Selected Papers by Topics (For a complete list of my papers, see Curriculum Vitae)
Factor Models
1. Quasi maximum likelihood analysis of high dimensional constrained factor models (with Kunpeng Li and Lina
Lu), Forthcoming in Journal of Econometrics, 2017. [PDF]
2. Determining the number of factors when the number of factors can increase with sample size (with Hongjun Li
and Yutang Shi), Journal of Econometrics, 2017. [PDF]
Model Averaging
1. Detecting financial data dependence structure by averaging mixture copulas (with Wei Long, Guannan Liu, and
and Xinyu Zhang), Working paper, 2017. [PDF]
2. Optimal model averaging of varying coefficient models (with Cong Li, Jeffrey Racine, and Daiqiang Zhang),
Forthcoming in Statistica Sinica, 2017. [PDF]
Model Specification Test
1. A consistent nonparametric test on semiparametric smooth coefficient models with integrated time series
(with Yiguo Sun and Zongwu Cai), Econometric Theory, 2015. [PDF]
2. A consistent model specification test with mixed discrete and continuous data (with Cheng Hsiao and Jeffrey
Racine), Journal of Econometrics, 2007. [PDF]
3. Consistent specification tests for semiparametric/nonparametric models based on series estimation methods
(with Cheng Hsiao and Joel Zinn), Journal of Econometrics, 2003. [PDF]
4. Consistent model specification tests: kernel-based tests versus Bierens' ICM tests (with Yanqin Fan), Econometric
Theory, 2000. [PDF]
5. Consistent model specification tests for time series econometric models, Journal of Econometrics, 1999. [PDF]
6. Central limit theorem for degenerate U-statistics of absolutely regular processes with applications to model
specification testing (with Yanqin Fan), Journal of Nonparametric Statistics, 1999. [PDF]
7. A simple consistent bootstrap test for a parametric regression function (with Suojin Wang), Journal of Econometrics,
1998. [PDF]
8. Consistent model specification tests: omitted variables and semiparametric functional forms (with Yanqin Fan),
Econometrica, 1996. [PDF]
9. Nonparametric testing of closeness between two unknown distribution functions, Econometric Review, 1996. [PDF]
Semiparametric Model with Non-stationary Data
1. A consistent nonparametric test on semiparametric smooth coefficient models with integrated time series
(with Yiguo Sun and Zongwu Cai), Econometric Theory, 2015. [PDF]
2. Semiparametric functional coefficient models with integrated covariates (with Yiguo Sun and Zongwu Cai),
Econometric Theory, 2013. [PDF]
3. Measuring correlations of integrated but not cointegrated variables: a semiparametric approach (with Yiguo
Sun and Cheng Hsiao), Journal of Econometrics, 2011. [PDF]
4. Data-driven bandwidth selection for nonstationary semiparametric models (with Yiguo Sun), Journal of
Business and Economics Statistics, 2011. [PDF]
5. Functional-coefficient models for nonstationary time series data (with Zongwu Cai and Joon Y. Park), Journal
of Econometrics, 2009. [PDF]
Applied Economics Papers
1. Do parole abolition and truth-in-sentencing deter violent crimes in Virginia? (with Wei Long), Empirical
Economics, 2017. [PDF]
2. Efficiency of thin and thick market (with Li Gan), Journal of Econometrics, 2016. [PDF]
3. Testing explosive behavior in the gold market (with Wei Long and Dingding Li), Empirical Economics, 2016.
[PDF]
4. The emerging market crisis and stock market linkages: future evidence (with Jian Yang, Cheng Hsiao and Zijun
Wang), Journal of Applied Econometrics, 2006. [PDF]
5. Investigation of patterns in food-away-from-home expenditure for China (with Insik Min and Cheng Fang),
China Economic Review, 2004. [PDF]
6. Semiparametric smooth coefficient models (with Cliff J. Huang, Dong Li and Tsu-Tan Fu), Journal of Business
and Economic Statistics, 2002. [PDF]
Nonparametric Smoothing with Mixed Discrete and Continuous Covariates
1. A nonparametric test for equality of distributions with mixed categorical and continuous data (with Esfandiar
Maasoumi and Jeffrey Racine), Journal of Econometrics, 2009. [PDF]
2. Efficient estimation of average treatment effects with mixed categorical and continuous data (with Jeffrey
Racine and Jeffrey Wooldridge), Journal of Business and Economics Statistics, 2009. [PDF]
3. Nonparametric estimation of regression functions with discrete regressors (with Desheng Ouyang and Jeffrey
Racine), Econometric Theory, 2009. [PDF]
4. Nonparametric estimation of regression functions in the presence of irrelevant regressors (with Peter Hall
and Jeffrey Racine), Review of Economics and Statistics, 2007. [PDF]
5. A nonparametric bootstrap test of conditional distributions (with Yanqin Fan and Insik Min), Econometric
Theory, 2006. [PDF]
6. Nonparametric estimation of regression functions with both categorical and continuous data (with Jeffrey
Racine), Journal of Econometrics, 2004. [PDF]
7. Cross-validation and the estimation of conditional probability densities (with Peter Hall and Jeffrey Racine),
Journal of the American Statistical Association, 2004. [PDF]
Efficient Estimation of Semiparametric Models
1. Efficient estimation of a semiparametric partially linear varying coefficient model (with Ibrahim Ahmad
and Sittisak Leelahanon), Annals of Statistics, 2005. [PDF]
2. Efficient estimation of additive partially linear models, International Economic Review, 2000. [PDF]
Mechanism Design on Optimal Provision of Public Goods
1. Nash-implementation of the Lindahl correspondence with decreasing returns to scale technologies (with
Shinsuke Nakamura and Guoqiang Tian), International Economic Review, 1995. [PDF]
2. On Nash-implementation in the presence of withholding (with Guoqiang Tian), Games and Economics Behavior,
1995. [PDF]
3. An implementable state-ownership system with general variable returns (with Guoqiang Tian), Journal of
Economic Theory, 1994. [PDF]
4. Ratio-Lindahl and ratio equilibria with many goods (with Guoqiang Tian), Games and Economic Behavior, 1994.
[PDF]
5. Completely feasible and continuous implementation of the Lindahl correspondence with any number of goods
(with Guoqiang Tian), Mathematical Social Sciences, 1991. [PDF]
Factor Models
1. Quasi maximum likelihood analysis of high dimensional constrained factor models (with Kunpeng Li and Lina
Lu), Forthcoming in Journal of Econometrics, 2017. [PDF]
2. Determining the number of factors when the number of factors can increase with sample size (with Hongjun Li
and Yutang Shi), Journal of Econometrics, 2017. [PDF]
Model Averaging
1. Detecting financial data dependence structure by averaging mixture copulas (with Wei Long, Guannan Liu, and
and Xinyu Zhang), Working paper, 2017. [PDF]
2. Optimal model averaging of varying coefficient models (with Cong Li, Jeffrey Racine, and Daiqiang Zhang),
Forthcoming in Statistica Sinica, 2017. [PDF]
Model Specification Test
1. A consistent nonparametric test on semiparametric smooth coefficient models with integrated time series
(with Yiguo Sun and Zongwu Cai), Econometric Theory, 2015. [PDF]
2. A consistent model specification test with mixed discrete and continuous data (with Cheng Hsiao and Jeffrey
Racine), Journal of Econometrics, 2007. [PDF]
3. Consistent specification tests for semiparametric/nonparametric models based on series estimation methods
(with Cheng Hsiao and Joel Zinn), Journal of Econometrics, 2003. [PDF]
4. Consistent model specification tests: kernel-based tests versus Bierens' ICM tests (with Yanqin Fan), Econometric
Theory, 2000. [PDF]
5. Consistent model specification tests for time series econometric models, Journal of Econometrics, 1999. [PDF]
6. Central limit theorem for degenerate U-statistics of absolutely regular processes with applications to model
specification testing (with Yanqin Fan), Journal of Nonparametric Statistics, 1999. [PDF]
7. A simple consistent bootstrap test for a parametric regression function (with Suojin Wang), Journal of Econometrics,
1998. [PDF]
8. Consistent model specification tests: omitted variables and semiparametric functional forms (with Yanqin Fan),
Econometrica, 1996. [PDF]
9. Nonparametric testing of closeness between two unknown distribution functions, Econometric Review, 1996. [PDF]
Semiparametric Model with Non-stationary Data
1. A consistent nonparametric test on semiparametric smooth coefficient models with integrated time series
(with Yiguo Sun and Zongwu Cai), Econometric Theory, 2015. [PDF]
2. Semiparametric functional coefficient models with integrated covariates (with Yiguo Sun and Zongwu Cai),
Econometric Theory, 2013. [PDF]
3. Measuring correlations of integrated but not cointegrated variables: a semiparametric approach (with Yiguo
Sun and Cheng Hsiao), Journal of Econometrics, 2011. [PDF]
4. Data-driven bandwidth selection for nonstationary semiparametric models (with Yiguo Sun), Journal of
Business and Economics Statistics, 2011. [PDF]
5. Functional-coefficient models for nonstationary time series data (with Zongwu Cai and Joon Y. Park), Journal
of Econometrics, 2009. [PDF]
Applied Economics Papers
1. Do parole abolition and truth-in-sentencing deter violent crimes in Virginia? (with Wei Long), Empirical
Economics, 2017. [PDF]
2. Efficiency of thin and thick market (with Li Gan), Journal of Econometrics, 2016. [PDF]
3. Testing explosive behavior in the gold market (with Wei Long and Dingding Li), Empirical Economics, 2016.
[PDF]
4. The emerging market crisis and stock market linkages: future evidence (with Jian Yang, Cheng Hsiao and Zijun
Wang), Journal of Applied Econometrics, 2006. [PDF]
5. Investigation of patterns in food-away-from-home expenditure for China (with Insik Min and Cheng Fang),
China Economic Review, 2004. [PDF]
6. Semiparametric smooth coefficient models (with Cliff J. Huang, Dong Li and Tsu-Tan Fu), Journal of Business
and Economic Statistics, 2002. [PDF]
Nonparametric Smoothing with Mixed Discrete and Continuous Covariates
1. A nonparametric test for equality of distributions with mixed categorical and continuous data (with Esfandiar
Maasoumi and Jeffrey Racine), Journal of Econometrics, 2009. [PDF]
2. Efficient estimation of average treatment effects with mixed categorical and continuous data (with Jeffrey
Racine and Jeffrey Wooldridge), Journal of Business and Economics Statistics, 2009. [PDF]
3. Nonparametric estimation of regression functions with discrete regressors (with Desheng Ouyang and Jeffrey
Racine), Econometric Theory, 2009. [PDF]
4. Nonparametric estimation of regression functions in the presence of irrelevant regressors (with Peter Hall
and Jeffrey Racine), Review of Economics and Statistics, 2007. [PDF]
5. A nonparametric bootstrap test of conditional distributions (with Yanqin Fan and Insik Min), Econometric
Theory, 2006. [PDF]
6. Nonparametric estimation of regression functions with both categorical and continuous data (with Jeffrey
Racine), Journal of Econometrics, 2004. [PDF]
7. Cross-validation and the estimation of conditional probability densities (with Peter Hall and Jeffrey Racine),
Journal of the American Statistical Association, 2004. [PDF]
Efficient Estimation of Semiparametric Models
1. Efficient estimation of a semiparametric partially linear varying coefficient model (with Ibrahim Ahmad
and Sittisak Leelahanon), Annals of Statistics, 2005. [PDF]
2. Efficient estimation of additive partially linear models, International Economic Review, 2000. [PDF]
Mechanism Design on Optimal Provision of Public Goods
1. Nash-implementation of the Lindahl correspondence with decreasing returns to scale technologies (with
Shinsuke Nakamura and Guoqiang Tian), International Economic Review, 1995. [PDF]
2. On Nash-implementation in the presence of withholding (with Guoqiang Tian), Games and Economics Behavior,
1995. [PDF]
3. An implementable state-ownership system with general variable returns (with Guoqiang Tian), Journal of
Economic Theory, 1994. [PDF]
4. Ratio-Lindahl and ratio equilibria with many goods (with Guoqiang Tian), Games and Economic Behavior, 1994.
[PDF]
5. Completely feasible and continuous implementation of the Lindahl correspondence with any number of goods
(with Guoqiang Tian), Mathematical Social Sciences, 1991. [PDF]