Publications

[60] Estimating Time-Varying Networks for High-Dimensional Time Series (with J. Chen, Y. Li and O. Linton ). Forthcoming in Journal of Econometrics (2024+). Link to the working paper version.

[59] Functional-Coefficient Quantile Regression for Panel Data with Latent Group Structure (with X. Yang, J. Chen and R. Li). Forthcoming in Journal of Business and Economic Statistics (2024+), Link to the working paper version.

[58] Estimation of Large Dynamic Covariance Matrices: A Selective Review. Econometrics & Statistics 29 (2024), 16-30. 

[57] Dimension Reduction and Rotated MARS (with Y. Liu and Y. Xia). Journal of Machine Learning Research 24 (309) (2023), 1-30. Link to the working paper version.

[56] Detection of Multiple Structural Breaks in Large Covariance Matrices (with Y. Li and P. Fryzlewicz). Journal of Business and Economic Statistics 41 (2023), 846-861. Link to the working paper version. 

[55] Nonstationary Fractionally Integrated Functional Time Series (with P. M. Robinson and H. Shang). Bernoulli 29 (2023), 1505-1526. Link to the working paper version.

[54] Robust Nonlinear Regression Estimation in Null Recurrent Time Series (with F. Bravo and D. Tjøstheim).  Journal of Econometrics 224 (2021), 416-438.  Link to the working paper version.

[53] Nonparametric Homogeneity Pursuit in Functional-Coefficient Models (with J. Chen, L. Wei and W. Zhang). Journal of Nonparametric Statistics 33 (2021), 387-416. Link to the working paper version.

[52] Local Whittle Estimation of Long Range Dependence for Functional Time Series (with P. M. Robinson and H. Shang). Journal of Time Series Analysis 42 (2021), 685-695. Link to the working paper version.

[51] Nonparametric Estimation of Large Covariance Matrices with Conditional Sparsity (with H. Wang, B. Peng and C. Leng). Journal of Econometrics 223 (2021), 53-72. Link to the working paper version.

[50] Nonparametric Estimation of Conditional Quantile Regression with Mixed Discrete and Continuous Data (with Q. Li and Z. Li). Journal of Business and Economic Statistics 39 (2021), 741-756. Link to the working paper version.

[49] Long-Range Dependent Curve Time Series (with P. M. Robinson and H. Shang). Journal of the American Statistical Association 115 (2020), 957-971.  Link to the working paper version.

[48] Nonlinear Factor-Augmented Predictive Regression Models with Functional Coefficients (with J. Tosasukul and W. Zhang). Journal of Time Series Analysis 41 (2020), 367-386. Link to the working paper version.

[47] Kernel-Based Inference in Time-Varying Coefficient Cointegrating Regression (with P.C.B. Phillips and J. Gao). Journal of Econometrics 215 (2020), 607-632. Link to the working paper version.

[46] Nonparametric Estimation of Conditional Quantile Functions in the Presence of Irrelevant Covariates. Journal of Econometrics 212 (2019), 433-450 (with X. Chen, Q. Li and Z. Li). Link to the working paper version.

[45] A New Semiparametric Estimation Approach of Large Dynamic Covariance matrices with Multiple Conditioning Variables. Journal of Econometrics 212 (2019), 155-176 (with J. Chen and O. Linton). Link to the working paper version.

[44] Estimation of a Rank-Reduced Functional Coefficient Panel Data Model with Serial Correlation. Journal of Multivariate Analysis 173 (2019), 456-479 (with J. Chen and Y. Xia). Link to the working paper version.

[43] Nonlinear Regression Estimation Using Subset-Based Kernel Principal Component Analysis. Statistica Sinica 28 (2018), 2771-2794 (with Y. Ke and Q. Yao). Link to the working paper version.

[42] Semiparametric Ultra-High Dimensional Model Averaging of Nonlinear Dynamic Time Series. Journal of the American Statistical Association 113 (2018), 919-932 (with J. Chen, O. Linton and Z. Lu). Link to the working paper version.

[41]  Nonparametric Estimation and Forecasting of Time-Varying Coefficient Realized Volatility Models. Journal of Business and Economic Statistics 36 (2018), 88-100 (with X. B. Chen, J. Gao and P. Silvapulle). Link to the working paper version.

[40] Simultaneous Confidence Bands in Nonlinear Regression Models with Nonstationarity. Statistica Sinica 27 (2017), 1385-1400 (with W. Liu, Q. Wang and W. Wu). Link to the working paper version.

[39] Estimating Smooth Structural Change in Cointegration Models. Journal of Econometrics 196 (2017), 180-195 (with P. C. B. Phillips and J. Gao). Link to the working paper version.

[38] Estimation of Semi-Varying Coefficient Models with Nonstationary Regressors. Econometric Reviews 36 (2017), 354-369 (with K. Li, Z. Liang and C. Hsiao). Link to the working paper version.

[37] Panel Data Models with Interactive Fixed Effects and Multiple Structural Breaks. Journal of the American Statistical Association 111 (2016) 1804-1819 (with J. Qian and L. Su). Link to the working paper version.

[36] Estimation in Nonlinear Regression with Harris Recurrent Markov Chains. Annals of Statistics 44 (2016), 1957-1987 (with D. Tjostheim and J. Gao). Link to the working paper version and supplemental document.

[35] Semiparametric Dynamic Portfolio Choice with Multiple Conditioning Variables. Journal of Econometrics 194 (2016), 309-318 (with J. Chen, O. Linton and Z. Lu). Link to the working paper version.

[34] Uniform Consistency of Nonstationary Kernel-Weighted Sample Covariances for Nonparametric Regression. Econometric Theory 32 (2016), 655-685 (with P. C. B. Phillips and J. Gao). Link to the working paper version. 

[33] Generalized Nonparametric Smoothing with Mixed Discrete and Continuous Data. Computational Statistics and Data Analysis 100 (2016), 424-444 (with L. Simar and V. Zelenyuk). Link to the working paper version.

[32] Local Composite Quantile Regression Smoothing for Harris Recurrent Markov Processes. Journal of Econometrics 194 (2016), 44-56 (with R. Li). Link to the working paper version.

[31] Model Selection and Structure Specification in Ultra-High Dimensional Generalised Semi-Varying Coefficient Models. Annals of Statistics 43 (2015), 2676-2705 (with Y. Ke and W. Zhang). Link to the working paper version and supplemental document.

[30] Uniform Consistency for Nonparametric Estimators in Null Recurrent Time Series. Econometric Theory 31 (2015), 911-952 (with J. Gao, S. Kanaya and D. Tjostheim).

[29] Semiparametric GEE Analysis of Partially Linear Single-Index Models for Longitudinal Data. Annals of Statistics 43 (2015), 1682-1715 (with J. Chen, H. Liang and S. Wang).

[28] Estimation in Generalised Varying-Coefficient Models with Unspecified Link Functions. Journal of Econometrics 187 (2015), 238-255 (with W. Zhang and Y. Xia). Link to the working paper version.

[27] A Flexible Semiparametric Forecasting Model for Time Series. Journal of Econometrics 187 (2015), 345-357 (with O. Linton and Z. Lu). Link to the working paper version.

[26] Specification Testing in Nonstationary Time Series Models. Econometrics Journal 18 (2015), 117-136 (with J. Chen, J. Gao and Z. Lin). Link to the working paper version.

[25] Computing Highly Accurate Confidence Limits from Discrete Data Using Importance Sampling. Statistics and Computing 24 (2014), 663-673 (with C. Lloyd).

[24] Estimation in Partially Single-Index Panel Data Models with Fixed Effects. Journal of Business and Economic Statistics 31 (2013), 315-330 (with J. Chen and J. Gao).

[23] Estimation in Single-Index Panel Data Models with Heterogeneous Link Function. Econometric Reviews 32 (2013), 928-955 (with J. Chen and J. Gao).

[22] Local Linear Fitting under Near Epoch Dependence: Uniform Consistency with Convergence Rate. Econometric Theory 28 (2012), 935-958 (with Z. Lu and O. Linton).

[21] A New Diagnostic Test for Cross-Section Uncorrelatedness in Nonparametric Panel Data Models. Econometric Theory 28 (2012), 1144-1163 (with J. Chen and J. Gao).

[20] Semiparametric Trending Regression in Panel Data Models with Cross-Sectional Dependence. Journal of Econometrics 171 (2012), 71-85 (with J. Chen and J. Gao).

[19] Estimation in Semiparametric Regression with Nonstationary Regressors. Bernoulli 18 (2012), 678-702 (with J. Chen and J. Gao).

[18] Asymptotic Expansion for Nonparametric M–Estimators in Nonlinear Regression Model with Long–Memory Errors. Journal of Statistical Planning and Inference 141 (2011), 3035-3046 (with J. Chen and Z. Lin).

[17] Nonparametric Time–Varying Coefficient Panel Data Models with Fixed Effects. The Econometrics Journal 14 (2011), 387-408  (with J. Chen and J. Gao).

[16] Statistical Inference in Partially Time–Varying Coefficient Models. Journal of Statistical Planning and Inference 141 (2011), 995-1013 (with J. Chen and Z. Lin).

[15] Estimation in Semiparametric Time Series Regression. Statistics and Its Interface 4 (2011), 243-251 (with J. Chen and J. Gao).

[14] Robust Estimator in a Nonlinear Cointegration Model. Journal of Multivariate Analysis 101 (2010), 706-717 (with J. Chen and L. Zhang).

[13] Local Linear M–Estimation in Nonparametric Spatial Processes. Journal of Time Series Analysis 30 (2009), 286-314 (with Z. Lin and J. Gao).

[12] Robust Estimation in Parametric Time Series Models under Long and Short Range Dependent Structure. Australian & New Zealand Journal of Statistics 51 (2009), 161-181 (with J. Gao and Z. Lin).

[11] Local Linear M–Estimator in Null Recurrent Time Series. Statistica Sinica 19 (2009), 1683-1703 (with Z. Lin and J. Chen).

[10] Variable Selection in Partially Time–Varying Coefficient Models. Journal of Nonparametric Statistics 21 (2009), 553-566 (with J. Chen and Z. Lin).

[9] Bahadur Representation of Nonparametric M–Estimators for Spatial Processes.  Acta Mathematica Sinica, English Series 24 (2008), 1871–1882 (with J. Chen and L. Zhang).

[8] Spatial Local M–Estimation under Association. Metrika 67 (2008), 11–29 (with J. Chen and L. Zhang).

[7] Change Point Estimators by Local Polynomial Fits under a Dependence Assumption. Journal of Multivariate Analysis 99 (2008), 2339-2355 (with Z. Lin and J. Chen) .

[6] Strong Approximation for Moving Average Processes under Dependence Assumptions. Acta Mathematica Scientia 28 B (2008), 217–224 (with Z. Lin).

[5] Asymptotic Normality of L1–Norm Kernel Estimator of Conditional Median under Association Dependence. Journal of Multivariate Analysis 98 (2007), 1214-1230 (with Z. Lin).

[4] A Nonparametric Test for the Change of the Density Function under Association. Journal of Nonparametric Statistics 19 (2007), 1-12 (with Z. Lin).

[3] Asymptotic Behavior for S–Estimator in Random Design Linear Model with Long–Range–Dependent Errors. Metrika 66 (2007), 289–303 (with Z. Lin and J. Chen) . 

[2] The L1–Norm Kernel Estimator of Conditional Median for Stationary Processes. Random Walk, Sequential Analysis and Related Topics, A Festschrift in Honor of Y. S. Chow, A. Hsiung, Z. Ying and C. Zhang Eds (2006), 281-295 (with Z. Lin).

[1] Functional Limit Theorem for Moving Average Processes Generated by Dependent Random Variables.  Progress in Natural Science 16 (2006), 266–273 (with Z. Lin).