378 citations · 954 across the 33 of their papers we have counts for
4 papers · 1 filter
Semi-parametric Bayesian Partially Identified Models based on Support Function
Yuan Liao, Anna Simoni
We provide a comprehensive semi-parametric study of Bayesian partially identified econometric models. While the existing literature on Bayesian partial identification has mostly fo…
Efficient Estimation of Approximate Factor Models via Regularized Maximum Likelihood
Jushan Bai, Yuan Liao
We study the estimation of a high dimensional approximate factor model in the presence of both cross sectional dependence and heteroskedasticity. The classical method of principal…
Endogeneity in high dimensions
Jianqing Fan, Yuan Liao
Most papers on high-dimensional statistics are based on the assumption that none of the regressors are correlated with the regression error, namely, they are exogenous. Yet, endoge…
Large Covariance Estimation by Thresholding Principal Orthogonal Complements
Jianqing Fan, Yuan Liao, Martina Mincheva
This paper deals with the estimation of a high-dimensional covariance with a conditional sparsity structure and fast-diverging eigenvalues. By assuming sparse error covariance matr…