Research Related
Grant:
ARC Discovery Projects DP210100476 (with W. Yao and J. Westerlund), 2021-2023.
Service:
AE of Australian & New Zealand Journal of Statistics, 2023.3-
Deputy Director of Research, Department of Econometrics and Business Statistics, Monash University, 2024.1-
Publications:
Time-Varying Multivariate Causal Process (with J. Gao, W. B. Wu and Y. Yan), Journal of Econometrics (2024), 240, 105671.
Estimation, Inference and Empirical Analysis for Time-Varying VAR Models (with J. Gao and Y. Yan), Journal of Business & Economic Statistics (2024), 42, 310-321.
A Nonparametric Panel Model for Climate Data with Seasonal and Spatial Variation (with J. Gao and O. Linton), Journal of the Royal Statistical Society: Series A (2024), 187, 158-177.
Asymptotics for Time-Varying Vector MA(∞) Processes (with Y. Yan and J. Gao), Econometric Theory (2023), forthcoming.
Higher-Order Expansions and Inference for Panel Data Models (with J. Gao and Y. Yan), Journal of the American Statistical Association (2023), forthcoming.
Interactive Effects Panel Data Models with General Factors and Regressors (with L. Su, J. Westerlund and Y. Yang), Econometric Theory (2023), forthcoming.
Binary Response Models for Heterogeneous Panel Data with Interactive Fixed Effects (with J. Gao, F. Liu and Y. Yan), Journal of Econometrics (2023), 235, 1654-1679.
An Integrated Panel Data Approach to Modelling Economic Growth (with G. Feng and J. Gao), Journal of Econometrics (2022), 228, 379-397.
On Income and Price Elasticities for Energy Demand: A Panel Data Study (with J. Gao and R. Smyth), Energy Economics (2021), 96, 105168.
Time-Varying Income Elasticities of Healthcare Expenditure for the OECD and Eurozone (with I. Casas, J. Gao and S. Xie), Journal of Applied Econometrics (2021), 36, 328-345.
Nonparametric Estimation of Large Covariance Matrices with Conditional Sparsity (with H. Wang, D. Li and C. Leng), Journal of Econometrics (2021), 223,53-72.
A Weighted Sieve Estimator for Nonparametric Time Series Models with Nonstationary variables (with C. Dong and O. Linton), Journal of Econometrics (2021), 222, 909-932.
Varying-Coefficient Panel Data Models with Nonstationarity and Partially Observed Factor Structure (with C. Dong and J. Gao), Journal of Business & Economic Statistics (2021), 39,700-711.
Inference on a Semiparametric Model with Global Power Law and Local Nonparametric Trends (with J. Gao and O. Linton), Econometric Theory (2020), 36, 223-249.
Semiparametric Single-Index Panel Data Models with Interactive Fixed Effects: Theory and Practice (with G. Feng, L. Su and T. T. Yang), Journal of Econometrics (2019), 212, 607-622.
Estimation in a Semiparametric Panel Data Model with Nonstationarity (with C. Dong and J. Gao), Econometric Reviews (2019), 38, 961-977.
Productivity and Efficiency at Bank Holding Companies in the U.S.: A Time-varying Heterogeneity Approach (with G. Feng and X. Zhang), Journal of Productivity Analysis (2017), 48, 179-192.
Variable Selection for a Categorical Varying-Coefficient Model with Identifications for Determinants of Body Mass Index (with J. Gao, Z. Ren and X. Zhang), Annals of Applied Statistics (2017), 11, 1117-1145.
A Varying-Coefficient Panel Data Model with Fixed Effects: Theory and an Application to US commercial banks (with G. Feng, J. Gao and X. Zhang), Journal of Econometrics (2017), 196, 68-82.
Semiparametric Single-Index Panel Data Models with Cross-Sectional Dependence (with C. Dong and J. Gao), Journal of Econometrics (2015), 188, 301-312.