Details about Yiguo Sun

Access statistics for papers by Yiguo Sun.

Last updated 2024-11-06. Update your information in the RePEc Author Service.

Short-id: psu89

Working Papers

2023

1. Threshold MIDAS Forecasting of Inflation Rate
   Working Papers, University of Liverpool, Department of Economics

2017

2. Endogeneity in Semiparametric Threshold Regression
   Working Paper series, Rimini Centre for Economic Analysis View citations (9)
   Also in University of Cyprus Working Papers in Economics, University of Cyprus Department of Economics (2017) View citations (9)
   See also Journal Article ENDOGENEITY IN SEMIPARAMETRIC THRESHOLD REGRESSION, Econometric Theory, Cambridge University Press (2022) View citations (4) (2022)
3. Estimation and Inference in Functional-Coefficient Spatial Autoregressive Panel Data Models with Fixed Effects
   MPRA Paper, University Library of Munich, Germany
   See also Journal Article Estimation and inference in functional-coefficient spatial autoregressive panel data models with fixed effects, Journal of Econometrics, Elsevier (2018) View citations (15) (2018)
4. Semiparametric Estimation and Testing of Smooth Coefficient Spatial Autoregressive Models
   MPRA Paper, University Library of Munich, Germany View citations (20)
   See also Journal Article Semiparametric estimation and testing of smooth coefficient spatial autoregressive models, Journal of Econometrics, Elsevier (2017) View citations (19) (2017)

2013

5. Varying Coefficient Panel Data Model in the Presence of Endogenous Selectivity and Fixed Effects
   MPRA Paper, University Library of Munich, Germany
   See also Journal Article Varying coefficient panel data model in the presence of endogenous selectivity and fixed effects, Journal of Econometrics, Elsevier (2016) View citations (10) (2016)

2007

6. The absolute health income hypothesis revisited: A Semiparametric Quantile Regression Approach
   Working Paper series, Rimini Centre for Economic Analysis
   Also in University of Cyprus Working Papers in Economics, University of Cyprus Department of Economics (2005) View citations (3)
   Working Papers, University of Guelph, Department of Economics and Finance (2006)
   See also Journal Article The absolute health income hypothesis revisited: a semiparametric quantile regression approach, Empirical Economics, Springer (2008) View citations (1) (2008)

2004

7. Decomposing Densities of Stock Indexes Returns
   Working Papers, University of Guelph, Department of Economics and Finance View citations (1)

2003

8. A Consistent Nonparametric Equality Test of Conditional Quantile Functions
   Working Papers, University of Guelph, Department of Economics and Finance
   See also Journal Article A CONSISTENT NONPARAMETRIC EQUALITY TEST OF CONDITIONAL QUANTILE FUNCTIONS, Econometric Theory, Cambridge University Press (2006) View citations (7) (2006)
9. Estimates of Semiparametric Equivalence Scales
   Working Papers, University of Guelph, Department of Economics and Finance View citations (3)
   See also Journal Article Estimates of semiparametric equivalence scales, Journal of Applied Econometrics, John Wiley & Sons, Ltd. (2006) View citations (11) (2006)
10. Square Root N - Consistent Semiparametric Estimation of Partially Linear Quantile Regression Models
    Working Papers, University of Guelph, Department of Economics and Finance
11. Stock Return Volatility and the Current Internet Phenomenon
    Working Papers, University of Guelph, Department of Economics and Finance

1997

12. Consistent Model Specification test for Regression Function Based on Nonparametric Wavelet Estimation
    Working Papers, University of Guelph, Department of Economics and Finance View citations (2)
    See also Journal Article A CONSISTENT MODEL SPECIFICATION TEST FOR A REGRESSION FUNCTION BASED ON NONPARAMETRIC WAVELET ESTIMATION, Econometric Reviews, Taylor & Francis Journals (2001) View citations (8) (2001)

Journal Articles

2024

1. Semiparametric spatial autoregressive models with nonlinear endogeneity
   Econometric Reviews, 2024, 43, (6), 434-451
2. Smoothed gradient least squares estimator for linear threshold models
   Econometric Reviews, 2024, 43, (7), 490-517
3. Spatial spillovers in trade agreement memberships: Does institutional proximity matter?
   Review of International Economics, 2024, 32, (3), 1398-1433
4. The Impact of Uncertainty on Investment: Empirical Challenges and a New Estimator
   Journal of Financial and Quantitative Analysis, 2024, 59, (1), 307-338

2023

5. A threshold effect of COVID-19 risk on oil price returns
   Energy Economics, 2023, 120, (C) View citations (1)
6. Endogeneity in semiparametric threshold regression models with two threshold variables
   Econometric Reviews, 2023, 42, (9-10), 758-779
7. Social threshold regression
   Journal of Econometrics, 2023, 235, (2), 2057-2081

2022

8. ENDOGENEITY IN SEMIPARAMETRIC THRESHOLD REGRESSION
   Econometric Theory, 2022, 38, (3), 562-595 View citations (4)
   See also Working Paper Endogeneity in Semiparametric Threshold Regression, Working Paper series (2017) View citations (9) (2017)
9. Income and democracy: a semiparametric approach
   Econometric Reviews, 2022, 41, (9), 1113-1140

2021

10. Is the Yardstick ratio “a good yardstick†for stock market valuations?
    Economics Bulletin, 2021, 41, (3), 1444-1450

2020

11. Forecasting the Returns of Cryptocurrency: A Model Averaging Approach
    JRFM, 2020, 13, (11), 1-15 View citations (3)
12. Natural Disasters and Economic Growth: A Semiparametric Smooth Coefficient Model Approach
    JRFM, 2020, 13, (12), 1-9 View citations (2)
13. Smooth coefficient models with endogenous environmental variables
    Econometric Reviews, 2020, 39, (2), 158-180 View citations (4)
    Also in Econometric Reviews, 2019, 39, (2), 158-180 (2019)
14. The LLN and CLT for U-statistics under cross-sectional dependence
    Journal of Nonparametric Statistics, 2020, 32, (1), 201-224
15. The sunk-cost fallacy in the National Basketball Association: evidence using player salary and playing time
    Empirical Economics, 2020, 59, (2), 1019-1036 View citations (2)

2019

16. (Under)Mining local residential property values: A semiparametric spatial quantile autoregression
    Journal of Applied Econometrics, 2019, 34, (1), 82-109 View citations (2)
17. On Tuning Parameter Selection in Model Selection and Model Averaging: A Monte Carlo Study
    JRFM, 2019, 12, (3), 1-16 View citations (3)
18. Spatial Dependence in the Residential Canadian Housing Market
    The Journal of Real Estate Finance and Economics, 2019, 58, (2), 223-263 View citations (5)

2018

19. Estimation and inference in functional-coefficient spatial autoregressive panel data models with fixed effects
    Journal of Econometrics, 2018, 203, (2), 359-378 View citations (15)
    See also Working Paper Estimation and Inference in Functional-Coefficient Spatial Autoregressive Panel Data Models with Fixed Effects, MPRA Paper (2017) (2017)
20. Leverage and Volatility Feedback Effects and Conditional Dependence Index: A Nonparametric Study
    JRFM, 2018, 11, (2), 1-20 View citations (4)
21. Monte Carlo Comparison for Nonparametric Threshold Estimators
    JRFM, 2018, 11, (3), 1-15 View citations (1)

2017

22. Semiparametric estimation and testing of smooth coefficient spatial autoregressive models
    Journal of Econometrics, 2017, 199, (1), 12-34 View citations (19)
    See also Working Paper Semiparametric Estimation and Testing of Smooth Coefficient Spatial Autoregressive Models, MPRA Paper (2017) View citations (20) (2017)

2016

23. A CONSISTENT NONPARAMETRIC TEST ON SEMIPARAMETRIC SMOOTH COEFFICIENT MODELS WITH INTEGRATED TIME SERIES
    Econometric Theory, 2016, 32, (4), 988-1022 View citations (9)
24. Functional-Coefficient Spatial Durbin Models with Nonparametric Spatial Weights: An Application to Economic Growth
    Econometrics, 2016, 4, (1), 1-16 View citations (3)
25. Functional-coefficient spatial autoregressive models with nonparametric spatial weights
    Journal of Econometrics, 2016, 195, (1), 134-153 View citations (22)
26. Varying coefficient panel data model in the presence of endogenous selectivity and fixed effects
    Journal of Econometrics, 2016, 190, (2), 233-251 View citations (10)
    See also Working Paper Varying Coefficient Panel Data Model in the Presence of Endogenous Selectivity and Fixed Effects, MPRA Paper (2013) (2013)

2015

27. Volatility Spillover Effect: A Semiparametric Analysis of Non-Cointegrated Process
    Econometric Reviews, 2015, 34, (1-2), 127-145 View citations (2)

2014

28. A consistent nonparametric test of parametric regression functional form in fixed effects panel data models
    Journal of Econometrics, 2014, 178, (P1), 167-179 View citations (24)
29. SEMI-PARAMETRIC ESTIMATION OF LINEAR COINTEGRATING MODELS WITH NONLINEAR CONTEMPORANEOUS ENDOGENEITY
    Journal of Time Series Analysis, 2014, 35, (5), 437-461

2013

30. SEMIPARAMETRIC FUNCTIONAL COEFFICIENT MODELS WITH INTEGRATED COVARIATES
    Econometric Theory, 2013, 29, (3), 659-672 View citations (10)

2011

31. Data-Driven Bandwidth Selection for Nonstationary Semiparametric Models
    Journal of Business & Economic Statistics, 2011, 29, (4), 541-551 View citations (8)
    Also in Journal of Business & Economic Statistics, 2011, 29, (4), 541-551 (2011) View citations (7)
32. Measuring correlations of integrated but not cointegrated variables: A semiparametric approach
    Journal of Econometrics, 2011, 164, (2), 252-267 View citations (6)

2008

33. The absolute health income hypothesis revisited: a semiparametric quantile regression approach
    Empirical Economics, 2008, 35, (2), 395-412 View citations (1)
    See also Working Paper The absolute health income hypothesis revisited: A Semiparametric Quantile Regression Approach, Working Paper series (2007) (2007)

2006

34. A CONSISTENT NONPARAMETRIC EQUALITY TEST OF CONDITIONAL QUANTILE FUNCTIONS
    Econometric Theory, 2006, 22, (4), 614-632 View citations (7)
    See also Working Paper A Consistent Nonparametric Equality Test of Conditional Quantile Functions, Working Papers (2003) (2003)
35. Estimates of semiparametric equivalence scales
    Journal of Applied Econometrics, 2006, 21, (5), 629-639 View citations (11)
    Also in Journal of Applied Econometrics, 2006, 21, (5), 629-639 (2006) View citations (1)
    See also Working Paper Estimates of Semiparametric Equivalence Scales, Working Papers (2003) View citations (3) (2003)
36. International correlations across stock markets and industries: trends and patterns 1988-2002
    Applied Financial Economics, 2006, 16, (16), 1171-1183 View citations (12)
37. Semiparametric efficient adaptive estimation of asymmetric GARCH models
    Journal of Econometrics, 2006, 133, (1), 373-386 View citations (14)

2005

38. Semiparametric Efficient Estimation of Partially Linear Quantile Regression Models
    Annals of Economics and Finance, 2005, 6, (1), 105-127 View citations (8)

2003

39. Efficient Estimation of Semiparametric Equivalence Scales with Evidence from South Africa
    Journal of Business & Economic Statistics, 2003, 21, (2), 247-57 View citations (28)

2001

40. A CONSISTENT MODEL SPECIFICATION TEST FOR A REGRESSION FUNCTION BASED ON NONPARAMETRIC WAVELET ESTIMATION
    Econometric Reviews, 2001, 20, (1), 41-60 View citations (8)
    See also Working Paper Consistent Model Specification test for Regression Function Based on Nonparametric Wavelet Estimation, Working Papers (1997) View citations (2) (1997)

1996

41. A pointwise approximation theorem for linear combinations of Bernstein polynomials
    Abstract and Applied Analysis, 1996, 1, 1-10 View citations (1)

Chapters

2024

1. Efficient Estimation in Varying Coefficient Panel Data Model with Different Smoothing Variables and Fixed Effects
   A chapter in Essays in Honor of Subal Kumbhakar, 2024, vol. 46, pp 133-184
2. Nonparametric Models with Random Effects
   Springer

2009

3. Semiparametric estimation of fixed-effects panel data varying coefficient models
   A chapter in Nonparametric Econometric Methods, 2009, pp 101-129 View citations (7)