downloads View citations (1)

2017

  1. A martingale-difference-divergence-based test for specification
    Economics Letters, 2017, 156, (C), 162-167 Downloads
  2. Determining the number of groups in latent panel structures with an application to income and democracy
    Quantitative Economics, 2017, 8, (3), 729-760 Downloads View citations (5)
  3. GRANGER CAUSALITY AND STRUCTURAL CAUSALITY IN CROSS-SECTION AND PANEL DATA
    Econometric Theory, 2017, 33, (02), 263-291 Downloads View citations (1)
  4. On time-varying factor models: Estimation and testing
    Journal of Econometrics, 2017, 198, (1), 84-101 Downloads View citations (11)
  5. Specification Test for Spatial Autoregressive Models
    Journal of Business & Economic Statistics, 2017, 35, (4), 572-584 Downloads View citations (2)

2016

  1. A practical test for strict exogeneity in linear panel data models with fixed effects
    Economics Letters, 2016, 147, (C), 27-31 Downloads View citations (3)
  2. Identifying Latent Structures in Panel Data
    Econometrica, 2016, 84, 2215-2264 Downloads View citations (8)
    See also Working Paper (2014)
  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 (13)
  4. SHRINKAGE ESTIMATION OF REGRESSION MODELS WITH MULTIPLE STRUCTURAL CHANGES
    Econometric Theory, 2016, 32, (06), 1376-1433 Downloads View citations (2)
    See also Working Paper (2014)
  5. Shrinkage estimation of common breaks in panel data models via adaptive group fused Lasso
    Journal of Econometrics, 2016, 191, (1), 86-109 Downloads View citations (12)
  6. Shrinkage estimation of dynamic panel data models with interactive fixed effects
    Journal of Econometrics, 2016, 190, (1), 148-175 Downloads View citations (21)
    See also Working Paper (2015)
  7. Sieve instrumental variable quantile regression estimation of functional coefficient models
    Journal of Econometrics, 2016, 191, (1), 231-254 Downloads View citations (1)
    See also Working Paper (2015)
  8. Testing for monotonicity in unobservables under unconfoundedness
    Journal of Econometrics, 2016, 193, (1), 183-202 Downloads
    See also Working Paper (2015)

2015

  1. A Combined Approach to the Inference of Conditional Factor Models
    Journal of Business & Economic Statistics, 2015, 33, (2), 203-220 Downloads View citations (2)
    See also Working Paper (2014)
  2. ADAPTIVE NONPARAMETRIC REGRESSION WITH CONDITIONAL HETEROSKEDASTICITY
    Econometric Theory, 2015, 31, (06), 1153-1191 Downloads View citations (1)
  3. Jackknife model averaging for quantile regressions
    Journal of Econometrics, 2015, 188, (1), 40-58 Downloads View citations (9)
    See also Working Paper (2014)
  4. Nonparametric testing for anomaly effects in empirical asset pricing models
    Empirical Economics, 2015, 48, (1), 9-36 Downloads View citations (1)
    See also Working Paper (2014)
  5. QML estimation of dynamic panel data models with spatial errors
    Journal of Econometrics, 2015, 185, (1), 230-258 Downloads View citations (40)
  6. Specification test for panel data models with interactive fixed effects
    Journal of Econometrics, 2015, 186, (1), 222-244 Downloads View citations (8)
    See also Working Paper (2014)
  7. Specification testing for transformation models with an application to generalized accelerated failure-time models
    Journal of Econometrics, 2015, 184, (1), 81-96 Downloads View citations (9)
    See also Working Paper (2013)
  8. Testing Additive Separability of Error Term in Nonparametric Structural Models
    Econometric Reviews, 2015, 34, (6-10), 1057-1088 Downloads View citations (4)

2014

  1. Additive Nonparametric Regression in the Presence of Endogenous Regressors
    Journal of Business & Economic Statistics, 2014, 32, (4), 555-575 Downloads View citations (7)
    See also Working Paper (2014)
  2. Robustify Financial Time Series Forecasting with Bagging
    Econometric Reviews, 2014, 33, (5-6), 575-605 Downloads View citations (4)
  3. Structural change estimation in time series regressions with endogenous variables
    Economics Letters, 2014, 125, (3), 415-421 Downloads View citations (3)
  4. Testing conditional independence via empirical likelihood
    Journal of Econometrics, 2014, 182, (1), 27-44 Downloads View citations (4)
    See also Working Paper (2003)

2013

  1. A NONPARAMETRIC GOODNESS-OF-FIT-BASED TEST FOR CONDITIONAL HETEROSKEDASTICITY
    Econometric Theory, 2013, 29, (01), 187-212 Downloads View citations (8)
  2. A Nonparametric Poolability Test for Panel Data Models with Cross Section Dependence
    Econometric Reviews, 2013, 32, (4), 469-512 Downloads View citations (8)
  3. 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 Downloads View citations (9)
  4. Nonparametric Testing for Asymmetric Information
    Journal of Business & Economic Statistics, 2013, 31, (2), 208-225 Downloads View citations (18)
  5. Nonparametric dynamic panel data models: Kernel estimation and specification testing
    Journal of Econometrics, 2013, 176, (2), 112-133 Downloads View citations (12)
  6. Nonparametric regression estimation with general parametric error covariance: a more efficient two-step estimator
    Empirical Economics, 2013, 45, (2), 1009-1024 Downloads View citations (3)
  7. TESTING HOMOGENEITY IN PANEL DATA MODELS WITH INTERACTIVE FIXED EFFECTS
    Econometric Theory, 2013, 29, (06), 1079-1135 Downloads View citations (29)

2012

  1. Semiparametric GMM estimation of spatial autoregressive models
    Journal of Econometrics, 2012, 167, (2), 543-560 Downloads View citations (25)
  2. Sieve estimation of panel data models with cross section dependence
    Journal of Econometrics, 2012, 169, (1), 34-47 Downloads View citations (21)
  3. Testing for common trends in semi‐parametric panel data models with fixed effects
    Econometrics Journal, 2012, 15, (1), 56-100 Downloads View citations (6)
    See also Working Paper (2011)

2011

  1. Estimation and Forecasting of Dynamic Conditional Covariance: A Semiparametric Multivariate Model
    Journal of Business & Economic Statistics, 2011, 29, (1), 109-125 Downloads View citations (14)
    Also in Journal of Business & Economic Statistics, 2011, 29, (1), 109-125 (2011) Downloads View citations (30)
  2. Non‐parametric regression under location shifts
    Econometrics Journal, 2011, 14, (3), 457-486 Downloads View citations (3)

2010

  1. Profile quasi-maximum likelihood estimation of partially linear spatial autoregressive models
    Journal of Econometrics, 2010, 157, (1), 18-33 Downloads View citations (29)
  2. Semiparametric Estimator of Time Series Conditional Variance
    Journal of Business & Economic Statistics, 2010, 28, (2), 256-274 Downloads View citations (14)
  3. TESTING STRUCTURAL CHANGE IN PARTIALLY LINEAR MODELS
    Econometric Theory, 2010, 26, (06), 1761-1806 Downloads View citations (8)

2009

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

2008

  1. A NONPARAMETRIC HELLINGER METRIC TEST FOR CONDITIONAL INDEPENDENCE
    Econometric Theory, 2008, 24, (04), 829-864 Downloads View citations (26)
  2. Local polynomial estimation of nonparametric simultaneous equations models
    Journal of Econometrics, 2008, 144, (1), 193-218 Downloads View citations (26)
  3. Testing for parameter stability in quantile regression models
    Statistics & Probability Letters, 2008, 78, (16), 2768-2775 Downloads View citations (13)

2007

  1. A consistent characteristic function-based test for conditional independence
    Journal of Econometrics, 2007, 141, (2), 807-834 Downloads View citations (31)
    See also Working Paper (2003)
  2. Business output and business experience — Evidence from China's nongovernmental businesses
    Applied Economics Letters, 2007, 14, (3), 227-231 Downloads
  3. Forecasting the car penetration rate (CPR) in China: a nonparametric approach
    Applied Economics, 2007, 39, (17), 2189-2195 Downloads
  4. More efficient estimation of nonparametric panel data models with random effects
    Economics Letters, 2007, 96, (3), 375-380 Downloads View citations (8)

2006

  1. A simple test for multivariate conditional symmetry
    Economics Letters, 2006, 93, (3), 374-378 Downloads View citations (3)
  2. MORE EFFICIENT ESTIMATION IN NONPARAMETRIC REGRESSION WITH NONPARAMETRIC AUTOCORRELATED ERRORS
    Econometric Theory, 2006, 22, (01), 98-126 Downloads View citations (8)
  3. Profile likelihood estimation of partially linear panel data models with fixed effects
    Economics Letters, 2006, 92, (1), 75-81 Downloads View citations (44)
  4. The Rise in House Prices in China: Bubbles or Fundamentals?
    Economics Bulletin, 2006, 3, (7), 1-8 Downloads View citations (7)

2005

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

Books

2014

  1. The Oxford Handbook of Applied Nonparametric and Semiparametric Econometrics and Statistics
    OUP Catalogue, Oxford University Press View citations (18)

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 Downloads
  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 Downloads View citations (5)
 
Page updated 2019-09-21