4 papers
Inference for High-Dimensional Local Projection
Jiti Gao, Fei Liu, Bin Peng
This paper rigorously analyzes the properties of the local projection (LP) methodology within a high-dimensional (HD) framework, with a central focus on achieving robust long-horiz…
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…
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…
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…