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Estimation of Large Dynamic Covariance Matrices: A Selective Review,
Degui Li,
in Econometrics and Statistics
(2024)
Keywords: Covariance matrix; CUSUM statistic; Factor model; GARCH; Generalised shrinkage; Kernel estimation; Semi-parametric estimation; Sparsity; Structural breaks;
Registered author: Degui Li
Local composite quantile regression smoothing for Harris recurrent Markov processes,
Degui Li and Runze Li,
in Journal of Econometrics
(2016)
Keywords: Asymptotic theory; Bandwidth selection; β-null recurrence; Composite quantile regression; Harris recurrent Markov process; Local polynomial smoothing;
Asymptotic normality for L1-norm kernel estimator of conditional median under association dependence,
Zhengyan Lin and Degui Li,
in Journal of Multivariate Analysis
(2007)
Keywords: Associated processes Asymptotic normality Conditional median L1-norm kernel
Nonparametric Quantile Regression Estimation With Mixed Discrete and Continuous Data,
Degui Li, Qi Li and Zheng Li,
in Journal of Business & Economic Statistics
(2021)
Estimating Factor-Based Spot Volatility Matrices with Noisy and Asynchronous High-Frequency Data,
Degui Li, Oliver Linton and Haoxuan Zhang,
from arXiv.org
(2024)
Robust nonlinear regression estimation in null recurrent time series,
Francesco Bravo, Degui Li and Dag Tjøstheim,
in Journal of Econometrics
(2021)
Keywords: Asymptotically homogeneous functions; β-null recurrence; Integrable functions; Nonlinear regression; Outliers; Robust estimation;
Estimation in generalised varying-coefficient models with unspecified link functions,
Wenyang Zhang, Degui Li and Yingcun Xia,
in Journal of Econometrics
(2015)
Keywords: Generalised varying-coefficient models; Identifiability; Iterative estimation procedure; Kernel smoothing; Weighted least squares;
A flexible semiparametric model for time series,
Degui Li, Oliver Linton and Zudi Lu,
from Institute for Fiscal Studies
(2012)
Variable selection in partially time-varying coefficient models,
Degui Li, Jia Chen and Zhengyan Lin,
in Journal of Nonparametric Statistics
(2009)
A NEW DIAGNOSTIC TEST FOR CROSS-SECTION UNCORRELATEDNESS IN NONPARAMETRIC PANEL DATA MODELS,
Jia Chen, Jiti Gao and Degui Li,
in Econometric Theory
(2012)
Non‐parametric time‐varying coefficient panel data models with fixed effects,
Degui Li, Jia Chen and Jiti Gao,
in Econometrics Journal
(2011)
Semiparametric trending panel data models with cross-sectional dependence,
Jia Chen, Jiti Gao and Degui Li,
in Journal of Econometrics
(2012)
Keywords: Cross-sectional dependence; Local linear fitting; Nonlinear time trend; Panel data; Profile likelihood; Semiparametric regression;
Robust estimation in a nonlinear cointegration model,
Jia Chen, Degui Li and Lixin Zhang,
in Journal of Multivariate Analysis
(2010)
Keywords: Cointegration model Local time density Nonparametric M-estimator
Change point estimators by local polynomial fits under a dependence assumption,
Zhengyan Lin, Degui Li and Jia Chen,
in Journal of Multivariate Analysis
(2008)
Keywords: 62G07 60F05 [alpha]-mixing Change point Functional limit theorem Local polynomial fits Random design model
Estimation of a rank-reduced functional-coefficient panel data model with serial correlation,
Jia Chen, Degui Li and Yingcun Xia,
in Journal of Multivariate Analysis
(2019)
Keywords: Cholesky decomposition; Functional coefficients; Local linear smoothing; Panel data; Principal component analysis; Profile least squares; Within-subject covariance;
Local Linear M‐estimation in non‐parametric spatial regression,
Zhengyan Lin, Degui Li and Jiti Gao,
in Journal of Time Series Analysis
(2009)
Nonlinear Factor‐Augmented Predictive Regression Models with Functional Coefficients,
Degui Li, Jiraroj Tosasukul and Wenyang Zhang,
in Journal of Time Series Analysis
(2020)
LOCAL LINEAR FITTING UNDER NEAR EPOCH DEPENDENCE: UNIFORM CONSISTENCY WITH CONVERGENCE RATES,
Degui Li, Zudi Lu and Oliver Linton,
in Econometric Theory
(2012)
A flexible semiparametric forecasting model for time series,
Degui Li, Oliver Linton and Zudi Lu,
in Journal of Econometrics
(2015)
Keywords: Forecasting; Marginal regression; Model averaging; Kernel estimation; Near epoch dependence; Semiparametric estimation;
A new semiparametric estimation approach for large dynamic covariance matrices with multiple conditioning variables,
Jia Chen, Degui Li and Oliver Linton,
in Journal of Econometrics
(2019)
Keywords: Dynamic covariance matrix; MAMAR; Semiparametric estimation; Sparsity; Uniform consistency;
Panel Data Models With Interactive Fixed Effects and Multiple Structural Breaks,
Degui Li, Junhui Qian and Liangjun Su,
in Journal of the American Statistical Association
(2016)
UNIFORM CONSISTENCY OF NONSTATIONARY KERNEL-WEIGHTED SAMPLE COVARIANCES FOR NONPARAMETRIC REGRESSION,
Degui Li, Peter Phillips and Jiti Gao,
in Econometric Theory
(2016)
Estimating smooth structural change in cointegration models,
Peter Phillips, Degui Li and Jiti Gao,
in Journal of Econometrics
(2017)
Keywords: Cointegration; Endogeneity; Kernel degeneracy; Nonparametric regression; Super-consistency; Time varying coefficients;
Kernel-based Inference in Time-Varying Coefficient Cointegrating Regression,
Degui Li, Peter Phillips and Jiti Gao,
in Journal of Econometrics
(2020)
Keywords: Cointegration; FM-kernel estimation; Generalized Wald test; Global rotation; Kernel degeneracy; Local rotation; Super-consistency; Time-varying coefficients;
Estimation in Single-Index Panel Data Models with Heterogeneous Link Functions,
Jia Chen, Jiti Gao and Degui Li,
in Econometric Reviews
(2013)
Estimation in Partially Linear Single-Index Panel Data Models With Fixed Effects,
Jia Chen, Jiti Gao and Degui Li,
in Journal of Business & Economic Statistics
(2013)
Loch linear fitting under near epoch dependence: uniform consistency with convergence rate,
Degui Li, Zudi Lu and Oliver Linton,
from London School of Economics and Political Science, LSE Library
(2010)
Keywords: α − mixing; local linear fitting; near epoch dependence; convergence rates; uniform consistency
Spatial local M-estimation under association,
Jia Chen, Zhang Lixin and Degui Li,
in Metrika: International Journal for Theoretical and Applied Statistics
(2008)
Keywords: Local M-estimation, Spatial processes, Association, Consistency, Asymptotic normality,
Asymptotic behavior for S-estimators in random design linear model with long-range-dependent errors,
Lin Zhengyan, Degui Li and Jia Chen,
in Metrika: International Journal for Theoretical and Applied Statistics
(2007)
Keywords: Asymptotic distribution, Consistency, Linear model, Long-range dependence, S-estimator,
Generalized nonparametric smoothing with mixed discrete and continuous data,
Degui Li, Leopold Simar and Valentin Zelenyuk,
from Université catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA)
(2016)
Generalized nonparametric smoothing with mixed discrete and continuous data,
Degui Li, Leopold Simar and Valentin Zelenyuk,
in Computational Statistics & Data Analysis
(2016)
Keywords: Discrete regressors; Nonparametric regression; Kernel smoothing; Cross-validation; Local linear smoothing;
Local Linear Fitting Under Near Epoch Dependence: Uniform consistency with Convergence Rates,
Degui Li, Zudi Lu and Oliver Linton,
from Monash University, Department of Econometrics and Business Statistics
(2011)
Keywords: α-mixing, local linear fitting, near epoch dependence, convergence rates, uniform consistency
Semiparametric Trending Panel Data Models with Cross-Sectional Dependence,
Jia Chen, Jiti Gao and Degui Li,
from Monash University, Department of Econometrics and Business Statistics
(2011)
Keywords: Cross-sectional dependence, nonlinear time trend, panel data, profile likelihood, semiparametric regression.
Estimation in Partially Linear Single-Index Panel Data Models with Fixed Effects,
Jia Chen, Jiti Gao and Degui Li,
from Monash University, Department of Econometrics and Business Statistics
(2011)
Keywords: Fixed effects, local linear smoothing, panel data, semiparametric estimation, single-index models
Uniform Consistency for Nonparametric Estimators in Null Recurrent Time Series,
Jiti Gao, Degui Li and Dag Tjøstheim,
from Monash University, Department of Econometrics and Business Statistics
(2011)
Keywords: β-null recurrent Markov chain, nonparametric estimation, rate of convergence, uniform consistency
Estimation in Single-Index Panel Data Models with Heterogeneous Link Functions,
Jia Chen, Jiti Gao and Degui Li,
from Monash University, Department of Econometrics and Business Statistics
(2011)
Keywords: Asymptotic distribution; local linear smoother; minimum average variance estimation; panel data; semiparametric estimation; single-index models.
A Flexible Semiparametric Model for Time Series,
Degui Li, Oliver Linton and Zudi Lu,
from Monash University, Department of Econometrics and Business Statistics
(2012)
Keywords: Asymptotic normality, model averaging, Nadaraya-Watson kernel estimation, near epoch dependence, semiparametric method
Nonlinear Regression with Harris Recurrent Markov Chains,
Degui Li, Dag Tjøstheim and Jiti Gao,
from Monash University, Department of Econometrics and Business Statistics
(2012)
Keywords: Asymptotic distribution, asymptotically homogeneous functions, ?-null recurrent Markov chains, Harris recurrence, integrable functions, least squares estimation, nonlinear regression.
Uniform Consistency of Nonstationary Kernel-Weighted Sample Covariances for Nonparametric Regression,
Degui Li, Peter Phillips and Jiti Gao,
from Monash University, Department of Econometrics and Business Statistics
(2013)
Keywords: and phrases: Cointegration; Functional coefficients; Kernel degeneracy; Nonparametric kernel smoothing; Random coordinate rotation; Super-consistency; Uniform convergence rates; Time varying coefficients.
Estimating Smooth Structural Change in Cointegration Models,
Peter Phillips, Degui Li and Jiti Gao,
from Monash University, Department of Econometrics and Business Statistics
(2013)
Keywords: Cointegration, Endogeneity, Kernel degeneracy, Nonparametric regression, Super-consistency, Time varying coefficients
Non- and Semi-Parametric Panel Data Models: A Selective Review,
Jia Chen, Degui Li and Jiti Gao,
from Monash University, Department of Econometrics and Business Statistics
(2013)
Keywords: Deterministic trends, local linear fitting, panel data, semiparametric estimation, single-index models
Kernel-based inference in time-varying coefficient models with multiple integrated regressors,
Degui Li, Peter Phillips and Jiti Gao,
from Monash University, Department of Econometrics and Business Statistics
(2017)
Keywords: cointegration, FM-kernel estimation, generalized Wald test, global rotation, kernel degeneracy, local rotation, super-consistency, time-varying coecients.
Semiparametric Regression Estimation in Null Recurrent Nonlinear Time Series,
Jia Chen, Jiti Gao and Degui Li,
from University of Adelaide, School of Economics and Public Policy
(2009)
Keywords: asymptotic normality; beta-null recurrent Markov chain; consistency; kernel estimator; partially linear model
A New Diagnostic Test for Cross-Section Independence in Nonparametric Panel Data Model,
Jia Chen, Jiti Gao and Degui Li,
from University of Adelaide, School of Economics and Public Policy
(2009)
Keywords: Cross–section independence; local linear smoother; nonlinear panel data model; nonparametric diagnostic test, size and power function
Uniform Consistency for Nonparametric Estimators in Null Recurrent Time Series,
Jiti Gao, Degui Li and Dag Tjostheim,
from University of Adelaide, School of Economics and Public Policy
(2009)
Keywords: beta–null recurrent Markov chain; nonparametric estimation; rate of convergence, uniform consistency
Nonparametric Time-Varying Coefficient Panel Data Models with Fixed Effects,
Degui Li, Jia Chen and Jiti Gao,
from University of Adelaide, School of Economics and Public Policy
(2010)
Keywords: Fixed effects, local linear estimation, nonstationarity, panel data, specification testing, time-varying coeffcient function
Estimation in Single-Index Panel Data Models with Heterogeneous Link Functions,
Jia Chen, Jiti Gao and Degui Li,
from University of Adelaide, School of Economics and Public Policy
(2010)
Keywords: asymptotic distribution, local linear smoother, minimum average variance estimation, panel data, semiparametric estimation, single-index models
Semiparametric Trending Panel Data Models with Cross-Sectional Dependence,
Jia Chen, Jiti Gao and Degui Li,
from University of Adelaide, School of Economics and Public Policy
(2010)
Keywords: cross-sectional dependence, nonlinear time trend, panel data, profile likelihood, semiparametric regression
Estimation in Semiparametric Time Series Regression,
Jia Chen, Jiti Gao and Degui Li,
from University of Adelaide, School of Economics and Public Policy
(2010)
To Smooth or Not to Smooth? The Case of Discrete Variables in Nonparametric Regression,
Degui Li, Leopold Simar and Valentin Zelenyuk,
from Université catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA)
(2013)
A New Semiparametric Estimation Approach for Large Dynamic Covariance Matrices with Multiple Conditioning Variables,
Jia Chen, Degui Li and Oliver Linton,
from Faculty of Economics, University of Cambridge
(2018)
Keywords: Dynamic covariance matrix, MAMAR, Semiparametric estimation, Sparsity, Uniform consistency
Loch Linear Fitting under Near Epoch Dependence: Uniform Consistency with Convergence Rate,
Degui Li, Oliver Linton and Zudi Lu,
from Suntory and Toyota International Centres for Economics and Related Disciplines, LSE
(2010)
Keywords: local linear fitting, near epoch dependence, convergence rates, uniform consistency.
New Semiparametric Estimation Procedure for Functional Coefficient Longitudinal Data Models,
Jia Chen, Degui Li and Yingcun Xia,
from Department of Economics, University of York
(2015)
Keywords: Cholesky decomposition, functional coefficients, local linear smoothing, principal component analysis, profile least squares, within-subject covariance
A New Semiparametric Estimation Approach for Large Dynamic Covariance Matrices with Multiple Conditioning Variables,
Jia Chen, Degui Li and Oliver Linton,
from Department of Economics, University of York
(2018)
Keywords: Dynamic covariance matrix, MAMAR, Semiparametric estimation, Sparsity, Uniform consistency.
A flexible semiparametric model for time series,
Degui Li, Oliver Linton and Zudi Lu,
from Centre for Microdata Methods and Practice, Institute for Fiscal Studies
(2012)
Keywords: Asymptotic normality, model averaging, Nadaraya-Watson kernel estimation, near epoch dependence, semiparametric method.
Kernel-Based Inference In Time-Varying Coefficient Cointegrating Regression,
Degui Li, Peter Phillips and Jiti Gao,
from Cowles Foundation for Research in Economics, Yale University
(2017)
Keywords: Cointegration, FM-kernel estimation, Generalized Wald test, Global rotation, Kernel degeneracy, Local rotation, Super-consistency, Time-varying coefficients
Uniform Consistency of Nonstationary Kernel-Weighted Sample Covariances for Nonparametric Regression,
Degui Li, Peter Phillips and Jiti Gao,
from Cowles Foundation for Research in Economics, Yale University
(2013)
Keywords: Cointegration, Functional coefficients, Kernel degeneracy, Nonparametric kernel smoothing, Random coordinate rotation, Super-consistency, Uniform convergence rates, Time varying coefficients
Estimating Smooth Structural Change in Cointegration Models,
Peter Phillips, Degui Li and Jiti Gao,
from Cowles Foundation for Research in Economics, Yale University
(2013)
Keywords: Cointegration, Endogeneity, Kernel degeneracy, Nonparametric regression, Super-consistency, Time varying coefficients
Nonparametric estimation of conditional quantile functions in the presence of irrelevant covariates,
Xirong Chen, Degui Li, Qi Li and Zheng Li,
in Journal of Econometrics
(2019)
Keywords: Cross-validation; Discrete regressors; Irrelevant covariates; Nonparametric quantile regression; Screening;
Detection of Multiple Structural Breaks in Large Covariance Matrices,
Yu-Ning Li, Degui Li and Piotr Fryzlewicz,
in Journal of Business & Economic Statistics
(2023)
Functional-Coefficient Quantile Regression for Panel Data with Latent Group Structure,
Xiaorong Yang, Jia Chen, Degui Li and Runze Li,
in Journal of Business & Economic Statistics
(2024)
Estimating Time-Varying Networks for High-Dimensional Time Series,
Jia Chen, Degui Li, Yuning Li and Oliver Linton,
from arXiv.org
(2023)
Detection of multiple structural breaks in large covariance matrices,
Yu-Ning Li, Degui Li and Piotr Fryzlewicz,
from London School of Economics and Political Science, LSE Library
(2022)
Keywords: approximate factor models; Binary segmentation; CUSUM; large covariance matrix; principal component analysis; structural breaks
Estimation of semi-varying coefficient models with nonstationary regressors,
Kunpeng Li, Degui Li, Zhongwen Liang and Cheng Hsiao,
in Econometric Reviews
(2017)
Functional-Coefficient Quantile Regression for Panel Data with Latent Group Structure,
Xiaorong Yang, Jia Chen, Degui Li and Runze Li,
from arXiv.org
(2023)
Detection and Estimation of Structural Breaks in High-Dimensional Functional Time Series,
Degui Li, Runze Li and Han Lin Shang,
from arXiv.org
(2023)
Semiparametric Profile Likelihood Estimation of Varying Coefficient Models with Nonstationary Regressors,
Kunpeng Li, Degui Li, Zhongwen Lian and Cheng Hsiao,
from Monash University, Department of Econometrics and Business Statistics
(2013)
Keywords: Functional coefficients, local polynomial fitting, profile likelihood, semiparametric estimation, unit root process.
Estimating Time-Varying Networks for High-Dimensional Time Series,
Jia Chen, Degui Li, Yuning Li and Oliver B. Linton,
from Faculty of Economics, University of Cambridge
(2022)
Keywords: CLIME, Factor model, Granger causality, lasso, local linear smoothing, partial correlation, time-varying network, VAR
Estimating Time-Varying Networks for High-Dimensional Time Series,
Jia Chen, Degui Li, Yuning Li and Oliver B. Linton,
from Faculty of Economics, University of Cambridge
(2022)
Keywords: CLIME, Factor model, Granger causality, lasso, local linear smoothing, partial correlation, time-varying network, VAR
Antenna Selection and Placement Analysis of MIMO Radar Networks for Target Localization,
Bin Sun, Haowen Chen, Degui Yang and Xiang Li,
in International Journal of Distributed Sensor Networks
(2014)
Hierarchical Generalized Linear Models for Multiple Groups of Rare and Common Variants: Jointly Estimating Group and Individual-Variant Effects,
Nengjun Yi, Nianjun Liu, Degui Zhi and Jun Li,
in PLOS Genetics
(2011)
Nonparametric Estimation of Large Spot Volatility Matrices for High-Frequency Financial Data,
Ruijun Bu, Degui Li, Oliver Linton and Hanchao Wang,
from arXiv.org
(2023)
Nonparametric estimation of large covariance matrices with conditional sparsity,
Hanchao Wang, Bin Peng, Degui Li and Chenlei Leng,
in Journal of Econometrics
(2021)
Keywords: Approximate factor model; Kernel estimation; Large covariance matrix; Sparsity; Uniform convergence;
Covariance Function Estimation for High-Dimensional Functional Time Series with Dual Factor Structures,
Chenlei Leng, Degui Li, Hanlin Shang and Yingcun Xia,
from arXiv.org
(2024)
Nonparametric homogeneity pursuit in functional-coefficient models,
Jia Chen, Degui Li, Lingling Wei and Wenyang Zhang,
in Journal of Nonparametric Statistics
(2021)
Specification testing in nonstationary time series models,
Jia Chen, Jiti Gao, Degui Li and Zhengyan Lin,
in Econometrics Journal
(2015)
Semiparametric dynamic portfolio choice with multiple conditioning variables,
Jia Chen, Degui Li, Oliver Linton and Zudi Lu,
from Institute for Fiscal Studies
(2015)
Semiparametric model averaging of ultra-high dimensional time series,
Jia Chen, Degui Li, Oliver Linton and Zudi Lu,
from Institute for Fiscal Studies
(2015)
Nonparametric Estimation and Forecasting for Time-Varying Coefficient Realized Volatility Models,
Been-Lon Chen, Jiti Gao, Degui Li and Param Silvapulle,
in Journal of Business & Economic Statistics
(2018)
Estimation of Grouped Time-Varying Network Vector Autoregression Models,
Degui Li, Bin Peng, Songqiao Tang and Weibiao Wu,
from arXiv.org
(2024)
Semiparametric Ultra-High Dimensional Model Averaging of Nonlinear Dynamic Time Series,
Jia Chen, Degui Li, Oliver Linton and Zudi Lu,
in Journal of the American Statistical Association
(2018)
Semiparametric dynamic portfolio choice with multiple conditioning variables,
Jia Chen, Degui Li, Oliver Linton and Zudi Lu,
in Journal of Econometrics
(2016)
Keywords: Conditioning variables; Kernel smoothing; Model averaging; Portfolio choice; Utility function;
Uniform Consistency for Nonparametric Estimators in Null Recurrent Time Series,
Jiti Gao, Shin Kanaya, Degui Li and Dag Tjøstheim,
from Department of Economics and Business Economics, Aarhus University
(2013)
Keywords: ß-null recurrence, Harris recurrent Markov chain, nonparametric estimation, rate of convergence, uniform consistency
UNIFORM CONSISTENCY FOR NONPARAMETRIC ESTIMATORS IN NULL RECURRENT TIME SERIES,
Jiti Gao, Shin Kanaya, Degui Li and Dag Tjøstheim,
in Econometric Theory
(2015)
A simple butterfly-shaped chaotic system,
Lingyun Li, Degui Kong, Zhijun Chai and Yunxia Wang,
in The European Physical Journal B: Condensed Matter and Complex Systems
(2022)
Long-Range Dependent Curve Time Series,
Degui Li, Peter M. Robinson and Han Lin Shang,
in Journal of the American Statistical Association
(2020)
Local Whittle estimation of long‐range dependence for functional time series,
Degui Li, Peter M. Robinson and Han Lin Shang,
in Journal of Time Series Analysis
(2021)
Nonparametric Estimation and Parametric Calibration of Time-Varying Coefficient Realized Volatility Models,
Xiangjin B. Chen, Jiti Gao, Degui Li and Param Silvapulle,
from Monash University, Department of Econometrics and Business Statistics
(2013)
Keywords: Bootstrap method, heterogeneous autoregressive model, locally stationary process, nonparametric method
Inference of Grouped Time-Varying Network Vector Autoregression Models,
Degui Li, Bin Peng, Songqiao Tang and Weibiao Wu,
from Monash University, Department of Econometrics and Business Statistics
(2023)
Keywords: cluster analysis, information criterion, latent groups, local linear estimator, network VAR, time-varying coefficients
Nonparametric Estimation of Large Spot Volatility Matrices for High-Frequency Financial Data,
Ruijun Bu, Degui Li, Oliver Linton and Hanchao Wang,
from Faculty of Economics, University of Cambridge
(2022)
Keywords: Brownian semi-martingale, Kernel smoothing, Microstructure noise, Sparsity, Spot volatility matrix, Uniform consistency
Estimating Factor-Based Spot Volatility Matrices with Noisy and Asynchronous High-Frequency Data,
Degui Li, Oliver B. Linton and Haoxuan Zhang,
from Faculty of Economics, University of Cambridge
(2024)
Keywords: Continuous Semimartingale, Kernel Smoothing, Microstructure Noise, PCA, Spot Volatility, Time-Varying Factor Models
Nonparametric Estimation of Large Spot Volatility Matrices for High-Frequency Financial Data,
Ruijun Bu, Degui Li, Oliver Linton and Hanchao Wang,
from Faculty of Economics, University of Cambridge
(2022)
Keywords: Brownian semi-martingale, Kernel smoothing, Microstructure noise, Sparsity, Spot volatility matrix, Uniform consistency
Estimating Factor-Based Spot Volatility Matrices with Noisy and Asynchronous High-Frequency Data,
Degui Li, Oliver B. Linton and Haoxuan Zhang,
from Faculty of Economics, University of Cambridge
(2024)
Keywords: Continuous Semimartingale, Kernel Smoothing, Microstructure Noise, PCA, Spot Volatility, Time-Varying Factor Models
Specification Testing in Nonstationary Time Series Models,
Jia Chen, Jiti Gao, Degui Li and Zhengyan Lin,
from Department of Economics, University of York
(2014)
Keywords: Asymptotic distribution; Edgeworth expansion; local power function; nonlinear time series; quadratic form; size function; specification testing; unit root.
Semiparametric GEE Analysis in Partially Linear Single-Index Models for Longitudinal Data,
Jia Chen, Degui Li, Hua Liang and Suojin Wang,
from Department of Economics, University of York
(2014)
Keywords: GEE, local linear smoothing, longitudinal data, semiparametric estimation, single-index models.
Semiparametric Dynamic Portfolio Choice with Multiple Conditioning Variables,
Jia Chen, Degui Li, Oliver Linton and Zudi Lu,
from Department of Economics, University of York
(2015)
Keywords: Conditioning variables, kernel smoothing, model averaging, portfolio choice, utility function
Semiparametric Model Averaging of Ultra-High Dimensional Time Series,
Jia Chen, Degui Li, Oliver Linton and Zudi Lu,
from Department of Economics, University of York
(2015)
Keywords: Kernel smoother, penalised MAMAR, principal component analysis, semiparametric approximation, sure independence screening, ultra-high dimensional time series.
Nonparametric Homogeneity Pursuit in Functional-Coefficient Models,
Jia Chen, Degui Li, Lingling Wei and Wenyang Zhang,
from Department of Economics, University of York
(2019)
Keywords: Functional-coefficient models, Hierarchical agglomerative clustering, Homogeneity, Information criterion, Nonparametric estimation, Penalised method
Semiparametric model averaging of ultra-high dimensional time series,
Jia Chen, Degui Li, Oliver Linton and Zudi Lu,
from Centre for Microdata Methods and Practice, Institute for Fiscal Studies
(2015)
Keywords: Kernel smoother; penalised MAMAR; principal component analysis; semiparametric approximation; sure independence screening; ultra-high dimensional time series
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