2 citations · 3 across the 11 of their papers we have counts for
11 papers · 1 filter
Factor Models of Matrix-Valued Time Series: Nonstationarity and Cointegration
Degui Li, Yayi Yan, Qiwei Yao
In this paper, we consider the nonstationary matrix-valued time series with common stochastic trends. Unlike the traditional factor analysis which flattens matrix observations into…
Panel Data Estimation and Inference: Homogeneity versus Heterogeneity
Jiti Gao, Fei Liu, Bin Peng +1
In this paper, we define an underlying data generating process that allows for different magnitudes of cross-sectional dependence, along with time series autocorrelation. This is a…
A Robust Residual-Based Test for Structural Changes in Factor Models
Bin Peng, Liangjun Su, Yayi Yan
In this paper, we propose an easy-to-implement residual-based specification testing procedure for detecting structural changes in factor models, which is powerful against both smoo…
Robust Estimation and Inference for High-Dimensional Panel Data Models
Jiti Gao, Fei Liu, Bin Peng +1
This paper provides the relevant literature with a complete toolkit for conducting robust estimation and inference about the parameters of interest involved in a high-dimensional p…
Estimation and Inference for a Class of Generalized Hierarchical Models
Chaohua Dong, Jiti Gao, Bin Peng +1
In this paper, we consider estimation and inference for the unknown parameters and function involved in a class of generalized hierarchical models. Such models are of great interes…
Time-Varying Vector Error-Correction Models: Estimation and Inference
Jiti Gao, Bin Peng, Yayi Yan
This paper considers a time-varying vector error-correction model that allows for different time series behaviours (e.g., unit-root and locally stationary processes) to interact wi…
Time-Varying Multivariate Causal Processes
Jiti Gao, Bin Peng, Wei Biao Wu +1
In this paper, we consider a wide class of time-varying multivariate causal processes which nests many classic and new examples as special cases. We first prove the existence of a…
Higher-order Expansions and Inference for Panel Data Models
Jiti Gao, Bin Peng, Yayi Yan
In this paper, we propose a simple inferential method for a wide class of panel data models with a focus on such cases that have both serial correlation and cross-sectional depende…
On Time-Varying VAR Models: Estimation, Testing and Impulse Response Analysis
Yayi Yan, Jiti Gao, Bin Peng
Vector autoregressive (VAR) models are widely used in practical studies, e.g., forecasting, modelling policy transmission mechanism, and measuring connection of economic agents. To…
Binary Response Models for Heterogeneous Panel Data with Interactive Fixed Effects
Jiti Gao, Fei Liu, Bin Peng +1
In this paper, we investigate binary response models for heterogeneous panel data with interactive fixed effects by allowing both the cross-sectional dimension and the temporal dim…
A Class of Time-Varying Vector Moving Average Models: Nonparametric Kernel Estimation and Application
Yayi Yan, Jiti Gao, Bin Peng
Multivariate dynamic time series models are widely encountered in practical studies, e.g., modelling policy transmission mechanism and measuring connectedness between economic agen…