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Semiparametric autoregressive conditional duration model : theory and practice

Saart, Patrick W.; Gao, Jiti; Allen, David E. - In: Econometric reviews 34 (2015) 6/10, pp. 849-881

Persistent link: https://www.econbiz.de/10011483396

Semiparametric trending panel data models with cross-sectional dependence

Chen, Jia; Gao, Jiti; Li, Degui - In: Journal of econometrics 171 (2012) 1, pp. 71-85

Persistent link: https://www.econbiz.de/10009686728

Inference on nonstationary time series with moving mean

Gao, Jiti; Robinson, Peter M. - In: Econometric theory 32 (2016) 2, pp. 431-457

Persistent link: https://www.econbiz.de/10011578494

CLT for largest eigenvalues and unit root tests for high-dimensional nonstationary time series

Zhang, Bo; Pan, Guangming; Gao, Jiti - 2016

Persistent link: https://www.econbiz.de/10011781720

Heterogeneous panel data models with cross-sectional dependence

Gao, Jiti; Xia, Kai - 2017

Persistent link: https://www.econbiz.de/10011782246

Specification testing driven by orthogonal series for nonlinear cointegration with endogeneity

Dong, Chaohua; Gao, Jiti - In: Econometric theory 34 (2018) 4, pp. 754-789

Persistent link: https://www.econbiz.de/10011951426

Estimation in semiparametric time series regression

Chen, Jia; Gao, Jiti; Li, Degui - 2010

Persistent link: https://www.econbiz.de/10008667512

Semiparametric estimation in simultaneous equations of time series models

Gao, Jiti; Phillips, Peter C. B. - 2010

Persistent link: https://www.econbiz.de/10008667514

Specification testing in nonlinear time series with long-range dependence

Gao, Jiti; Wang, Qiying; Yin, Jiying - In: Econometric theory 27 (2011) 2, pp. 260-284

Persistent link: https://www.econbiz.de/10009310805

A new test in parametric linear models against nonparametric autoregressive errors

Gao, Jiti; King, Maxwell L. - 2011

This paper considers a class of parametric models with nonparametric autoregressive errors. A new test is proposed and studied to deal with the parametric specification of the nonparametric autoregressive errors with either stationarity or nonstationarity. Such a test procedure can initially...

Persistent link: https://www.econbiz.de/10009406282