Characteristic Function-Based Testing for Multifactor Continuous-Time Markov Models via Nonparametric Regression (joint with Yongmiao Hong), Econometric Theory, 2010, volume 26, issue 04, 1115-1179.
Generalized Spectral Testing for Multivariate Continuous-Time Models (joint with Yongmiao Hong), Journal of Econometrics, 2011, 164, 268-293.
Testing for the Markov Property in Time Series (joint with Yongmiao Hong), Econometric Theory, 2012, volume 28, issue 01, 130-178.
Testing for Smooth Structural Changes in Time Series Models via Nonparametric Regression (joint with Yongmiao Hong), Econometrica, 2012, volume 80, 3, 1157-1183 .
Testing Whether the Underlying Continuous-Time Model is Diffusion: an Infinitesimal Operator Based Approach (joint with Zhaogang Song), Journal of Econometrics, 2013, 173, 83-107.
A Unified Approach toValidating Univariate and Multivariate Conditional Distribution Models in TimeSeries (joint with Yongmiao Hong), Journal of Econometrics, 2014, 178, 22-44.
Modeling and TestingSmooth Structural Changes with Endogenous Regressors, Journal of Econometrics, 2015, 185, 196-215.
Detecting for SmoothStructural Changes in GARCH Models (joint with Yongmiao Hong), Econometric Theory, 2016, 32, 740-791
Testing for Fundamental Vector Moving Average Representations (joint with Jinho Choi and Juan Carlos Escanciano), Quantitative Economics, 2017, 8, 149-180
Nonparametric Testing for Smooth Structural Changes in Panel Data Models, (joint with Liquan Huang) Journal of Econometrics, 2018, 202, 245-267
Testing for Serial Correlation in Panel Data Models with Potential Cross Sectional Dependence, Econometric Reviews, 2022, 41, 1095-1112
Time-varying Forecast Combination for High-Dimensional Data (joint with Kenwin Maung), forthcoming, Journal of Econometrics, online appendix
Time-varying Matrix Factor Models (joint with Elynn Chen, Stevenson Bolivar and Rong Chen)
Useful factors are fewer than you think (joint with Qiyang Yu, and Guofu Zhou)
Testing for Structural Changes via Isotonic Regression (joint with Robert DeJong).
A Unified Approach to Testing the Distributional Stability (joint with Liquan Huang)
Forecast Combination with General Loss Function for High-Dimensional Data (joint with Kenwin Maung)
Multiple Testing via Time-varying Latent Factor Models (joint with Qiyang Yu and Guofu Zhou)
Inference for CP Tensor Factor Models (joint with Yuefeng Han, Qiyang Yu and Rong Chen)
Optimal Portfolio Choice with Deep Learning