68 citations · 151 across the 10 of their papers we have counts for
10 papers
Limit theorems for a class of martingale arrays with applications in nonlinear cointegrating regression
Qiying Wang
This paper develops a new asymptotic theory for a broad class of martingales, establishing convergence to limiting distributions that involve a functional of stochastic integrals.…
Locally trimmed least squares: conventional inference in possibly nonstationary models
Zhishui Hu, Ioannis Kasparis, Qiying Wang
A novel IV estimation method, that we term Locally Trimmed LS (LTLS), is developed which yields estimators with (mixed) Gaussian limit distributions in situations where the data ma…
Uniform convergence rates for a class of martingales with application in non-linear cointegrating regression
Qiying Wang, Nigel Chan
For a class of martingales, this paper provides a framework on the uniform consistency with broad applicability. The main condition imposed is only related to the conditional varia…
Long-range dependent time series specification
Jiti Gao, Qiying Wang, Jiying Yin
In this paper we propose using a nonparametric model specification test for parametric time series with long-range dependence (LRD). To establish asymptotic distributions of the pr…
Self-normalized Cramér type moderate deviations for the maximum of sums
Weidong Liu, Qi-Man Shao, Qiying Wang
Let be independent random variables with zero means and finite variances, and let and . A Cramér type moderate deviatio…
A specification test for nonlinear nonstationary models
Qiying Wang, Peter C. B. Phillips
We provide a limit theory for a general class of kernel smoothed U-statistics that may be used for specification testing in time series regression with nonstationary data. The test…