(With Bai, J.) Inference on quantile factor models.
(With Smith, R.) A new model averaging approach for high-dimensional misspecified generalised estimating equation models.
(With Hoshino, T.) Functional network autoregressive models for panel data.
(With Bai, J., Li, K. and Song, Y.) Bayesian inference for dynamic spatial quantile models with interactive effects.
Ando, T. and Bai, J. (2017) Clustering huge number of financial time series. Journal of the American Statistical Association.
Ando, T. and Li, K.-C. (2017) A weight-relaxed model averaging approach for high-dimensional generalized linear models. Annals of Statistics.
Ando, T. and Bai, J. (2020) Quantile co-movement in financial markets. Journal of the American Statistical Association.
Ando, T., Greenwood-Nimmo, M and Shin Y. (2022) Quantile conectedness: modelling tail behaviour in the topology of financial networks. Management Science.
Ando, T., Bai, J. and Li, K. (2022) Bayesian and maximum likelihood analysis of large-scale panel choice models with unobserved heterogeneity, Journal of Econometrics.
Ando, T., Li, K. and Lu, L. (2023) A spatial panel quantile model with unobserved heterogeneity Journal of Econometrics.
Ando, T. and Bai, J. (2023) Large-scale generalized linear models for longitudinal data with grouped patterns of unobserved heterogeneity. Journal of Business and Economic Statistics. Selected in Special American Statistical Association editor's choice collections
Ando, T., Bai, J., Lu, L. and Vojtech, C.M. (2024) Scenario-based quantile connectedness of the U.S. interbank liquidity risk network. Journal of Econometrics.
Ando, T. and Li, K.-C. (2025) Simplex quantile regression under model misspecification. Annals of Statistics.