Details about Yayi Yan

Access statistics for papers by Yayi Yan.

Last updated 2025-09-18. Update your information in the RePEc Author Service.

Short-id: pya740

Working Papers

2025

1. A Robust Residual-Based Test for Structural Changes in Factor Models
   Papers, arXiv.org
   Also in Monash Econometrics and Business Statistics Working Papers, Monash University, Department of Econometrics and Business Statistics (2024)
   See also Journal Article A robust residual-based test for structural changes in factor models, Journal of Econometrics, Elsevier (2025) (2025)
2. Factor Models of Matrix-Valued Time Series: Nonstationarity and Cointegration
   Working Papers, University of Macau, Faculty of Business Administration
   Also in Papers, arXiv.org (2025)
3. Panel Data Estimation and Inference: Homogeneity versus Heterogeneity
   Papers, arXiv.org
4. Robust Estimation and Inference for High-Dimensional Panel Data Models
   Papers, arXiv.org View citations (1)

2024

5. Estimation and Inference for a Class of Generalized Hierarchical Models
   Monash Econometrics and Business Statistics Working Papers, Monash University, Department of Econometrics and Business Statistics
   Also in Papers, arXiv.org (2024)
6. Robust Inference for High Dimensional Panel Data Models
   Monash Econometrics and Business Statistics Working Papers, Monash University, Department of Econometrics and Business Statistics View citations (1)

2023

7. A Localised Neural network with Dependent Data: Estimation and Inference
   Monash Econometrics and Business Statistics Working Papers, Monash University, Department of Econometrics and Business Statistics
8. Estimation of Semiparametric Multi-Index Models Using Deep Neural Networks
   Monash Econometrics and Business Statistics Working Papers, Monash University, Department of Econometrics and Business Statistics
9. Higher-order Expansions and Inference for Panel Data Models
   Monash Econometrics and Business Statistics Working Papers, Monash University, Department of Econometrics and Business Statistics
   Also in Papers, arXiv.org (2023) View citations (2)
   See also Journal Article Higher-Order Expansions and Inference for Panel Data Models, Journal of the American Statistical Association, Taylor & Francis Journals (2024) (2024)
10. Time-Varying Vector Error-Correction Models: Estimation and Inference
    Monash Econometrics and Business Statistics Working Papers, Monash University, Department of Econometrics and Business Statistics View citations (1)
    Also in Papers, arXiv.org (2023) View citations (1)
    See also Journal Article Time-varying vector error-correction models: Estimation and inference, Journal of Econometrics, Elsevier (2025) (2025)

2022

11. A Simple Bootstrap Method for Panel Data Inferences
    Monash Econometrics and Business Statistics Working Papers, Monash University, Department of Econometrics and Business Statistics View citations (2)
12. Nonparametric Estimation and Testing for Time-Varying VAR Models
    Monash Econometrics and Business Statistics Working Papers, Monash University, Department of Econometrics and Business Statistics
13. Time-Varying Multivariate Causal Processes
    Papers, arXiv.org
    Also in Monash Econometrics and Business Statistics Working Papers, Monash University, Department of Econometrics and Business Statistics (2022)
    See also Journal Article Time-varying multivariate causal processes, Journal of Econometrics, Elsevier (2024) (2024)

2021

14. Asymptotics for Time-Varying Vector MA(∞) Processes
    Monash Econometrics and Business Statistics Working Papers, Monash University, Department of Econometrics and Business Statistics
15. Binary Response Models for Heterogeneous Panel Data with Interactive Fixed Effects
    Papers, arXiv.org
    See also Journal Article Binary response models for heterogeneous panel data with interactive fixed effects, Journal of Econometrics, Elsevier (2023) View citations (1) (2023)
16. On Time-Varying VAR Models: Estimation, Testing and Impulse Response Analysis
    Papers, arXiv.org
    Also in Monash Econometrics and Business Statistics Working Papers, Monash University, Department of Econometrics and Business Statistics (2021)
17. Parameter Stability Testing for Multivariate Dynamic Time-Varying Models
    Monash Econometrics and Business Statistics Working Papers, Monash University, Department of Econometrics and Business Statistics

2020

18. A Class of Time-Varying Vector Moving Average (infinity) Models
    Monash Econometrics and Business Statistics Working Papers, Monash University, Department of Econometrics and Business Statistics View citations (1)
19. A Class of Time-Varying Vector Moving Average Models: Nonparametric Kernel Estimation and Application
    Papers, arXiv.org

2018

20. Regime switching in the presence of endogeneity
    Monash Econometrics and Business Statistics Working Papers, Monash University, Department of Econometrics and Business Statistics
21. Regime switching panel data models with interative fixed effects
    Monash Econometrics and Business Statistics Working Papers, Monash University, Department of Econometrics and Business Statistics View citations (2)
    See also Journal Article Regime switching panel data models with interactive fixed effects, Economics Letters, Elsevier (2019) View citations (2) (2019)

Journal Articles

2025

1. A robust residual-based test for structural changes in factor models
   Journal of Econometrics, 2025, 251, (C)
   See also Working Paper A Robust Residual-Based Test for Structural Changes in Factor Models, Papers (2025) (2025)
2. A system of time-varying models for predictive regressions
   Journal of Empirical Finance, 2025, 82, (C)
3. Examining Chinese volume–volatility nexus: A regime-switching perspective
   Economic Modelling, 2025, 144, (C) View citations (1)
4. Time-varying vector error-correction models: Estimation and inference
   Journal of Econometrics, 2025, 251, (C)
   See also Working Paper Time-Varying Vector Error-Correction Models: Estimation and Inference, Monash Econometrics and Business Statistics Working Papers (2023) View citations (1) (2023)

2024

5. Estimation, Inference, and Empirical Analysis for Time-Varying VAR Models
   Journal of Business & Economic Statistics, 2024, 42, (1), 310-321 View citations (3)
6. Higher-Order Expansions and Inference for Panel Data Models
   Journal of the American Statistical Association, 2024, 119, (548), 2760-2771
   See also Working Paper Higher-order Expansions and Inference for Panel Data Models, Monash Econometrics and Business Statistics Working Papers (2023) (2023)
7. Sieve Bootstrap for Fixed-b Phillips–Perron Unit Root Test
   Computational Economics, 2024, 64, (6), 3181-3205
8. Time-varying multivariate causal processes
   Journal of Econometrics, 2024, 240, (1)
   See also Working Paper Time-Varying Multivariate Causal Processes, Papers (2022) (2022)

2023

9. Binary response models for heterogeneous panel data with interactive fixed effects
   Journal of Econometrics, 2023, 235, (2), 1654-1679 View citations (1)
   See also Working Paper Binary Response Models for Heterogeneous Panel Data with Interactive Fixed Effects, Papers (2021) (2021)
10. Joint dynamics of stock returns and cash flows: A time‐varying present‐value framework
    Financial Management, 2023, 52, (3), 513-541 View citations (1)

2022

11. Factor-augmented forecasting regressions with threshold effects
    (What drives oil prices? Emerging versus developed economies)
    The Econometrics Journal, 2022, 25, (1), 134-154 View citations (2)

2021

12. Improved inference for fund alphas using high-dimensional cross-sectional tests
    Journal of Empirical Finance, 2021, 61, (C), 57-81

2019

13. Regime switching panel data models with interactive fixed effects
    Economics Letters, 2019, 177, (C), 47-51 View citations (2)
    See also Working Paper Regime switching panel data models with interative fixed effects, Monash Econometrics and Business Statistics Working Papers (2018) View citations (2) (2018)