2 citations · 5 across the 12 of their papers we have counts for
15 papers
Identification, Estimation and Inference Based on Constructed Instruments
Chaohua Dong, Jiti Gao, Oliver Linton +1
We propose a structural projection (SP) method for identifying and estimating structural parameters in regression models associated with endogenous regressors. The method projects…
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…
Estimation of Grouped Time-Varying Network Vector Autoregression Models
Degui Li, Bin Peng, Songqiao Tang +1
This paper introduces a flexible time-varying network vector autoregressive model framework for large-scale time series. A latent group structure is imposed on the heterogeneous an…
Robust M-Estimation for Additive Single-Index Cointegrating Time Series Models
Chaohua Dong, Jiti Gao, Yundong Tu +1
Robust M-estimation uses loss functions, such as least absolute deviation (LAD), quantile loss and Huber's loss, to construct its objective function, in order to for example eschew…
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…