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Details about Zhijie Xiao

Workplace:Department of Economics, Boston College, (more information at EDIRC)

Access statistics for papers by Zhijie Xiao.

Last updated 2021-11-17. Update your information in the RePEc Author Service.

Short-id: pxi26


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Working Papers

2021

  1. Bi-integrative analysis of two-dimensional heterogeneous panel data model
    Papers, arXiv.org Downloads
  2. Bootstrap inference for panel data quantile regression
    Papers, arXiv.org Downloads

2020

  1. Copula-Based Time Series With Filtered Nonstationarity
    Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University Downloads
    Also in Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University (2020) Downloads
  2. Estimation and Inference about Tail Features with Tail Censored Data
    Papers, arXiv.org Downloads
    Also in Boston College Working Papers in Economics, Boston College Department of Economics (2020) Downloads

2019

  1. Efficient Estimation of Nonparametric Regression in The Presence of Dynamic Heteroskedasticity
    Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge Downloads View citations (3)
    See also Journal Article in Journal of Econometrics (2019)

2011

  1. A semiparametric panel model for unbalanced data with application to climate change in the United Kingdom
    Post-Print, HAL Downloads View citations (11)
    Also in Boston College Working Papers in Economics, Boston College Department of Economics (2010) Downloads View citations (1)
    MPRA Paper, University Library of Munich, Germany (2010) Downloads View citations (10)

    See also Journal Article in Journal of Econometrics (2011)

2010

  1. Semiparametric Quantile Regression Estimation in Dynamic Models with Partially Varying Coefficients
    Boston College Working Papers in Economics, Boston College Department of Economics Downloads
    See also Journal Article in Journal of Econometrics (2012)

2009

  1. Conditional Quantile Estimation for GARCH Models
    Boston College Working Papers in Economics, Boston College Department of Economics Downloads View citations (8)
  2. Quantile Cointegrating Regression
    Boston College Working Papers in Economics, Boston College Department of Economics Downloads View citations (92)
    See also Journal Article in Journal of Econometrics (2009)
  3. Tests for Changing Mean with Monotonic Power
    Boston College Working Papers in Economics, Boston College Department of Economics Downloads View citations (15)
    Also in WORKING PAPERS SERIES IN THEORETICAL AND APPLIED ECONOMICS, University of Kansas, Department of Economics (2008) Downloads

    See also Journal Article in Journal of Econometrics (2009)

2008

  1. Copula-Based Nonlinear Quantile Autoregression
    Boston College Working Papers in Economics, Boston College Department of Economics Downloads View citations (1)
    Also in CeMMAP working papers, Centre for Microdata Methods and Practice, Institute for Fiscal Studies (2008) Downloads View citations (1)
    Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University (2008) Downloads View citations (2)

    See also Journal Article in Econometrics Journal (2009)

2006

  1. Testing covariance stationarity
    FGV EPGE Economics Working Papers (Ensaios Economicos da EPGE), EPGE Brazilian School of Economics and Finance - FGV EPGE (Brazil) Downloads View citations (1)
    See also Journal Article in Econometric Reviews (2007)

2004

  1. Do shocks permanently change output?: Local persistency in economic time series
    FGV EPGE Economics Working Papers (Ensaios Economicos da EPGE), EPGE Brazilian School of Economics and Finance - FGV EPGE (Brazil) Downloads View citations (1)
  2. Purchasing power parity and the unit root tests: a robust analysis
    FGV EPGE Economics Working Papers (Ensaios Economicos da EPGE), EPGE Brazilian School of Economics and Finance - FGV EPGE (Brazil) Downloads View citations (4)
  3. Robustness of stationary tests under long-memory alternatives
    FGV EPGE Economics Working Papers (Ensaios Economicos da EPGE), EPGE Brazilian School of Economics and Finance - FGV EPGE (Brazil) Downloads View citations (3)
  4. SMOOTH TEST FOR TESTING EQUALITY OF TWO DENSITIES
    Econometric Society 2004 Far Eastern Meetings, Econometric Society
  5. Testing Unit Root Based on Partially Adaptive Estimation
    Econometric Society 2004 Latin American Meetings, Econometric Society
    Also in FGV EPGE Economics Working Papers (Ensaios Economicos da EPGE), EPGE Brazilian School of Economics and Finance - FGV EPGE (Brazil) (2004) Downloads View citations (3)

    See also Journal Article in Journal of Time Series Econometrics (2010)

2003

  1. Estimating Average Economic Growth in Time Series Data with Persistency
    Working Papers, University of Illinois at Urbana-Champaign, College of Business
    See also Journal Article in Journal of Macroeconomics (2004)

2002

  1. Efficient Regression in Time Series Partial Linear Models
    Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University Downloads View citations (2)
  2. More Efficient Kernel Estimation in Nonparametric Regression with Autocorrelated Errors
    Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University Downloads View citations (1)
    Also in STICERD - Econometrics Paper Series, Suntory and Toyota International Centres for Economics and Related Disciplines, LSE (2002) Downloads
    LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library (2002) Downloads
  3. Partially Linear Models with Unit Roots
    Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University Downloads View citations (1)
    See also Journal Article in Econometric Theory (2005)

2001

  1. A CUSUM Test for Cointegration Using Regression Residuals
    Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University Downloads View citations (3)
    See also Journal Article in Journal of Econometrics (2002)
  2. A Nonparametric Regression Estimator that Adapts to Error Distribution of Unknown Form
    STICERD - Econometrics Paper Series, Suntory and Toyota International Centres for Economics and Related Disciplines, LSE Downloads
    Also in SFB 373 Discussion Papers, Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes (2001) Downloads
    LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library (2001) Downloads

    See also Journal Article in Econometric Theory (2007)
  3. Second-order approximation for adaptive regression estimators
    LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library Downloads View citations (4)
    See also Journal Article in Econometric Theory (2001)

2000

  1. N-Consistent Semiparametric Regression: Partially Linear Models with Unit Roots
    Econometric Society World Congress 2000 Contributed Papers, Econometric Society Downloads

1998

  1. A Primer on Unit Root Testing
    Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University Downloads View citations (100)
    See also Journal Article in Journal of Economic Surveys (1998)
  2. Higher Order Approximations for Wald Statistics in Cointegrating Regressions
    Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University Downloads
  3. How to Estimate Autoregressive Roots Near Unity
    Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University Downloads View citations (9)
    See also Journal Article in Econometric Theory (2001)

1997

  1. An ADF Coefficient Test for a Unit Root in ARMA Models of Unknown Order with Empirical Applications to the U.S. Economy
    Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University Downloads View citations (7)

Journal Articles

2021

  1. Econometric Reviews Honors Cheng Hsiao
    Econometric Reviews, 2021, 40, (6), 535-539 Downloads
  2. Right tail information and asset pricing
    Econometric Reviews, 2021, 40, (8), 728-749 Downloads

2020

  1. Consistency of ℓ1 penalized negative binomial regressions
    Statistics & Probability Letters, 2020, 165, (C) Downloads
  2. Econometric Reviews Honors Peter Charles Bonest Phillips, the Master Econometrician
    Econometric Reviews, 2020, 39, (7), 649-654 Downloads
  3. Quantile aggregation and combination for stock return prediction
    Econometric Reviews, 2020, 39, (7), 715-743 Downloads

2019

  1. Efficient estimation of nonparametric regression in the presence of dynamic heteroskedasticity
    Journal of Econometrics, 2019, 213, (2), 608-631 Downloads View citations (3)
    See also Working Paper (2019)
  2. What do mean impacts miss? Distributional effects of corporate diversification
    Journal of Econometrics, 2019, 213, (1), 92-120 Downloads View citations (2)

2018

  1. A Powerful Test for Changing Trends in Time Series Models
    Journal of Time Series Analysis, 2018, 39, (4), 488-501 Downloads
  2. Efficient estimation for time-varying coefficient longitudinal models
    Journal of Nonparametric Statistics, 2018, 30, (3), 680-702 Downloads
  3. Hybrid quantile regression estimation for time series models with conditional heteroscedasticity
    Journal of the Royal Statistical Society Series B, 2018, 80, (5), 975-993 Downloads View citations (5)
  4. Square†Root LASSO for High†Dimensional Sparse Linear Systems with Weakly Dependent Errors
    Journal of Time Series Analysis, 2018, 39, (2), 212-238 Downloads View citations (1)
  5. Testing for changing volatility
    Econometrics Journal, 2018, 21, (2), 192-217 Downloads View citations (1)

2017

  1. Mincer–Zarnowitz quantile and expectile regressions for forecast evaluations under aysmmetric loss functions
    Journal of Forecasting, 2017, 36, (6), 651-679 Downloads View citations (3)
  2. Quantile Regression on Quantile Ranges – A Threshold Approach
    Journal of Time Series Analysis, 2017, 38, (1), 99-119 Downloads View citations (2)
  3. Stochastic dominance via quantile regression with applications to investigate arbitrage opportunity and market efficiency
    European Journal of Operational Research, 2017, 261, (2), 666-678 Downloads View citations (8)

2016

  1. A NEW CHARACTERIZATION OF THE NORMAL DISTRIBUTION AND TEST FOR NORMALITY
    Econometric Theory, 2016, 32, (5), 1216-1252 Downloads View citations (8)
  2. Tests for normality based on the quantile-mean covariance
    Stata Journal, 2016, 16, (4), 1039-1057 Downloads View citations (2)
  3. The Reluctant Analyst
    Journal of Accounting Research, 2016, 54, (4), 987-1040 Downloads View citations (6)

2015

  1. ADAPTIVE NONPARAMETRIC REGRESSION WITH CONDITIONAL HETEROSKEDASTICITY
    Econometric Theory, 2015, 31, (6), 1153-1191 Downloads View citations (3)

2014

  1. A Note on Covariance Matrix Estimation in Quantile Regressions
    Frontiers of Economics in China, 2014, 9, (2), 165-173 Downloads
  2. EFFICIENT REGRESSIONS VIA OPTIMALLY COMBINING QUANTILE INFORMATION
    Econometric Theory, 2014, 30, (6), 1272-1314 Downloads View citations (18)
  3. RIGHT-TAIL INFORMATION IN FINANCIAL MARKETS
    Econometric Theory, 2014, 30, (1), 94-126 Downloads View citations (2)
  4. UNIT ROOTS: A SELECTIVE REVIEW OF THE CONTRIBUTIONS OF PETER C. B. PHILLIPS
    Econometric Theory, 2014, 30, (4), 775-814 Downloads View citations (2)

2013

  1. A SMOOTH TEST FOR THE EQUALITY OF DISTRIBUTIONS
    Econometric Theory, 2013, 29, (2), 419-446 Downloads View citations (3)
  2. ESTIMATION OF AND INFERENCE ABOUT THE EXPECTED SHORTFALL FOR TIME SERIES WITH INFINITE VARIANCE
    Econometric Theory, 2013, 29, (4), 771-807 Downloads View citations (12)
  3. NONPARAMETRIC TESTS OF MOMENT CONDITION STABILITY
    Econometric Theory, 2013, 29, (1), 90-114 Downloads View citations (7)
  4. Risk Analysis Using Regression Quantiles: Evidence from International Equity Markets
    The International Journal of Business and Finance Research, 2013, 7, (2), 1-15 Downloads

2012

  1. Robust inference in nonstationary time series models
    Journal of Econometrics, 2012, 169, (2), 211-223 Downloads View citations (2)
  2. Semiparametric quantile regression estimation in dynamic models with partially varying coefficients
    Journal of Econometrics, 2012, 167, (2), 413-425 Downloads View citations (41)
    See also Working Paper (2010)
  3. Weak instrument inference in the presence of parameter instability
    Econometrics Journal, 2012, 15, (3), 395-419 Downloads

2011

  1. A semiparametric panel model for unbalanced data with application to climate change in the United Kingdom
    Journal of Econometrics, 2011, 164, (1), 92-115 Downloads View citations (13)
    See also Working Paper (2011)

2010

  1. Is there long memory in financial time series?
    Applied Financial Economics, 2010, 20, (6), 487-500 Downloads View citations (8)
  2. Testing Unit Root Based on Partially Adaptive Estimation
    Journal of Time Series Econometrics, 2010, 2, (1), 1-34 Downloads View citations (2)
    See also Working Paper (2004)

2009

  1. COMMENTARIES ON “Unit Root Testing in Practice: Dealing with Uncertainty over the Trend and Initial Condition,” by David I. Harvey, Stephen J. Leybourne, and A.M. Robert Taylor
    Econometric Theory, 2009, 25, (3), 654-657 Downloads
  2. Conditional Quantile Estimation for Generalized Autoregressive Conditional Heteroscedasticity Models
    Journal of the American Statistical Association, 2009, 104, (488), 1696-1712 Downloads View citations (39)
  3. Copula-based nonlinear quantile autoregression
    Econometrics Journal, 2009, 12, (s1), S50-S67 View citations (20)
    See also Working Paper (2008)
  4. Functional-coefficient cointegration models
    Journal of Econometrics, 2009, 152, (2), 81-92 Downloads View citations (39)
  5. Nonparametric and robust methods in econometrics
    Journal of Econometrics, 2009, 152, (2), 79-80 Downloads
  6. Quantile cointegrating regression
    Journal of Econometrics, 2009, 150, (2), 248-260 Downloads View citations (93)
    See also Working Paper (2009)
  7. Tests for changing mean with monotonic power
    Journal of Econometrics, 2009, 148, (1), 14-24 Downloads View citations (15)
    See also Working Paper (2009)

2008

  1. Testing for parameter stability in quantile regression models
    Statistics & Probability Letters, 2008, 78, (16), 2768-2775 Downloads View citations (13)

2007

  1. A NONPARAMETRIC REGRESSION ESTIMATOR THAT ADAPTS TO ERROR DISTRIBUTION OF UNKNOWN FORM
    Econometric Theory, 2007, 23, (3), 371-413 Downloads View citations (12)
    See also Working Paper (2001)
  2. An analysis of risk for defaultable bond portfolios
    Journal of Risk Finance, 2007, 8, (2), 166-185 Downloads View citations (1)
  3. Do shocks last forever? Local persistency in economic time series
    Journal of Macroeconomics, 2007, 29, (1), 103-122 Downloads View citations (10)
  4. Testing Covariance Stationarity
    Econometric Reviews, 2007, 26, (6), 643-667 Downloads View citations (2)
    See also Working Paper (2006)

2006

  1. Quantile Autoregression
    Journal of the American Statistical Association, 2006, 101, 980-990 Downloads View citations (220)
  2. Rejoinder
    Journal of the American Statistical Association, 2006, 101, 1002-1006 Downloads

2005

  1. A nonparametric test for changing trends
    Journal of Econometrics, 2005, 127, (2), 179-199 Downloads View citations (6)
  2. PARTIALLY LINEAR MODELS WITH UNIT ROOTS
    Econometric Theory, 2005, 21, (5), 877-906 Downloads View citations (6)
    See also Working Paper (2002)
  3. Testing for cointegration using partially linear models
    Journal of Econometrics, 2005, 124, (2), 363-394 Downloads View citations (6)

2004

  1. Estimating average economic growth in time series data with persistency
    Journal of Macroeconomics, 2004, 26, (4), 699-724 Downloads
    See also Working Paper (2003)
  2. Unit Root Quantile Autoregression Inference
    Journal of the American Statistical Association, 2004, 99, 775-787 Downloads View citations (139)

2003

  1. More Efficient Local Polynomial Estimation in Nonparametric Regression With Autocorrelated Errors
    Journal of the American Statistical Association, 2003, 98, 980-992 Downloads View citations (27)
  2. Note on bandwidth selection in testing for long range dependence
    Economics Letters, 2003, 78, (1), 33-39 Downloads View citations (1)
  3. POWER FUNCTIONS AND ENVELOPES FOR UNIT ROOT TESTS
    Econometric Theory, 2003, 19, (2), 240-253 Downloads View citations (9)

2002

  1. A CUSUM test for cointegration using regression residuals
    Journal of Econometrics, 2002, 108, (1), 43-61 Downloads View citations (37)
    See also Working Paper (2001)
  2. A Nonparametric Prewhitened Covariance Estimator
    Journal of Time Series Analysis, 2002, 23, (2), 215-250 Downloads View citations (4)
  3. A generalized partially linear model of asymmetric volatility
    Journal of Empirical Finance, 2002, 9, (3), 287-319 Downloads View citations (28)
  4. Higher order approximations for Wald statistics in time series regressions with integrated processes
    Journal of Econometrics, 2002, 108, (1), 157-198 Downloads View citations (5)
  5. Inference on the Quantile Regression Process
    Econometrica, 2002, 70, (4), 1583-1612 View citations (175)

2001

  1. Bootstrapping Time Series Regressions with Integrated Processes
    Journal of Time Series Analysis, 2001, 22, (4), 461-480 Downloads View citations (1)
  2. HOW TO ESTIMATE AUTOREGRESSIVE ROOTS NEAR UNITY
    Econometric Theory, 2001, 17, (1), 29-69 Downloads View citations (25)
    See also Working Paper (1998)
  3. LIKELIHOOD-BASED INFERENCE IN TRENDING TIME SERIES WITH A ROOT NEAR UNITY
    Econometric Theory, 2001, 17, (6), 1082-1112 Downloads View citations (4)
  4. SECOND-ORDER APPROXIMATION FOR ADAPTIVE REGRESSION ESTIMATORS
    Econometric Theory, 2001, 17, (5), 984-1024 Downloads View citations (6)
    See also Working Paper (2001)
  5. Testing the Null Hypothesis of Stationarity Against an Autoregressive Unit Root Alternative
    Journal of Time Series Analysis, 2001, 22, (1), 87-105 Downloads View citations (4)

2000

  1. On bootstrapping regressions with unit root processes
    Statistics & Probability Letters, 2000, 48, (3), 261-267 Downloads

1999

  1. A residual based test for the null hypothesis of cointegration
    Economics Letters, 1999, 64, (2), 133-141 Downloads View citations (15)
  2. EFFICIENT DETRENDING IN COINTEGRATING REGRESSION
    Econometric Theory, 1999, 15, (4), 519-548 Downloads View citations (17)

1998

  1. A Primer on Unit Root Testing
    Journal of Economic Surveys, 1998, 12, (5), 423-470 Downloads View citations (48)
    See also Working Paper (1998)
  2. Higher-order approximations for frequency domain time series regression
    Journal of Econometrics, 1998, 86, (2), 297-336 Downloads View citations (15)

Chapters

2014

  1. Idiosyncratic Volatility, Expected Windfall, and the Cross-Section of Stock Returns
    A chapter in Essays in Honor of Peter C. B. Phillips, 2014, vol. 33, pp 713-749 Downloads View citations (1)
 
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