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Details about Yixiao Sun

E-mail:
Homepage:http://www.econ.ucsd.edu/~yisun
Postal address:Department of Economics, University of California, San Diego 9500 Gilman Drive La Jolla, CA 92093-0508
Workplace:School of Economics and Management, Wuhan University, (more information at EDIRC)

Access statistics for papers by Yixiao Sun.

Last updated 2017-08-05. Update your information in the RePEc Author Service.

Short-id: psu5


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Working Papers

2017

  1. Simple, Robust, and Accurate F and t Tests in Cointegrated Systems
    University of California at San Diego, Economics Working Paper Series, Department of Economics, UC San Diego Downloads
    Also in University of California at San Diego, Economics Working Paper Series, Department of Economics, UC San Diego (2016) Downloads View citations (1)

2016

  1. A Fixed-bandwidth View of the Pre-asymptotic Inference for Kernel Smoothing with Time Series Data
    University of California at San Diego, Economics Working Paper Series, Department of Economics, UC San Diego Downloads
    Also in Working Papers, Ryerson University, Department of Economics (2015) Downloads

    See also Journal Article in Journal of Econometrics (2017)

2015

  1. Asymptotic F and t Tests in an Efficient GMM Setting
    University of California at San Diego, Economics Working Paper Series, Department of Economics, UC San Diego Downloads
    See also Journal Article in Journal of Econometrics (2017)
  2. Should We Go One Step Further? Â An Accurate Comparison of One-step and Two-step Procedures in a Generalized Method of Moments Framework
    University of California at San Diego, Economics Working Paper Series, Department of Economics, UC San Diego Downloads

2014

  1. Fixed-smoothing Asymptotics and Asymptotic F and t Tests in the Presence of Strong Autocorrelation
    University of California at San Diego, Economics Working Paper Series, Department of Economics, UC San Diego Downloads View citations (5)

2013

  1. A Flexible Nonparametric Test for Conditional Independence
    University of California at San Diego, Economics Working Paper Series, Department of Economics, UC San Diego Downloads View citations (3)
    See also Journal Article in Econometric Theory (2016)
  2. Fixed-smoothing Asymptotics in a Two-step GMM Framework
    University of California at San Diego, Economics Working Paper Series, Department of Economics, UC San Diego Downloads View citations (3)
  3. Let's Fix It: Fixed-b Asymptotics versus Small-b Asymptotics in Heteroscedasticity and Autocorrelation Robust Inference
    University of California at San Diego, Economics Working Paper Series, Department of Economics, UC San Diego Downloads
    See also Journal Article in Journal of Econometrics (2014)
  4. Smoothed Estimating Equations for Instrumental Variables Quantile Regression
    Working Papers, Department of Economics, University of Missouri Downloads View citations (3)
    Also in University of California at San Diego, Economics Working Paper Series, Department of Economics, UC San Diego (2012) Downloads View citations (1)

    See also Journal Article in Econometric Theory (2017)

2012

  1. Asymptotic F Test in a GMM Framework with Cross Sectional Dependence
    Working Papers, Ryerson University, Department of Economics Downloads View citations (1)
    See also Journal Article in The Review of Economics and Statistics (2015)
  2. Sieve Inference on Semi-nonparametric Time Series Models
    Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University Downloads View citations (7)
    Also in CeMMAP working papers, Centre for Microdata Methods and Practice, Institute for Fiscal Studies (2012) Downloads View citations (3)

2011

  1. A New Asymptotic Theory for Vector Autoregressive Long-run Variance Estimation and Autocorrelation Robust Testing
    University of California at San Diego, Economics Working Paper Series, Department of Economics, UC San Diego Downloads View citations (4)
  2. Heteroskedasticity and Spatiotemporal Dependence Robust Inference for Linear Panel Models with Fixed Effects
    Working Papers, Ryerson University, Department of Economics Downloads
    See also Journal Article in Journal of Econometrics (2013)

2010

  1. Power Maximization and Size Control in Heteroskedasticity and Autocorrelation Robust Tests with Exponentiated Kernels
    Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University Downloads
    See also Journal Article in Econometric Theory (2011)

2009

  1. k-step Bootstrap Bias Correction for Fixed Effects Estimators in Nonlinear Panel Models
    University of California at San Diego, Economics Working Paper Series, Department of Economics, UC San Diego Downloads

2008

  1. Optimal Bandwidth Choice for Interval Estimation in GMM Regression
    Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University Downloads View citations (2)

2006

  1. Optimal Bandwidth Selection in Heteroskedasticity-Autocorrelation Robust Testing
    Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University Downloads View citations (2)
    See also Journal Article in Econometrica (2008)

2005

  1. A New Approach to Robust Inference in Cointegration
    Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University Downloads
    See also Journal Article in Economics Letters (2006)
  2. Adaptive Estimation of the Regression Discontinuity Model
    Econometrics, EconWPA Downloads View citations (6)
  3. Estimation and Inference in Panel Structure Models
    University of California at San Diego, Economics Working Paper Series, Department of Economics, UC San Diego Downloads View citations (3)
  4. Improved HAR Inference
    Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University Downloads View citations (1)
  5. Optimal Bandwidth Selection in Heteroskedasticity-Autocorrelation Robust Testing∗
    University of California at San Diego, Economics Working Paper Series, Department of Economics, UC San Diego Downloads

2004

  1. Bias-Reduced Log-Periodogram and Whittle Estimation of the Long-Memory Parameter Without Variance Inflation
    University of California at San Diego, Economics Working Paper Series, Department of Economics, UC San Diego Downloads
    See also Journal Article in Econometric Theory (2006)
  2. Consistent HAC Estimation and Robust Regression Testing Using Sharp Origin Kernels with No Truncation
    University of California at San Diego, Economics Working Paper Series, Department of Economics, UC San Diego Downloads
    Also in Yale School of Management Working Papers, Yale School of Management (2004) Downloads
    Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University (2003) Downloads View citations (10)
    Econometric Society 2004 North American Winter Meetings, Econometric Society (2004) Downloads
  3. Long Run Variance Estimation Using Steep Origin Kernels Without Truncation
    Yale School of Management Working Papers, Yale School of Management Downloads
    Also in Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University (2003) Downloads View citations (2)
  4. Spectral Density Estimation and Robust Hypothesis Testing Using Steep Origin Kernels Without Truncation
    University of California at San Diego, Economics Working Paper Series, Department of Economics, UC San Diego Downloads
    See also Journal Article in International Economic Review (2006)

2003

  1. A Convergent t-statistic in Spurious Regressions
    University of California at San Diego, Economics Working Paper Series, Department of Economics, UC San Diego Downloads
    See also Journal Article in Econometric Theory (2004)
  2. Estimation of the Long-run Average Relationship in Nonstationary Panel Time Series
    University of California at San Diego, Economics Working Paper Series, Department of Economics, UC San Diego Downloads
    See also Journal Article in Econometric Theory (2004)
  3. Spurious Regressions with Stationary Gegenbauer Processes and Harmonic Processes
    University of California at San Diego, Economics Working Paper Series, Department of Economics, UC San Diego Downloads View citations (1)

2002

  1. Adaptive Local Polynomial Whittle Estimation of Long-Range Dependence
    University of California at San Diego, Economics Working Paper Series, Department of Economics, UC San Diego Downloads View citations (2)
    Also in Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University (2002) Downloads View citations (3)

    See also Journal Article in Econometrica (2004)
  2. Nonlinear Log-Periodogram Regression for Perturbed Fractional Processes
    Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University Downloads View citations (1)
    See also Journal Article in Journal of Econometrics (2003)

2001

  1. Local Polynomial Whittle Estimation of Long-range Dependence
    Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University Downloads View citations (11)

Journal Articles

2017

  1. A fixed-bandwidth view of the pre-asymptotic inference for kernel smoothing with time series data
    Journal of Econometrics, 2017, 197, (2), 298-322 Downloads
    See also Working Paper (2016)
  2. Asymptotic F and t tests in an efficient GMM setting
    Journal of Econometrics, 2017, 198, (2), 277-295 Downloads View citations (1)
    See also Working Paper (2015)
  3. SMOOTHED ESTIMATING EQUATIONS FOR INSTRUMENTAL VARIABLES QUANTILE REGRESSION
    Econometric Theory, 2017, 33, (01), 105-157 Downloads View citations (2)
    See also Working Paper (2013)

2016

  1. A FLEXIBLE NONPARAMETRIC TEST FOR CONDITIONAL INDEPENDENCE
    Econometric Theory, 2016, 32, (06), 1434-1482 Downloads View citations (2)
    See also Working Paper (2013)
  2. BOOTSTRAP AND k-STEP BOOTSTRAP BIAS CORRECTIONS FOR THE FIXED EFFECTS ESTIMATOR IN NONLINEAR PANEL DATA MODELS
    Econometric Theory, 2016, 32, (06), 1523-1568 Downloads

2015

  1. Asymptotic F-Test in a GMM Framework with Cross-Sectional Dependence
    The Review of Economics and Statistics, 2015, 97, (1), 210-233 Downloads View citations (6)
    See also Working Paper (2012)

2014

  1. Comment
    Journal of Business & Economic Statistics, 2014, 32, (3), 330-334 Downloads
  2. Fixed‐Smoothing Asymptotics in a Two‐Step Generalized Method of Moments Framework
    Econometrica, 2014, 82, 2327-2370 Downloads View citations (5)
  3. Let’s fix it: Fixed-b asymptotics versus small-b asymptotics in heteroskedasticity and autocorrelation robust inference
    Journal of Econometrics, 2014, 178, (P3), 659-677 Downloads View citations (13)
    See also Working Paper (2013)
  4. Sieve inference on possibly misspecified semi-nonparametric time series models
    Journal of Econometrics, 2014, 178, (P3), 639-658 Downloads View citations (16)

2013

  1. A heteroskedasticity and autocorrelation robust F test using an orthonormal series variance estimator
    Econometrics Journal, 2013, 16, (1), 1-26 View citations (15)
  2. Heteroskedasticity and spatiotemporal dependence robust inference for linear panel models with fixed effects
    Journal of Econometrics, 2013, 177, (1), 85-108 Downloads View citations (7)
    See also Working Paper (2011)

2012

  1. Simple and powerful GMM over-identification tests with accurate size
    Journal of Econometrics, 2012, 166, (2), 267-281 Downloads View citations (9)

2011

  1. Asymptotic distributions of impulse response functions in short panel vector autoregressions
    Journal of Econometrics, 2011, 163, (2), 127-143 Downloads View citations (4)
  2. POWER MAXIMIZATION AND SIZE CONTROL IN HETEROSKEDASTICITY AND AUTOCORRELATION ROBUST TESTS WITH EXPONENTIATED KERNELS
    Econometric Theory, 2011, 27, (06), 1320-1368 Downloads View citations (5)
    See also Working Paper (2010)
  3. Robust trend inference with series variance estimator and testing-optimal smoothing parameter
    Journal of Econometrics, 2011, 164, (2), 345-366 Downloads View citations (20)
  4. Spatial heteroskedasticity and autocorrelation consistent estimation of covariance matrix
    Journal of Econometrics, 2011, 160, (2), 349-371 Downloads View citations (19)

2008

  1. Optimal Bandwidth Selection in Heteroskedasticity-Autocorrelation Robust Testing
    Econometrica, 2008, 76, (1), 175-194 Downloads View citations (57)
    See also Working Paper (2006)

2007

  1. The Tobit model with a non-zero threshold
    Econometrics Journal, 2007, 10, (3), 488-502 Downloads View citations (35)

2006

  1. A new approach to robust inference in cointegration
    Economics Letters, 2006, 91, (2), 300-306 Downloads View citations (4)
    See also Working Paper (2005)
  2. BIAS-REDUCED LOG-PERIODOGRAM AND WHITTLE ESTIMATION OF THE LONG-MEMORY PARAMETER WITHOUT VARIANCE INFLATION
    Econometric Theory, 2006, 22, (05), 863-912 Downloads View citations (4)
    See also Working Paper (2004)
  3. SPECTRAL DENSITY ESTIMATION AND ROBUST HYPOTHESIS TESTING USING STEEP ORIGIN KERNELS WITHOUT TRUNCATION
    International Economic Review, 2006, 47, (3), 837-894 Downloads View citations (24)
    See also Working Paper (2004)
  4. Spurious regressions between stationary generalized long memory processes
    Economics Letters, 2006, 90, (3), 446-454 Downloads View citations (5)

2004

  1. A CONVERGENT t-STATISTIC IN SPURIOUS REGRESSIONS
    Econometric Theory, 2004, 20, (05), 943-962 Downloads View citations (15)
    See also Working Paper (2003)
  2. Adaptive Local Polynomial Whittle Estimation of Long-range Dependence
    Econometrica, 2004, 72, (2), 569-614 Downloads View citations (55)
    See also Working Paper (2002)
  3. ESTIMATION OF THE LONG-RUN AVERAGE RELATIONSHIP IN NONSTATIONARY PANEL TIME SERIES
    Econometric Theory, 2004, 20, (06), 1227-1260 Downloads View citations (4)
    See also Working Paper (2003)

2003

  1. 02.3.1. Regression with an Evaporating Logarithmic Trend Solution
    Econometric Theory, 2003, 19, (04), 692-701 Downloads View citations (1)
  2. Nonlinear log-periodogram regression for perturbed fractional processes
    Journal of Econometrics, 2003, 115, (2), 355-389 Downloads View citations (50)
    See also Working Paper (2002)
 
Page updated 2017-10-18