4 papers
Factors in Fashion: Factor Analysis towards the Mode
Zhe Sun, Yundong Tu
The modal factor model represents a new factor model for dimension reduction in high dimensional panel data. Unlike the approximate factor model that targets for the mean factors,…
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…
Multiple-index Nonstationary Time Series Models: Robust Estimation Theory and Practice
Chaohua Dong, Jiti Gao, Bin Peng +1
This paper proposes a class of parametric multiple-index time series models that involve linear combinations of time trends, stationary variables and unit root processes as regress…
Analyzing China's Consumer Price Index Comparatively with that of United States
Zhenzhong Wang, Yundong Tu, Song Xi Chen
This paper provides a thorough analysis on the dynamic structures and predictability of China's Consumer Price Index (CPI-CN), with a comparison to those of the United States. Desp…