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Testing for structural changes in factor models via a nonparametric regression

Su, Liangjun; Wang, Xia - In: Econometric theory 36 (2020) 6, pp. 1127-1158

Persistent link: https://www.econbiz.de/10012404092

On time-varying factor models : estimation and testing

Su, Liangjun; Wang, Xia - In: Journal of econometrics 198 (2017) 1, pp. 84-101

Persistent link: https://www.econbiz.de/10011818370

Sieve estimation of time-varying panel data models with latent structures

Su, Liangjun; Wang, Xia; Jin, Sainan - In: Journal of business & economic statistics : JBES ; a … 37 (2019) 2, pp. 334-349

Persistent link: https://www.econbiz.de/10012177362

Specification Tests for Time-Varying Coefficient Models

Fu, Zhonghao; Hong, Yongmiao; Su, Liangjun; Wang, Xia - 2022

Time-varying coefficient models have been widely used to model changing relationships of economic and financial variables. The existing literature usually specifies the time-varying coefficient vector as a stochastic stationary process, a deterministic function of time, or a unit root process....

Persistent link: https://www.econbiz.de/10014077865

Estimation and inference on time-varying favar models

Fu, Zhonghao; Su, Liangjun; Wang, Xia - In: Journal of business & economic statistics : JBES ; a … 42 (2024) 2, pp. 533-547

Persistent link: https://www.econbiz.de/10015053425

Testing for strict stationarity via the discrete fourier transform

Fu, Zhonghao; Gao, Shang; Su, Liangjun; Wang, Xia - In: Econometric theory 40 (2024) 3, pp. 511-557

Persistent link: https://www.econbiz.de/10015055106