72 citations · 765 across the 35 of their papers we have counts for
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econ.EM2025
Empirical likelihood approach for high-dimensional moment restrictions with dependent data
Jinyuan Chang, Qiao Hu, Zhentao Shi +1
Economic and financial models -- such as vector autoregressions, local projections, and multivariate volatility models -- feature complex dynamic interactions and spillovers across…
econ.EM2022★ 17 cited
Testing the martingale difference hypothesis in high dimension
Jinyuan Chang, Qing Jiang, Xiaofeng Shao
In this paper, we consider testing the martingale difference hypothesis for high-dimensional time series. Our test is built on the sum of squares of the element-wise max-norm of th…
econ.EM2021★ 3 cited
Culling the herd of moments with penalized empirical likelihood
Jinyuan Chang, Zhentao Shi, Jia Zhang
Models defined by moment conditions are at the center of structural econometric estimation, but economic theory is mostly agnostic about moment selection. While a large pool of val…