← All authors Liangjun Su Tsinghua University (from arXiv:2508.10302, 2025) · ORCID · OpenAlex
110 papers in scope · 104 published · 8 on the econ.EM arXiv · 4,242 citations · h-index 35 (over the papers listed here)
Related authors The 20 authors closest to this one in our weighted citation graph, most related first.
Wang Oscar Hernán Madrid Padilla Yiren Wang Wei Biao Wu Shujie Ma Yiren Wang Martin Weidner Junlong Feng Weisheng Zhang Hyungsik Roger Moon Wendun Wang Songqiao Tang Weibiao Wu Bin Peng Mingli Chen Minchul Shin Hossein Alidaee Francesco Valentini Claudia Pigini Alessandro Pionati Proximity is measured over citations between two papers we both hold, weighted by how heavily one leans on the other, and is symmetric — it does not distinguish citing from being cited. Authors without a profile here are skipped, and a genuinely close colleague can be missing simply because their work is not in our arXiv corpus. Method: docs/06-citations-pipeline.md .
Papers (10 of 110)
EDITORIAL: A NEW CHAPTER FOR ECONOMETRIC THEORY
published 2025 · Econometric Theory
High Dimensional Discrete Choice Models With Interactive Fixed Effects Applied to Causal Inference
published 2025 · Journal of Applied Econometrics
with Ye Chen, Ke Miao
THREE-DIMENSIONAL FACTOR MODELS WITH GLOBAL AND LOCAL FACTORS
published 2025 · Econometric Theory · 6 citations · first circulated 2024
with Xun Lu, Sainan Jin
Sieve estimation of state-varying factor models
published 2025 · Journal of Econometrics
with Sainan Jin, Xia Wang
published 2025 · Journal of Econometrics · 2 citations · first circulated 2024
A Functional-Coefficient VAR Model for Dynamic Quantiles and Its Application to Constructing Nonparametric Financial Network
published 2025 · Journal of Business and Economic Statistics · 1 citations
with Zongwu Cai, Xiyuan Liu
Inference for large dimensional factor models under general missing data patterns
published 2025 · Journal of Econometrics · 3 citations · first circulated 2024
with Fa Wang
Unified Inference for Panel Autoregressive Models With Unobserved Grouped Heterogeneity
published 2025 · Journal of Business and Economic Statistics
with Wenxin Huang, Yiru Wang
A note on factor models with latent group structures
published 2025 · Economics Letters
with Yulin Bian
Test for serial correlation in panel data models with interactive fixed effects
published 2025 · Econometric Reviews
with Yiqiu Cao
On time-varying panel data models with time-varying interactive fixed effects
published 2025 · Journal of Econometrics · 7 citations
Three-dimensional heterogeneous panel data models with multi-level interactive fixed effects
published 2025 · Journal of Econometrics · 3 citations · first circulated 2024
with Sainan Jin, Xun Lu
working paper 2025 · arXiv · 1 citations
with Xun Lu
Distinguishing Time-Varying Factor Models
published 2024 · Journal of Business and Economic Statistics · 4 citations
with Zhonghao Fu, Xia Wang
A one-covariate-at-a-time multiple testing approach to variable selection in additive models
published 2024 · Econometric Reviews · 3 citations
Robust inference of panel data models with interactive fixed effects under long memory: A frequency domain approach
published 2024 · Journal of Econometrics · 3 citations
published 2024 · Journal of Econometrics · 15 citations · first circulated 2023
INFERENCE IN PARTIALLY IDENTIFIED PANEL DATA MODELS WITH INTERACTIVE FIXED EFFECTS
published 2024 · Econometric Theory · 3 citations
with Shengjie Hong, Yaqi Wang
working paper 2024 · arXiv
Oracle Efficient Estimation of Heterogeneous Dynamic Panel Data Models with Interactive Fixed Effects
published 2023 · Journal of Business and Economic Statistics · 9 citations
with Yiqiu Cao, Sainan Jin, Xun Lu
working paper 2023 · arXiv · 1 citations
published 2023 · Econometric Theory · 2 citations · first circulated 2020
Estimation and Inference on Time-Varying FAVAR Models
published 2023 · Journal of Business and Economic Statistics · 8 citations
with Zhonghao Fu, Xia Wang
Identifying latent group structures in spatial dynamic panels
published 2023 · Journal of Econometrics · 14 citations
published 2022 · The Review of Economics and Statistics · 5 citations · first circulated 2020
TESTING FOR STRICT STATIONARITY VIA THE DISCRETE FOURIER TRANSFORM
published 2022 · Econometric Theory · 5 citations
with Zhonghao Fu, Shang Gao, Xia Wang
working paper 2022 · arXiv · 5 citations
Specification tests for time-varying coefficient models
published 2022 · Journal of Econometrics · 12 citations
Profile GMM estimation of panel data models with interactive fixed effects
published 2022 · Journal of Econometrics · 33 citations
with Shengjie Hong, Tao Jiang
Uniform inference in linear panel data models with two-dimensional heterogeneity
published 2022 · Journal of Econometrics · 19 citations
with Xun Lu
working paper 2022 · arXiv
High-dimensional VARs with common factors
published 2022 · Journal of Econometrics · 37 citations
Detecting Unobserved Heterogeneity in Efficient Prices via Classifier-Lasso
published 2022 · Journal of Business and Economic Statistics · 3 citations
with Wenxin Huang, Yuan Zhuang
Determination of different types of fixed effects in three-dimensional panels*
published 2021 · Econometric Reviews · 11 citations
with Xun Lu, Ke Miao
On factor models with random missing: EM estimation, inference, and cross validation
published 2020 · Journal of Econometrics · 63 citations · first circulated 2019
with Sainan Jin, Ke Miao
Panel threshold models with interactive fixed effects
published 2020 · Journal of Econometrics · 35 citations
with Ke Miao, Kunpeng Li
Nonstationary panel models with latent group structures and cross-section dependence
published 2020 · Journal of Econometrics · 23 citations
TESTING FOR STRUCTURAL CHANGES IN FACTOR MODELS VIA A NONPARAMETRIC REGRESSION
published 2020 · Econometric Theory · 25 citations
with Xia Wang
Identifying latent group structures in nonlinear panels
published 2020 · Journal of Econometrics · 60 citations · first circulated 2017
with Wuyi Wang
working paper 2020 · arXiv · 7 citations
Determining individual or time effects in panel data models
published 2019 · Journal of Econometrics · 14 citations
with Xun Lu
Panel threshold regressions with latent group structures
published 2019 · Journal of Econometrics · 29 citations
Strong Consistency of Spectral Clustering for Stochastic Block Models
published 2019 · IEEE Transactions on Information Theory · 9 citations
IDENTIFYING LATENT GROUPED PATTERNS IN COINTEGRATED PANELS
published 2019 · Econometric Theory · 21 citations · first circulated 2018
with Wenxin Huang, Sainan Jin
Non-separable models with high-dimensional data
published 2019 · Journal of Econometrics · 28 citations · first circulated 2017
Semi-parametric single-index panel data models with interactive fixed effects: Theory and practice
published 2019 · Journal of Econometrics · 11 citations · first circulated 2016
A smoothed Q ‐learning algorithm for estimating optimal dynamic treatment regimes
published 2018 · Scandinavian Journal of Statistics · 5 citations
The heterogeneous effects of the minimum wage on employment across states
published 2018 · Economics Letters · 44 citations
Estimation of large dimensional factor models with an unknown number of breaks
published 2018 · Journal of Econometrics · 60 citations · first circulated 2016
Identifying latent grouped patterns in panel data models with interactive fixed effects
published 2018 · Journal of Econometrics · 67 citations
with Gaosheng Ju
Testing Alphas in Conditional Time-Varying Factor Models With High-Dimensional Assets
published 2018 · Journal of Business and Economic Statistics · 36 citations
Homogeneity pursuit in panel data models: Theory and application
published 2018 · Journal of Applied Econometrics · 66 citations · first circulated 2016
Determining the number of groups in latent panel structures with an application to income and democracy
published 2017 · Quantitative Economics · 41 citations
with Xun Lu
Sieve Estimation of Time-Varying Panel Data Models With Latent Structures
published 2017 · Journal of Business and Economic Statistics · 74 citations
with Xia Wang, Sainan Jin
A martingale-difference-divergence-based test for specification
published 2017 · Economics Letters · 13 citations
with Xin Zheng
Common threshold in quantile regressions with an application to pricing for reputation
published 2017 · Econometric Reviews · 23 citations
with Pai Xu
On time-varying factor models: Estimation and testing
published 2017 · Journal of Econometrics · 187 citations · first circulated 2015
with Xia Wang
A practical test for strict exogeneity in linear panel data models with fixed effects
published 2016 · Economics Letters · 15 citations
with Yonghui Zhang, Jie Wei
GRANGER CAUSALITY AND STRUCTURAL CAUSALITY IN CROSS-SECTION AND PANEL DATA
published 2016 · Econometric Theory · 23 citations
with Xun Lu, Halbert White
Testing for monotonicity in unobservables under unconfoundedness
published 2016 · Journal of Econometrics · 14 citations · first circulated 2014
Identifying Latent Structures in Panel Data
published 2016 · Econometrica · 264 citations · first circulated 2014
Panel Data Models With Interactive Fixed Effects and Multiple Structural Breaks
published 2015 · Journal of the American Statistical Association · 116 citations
Asymptotics and bootstrap for random-effects panel data transformation models
published 2015 · Econometric Reviews · 1 citations
Sieve instrumental variable quantile regression estimation of functional coefficient models
published 2015 · Journal of Econometrics · 26 citations
Specification Test for Spatial Autoregressive Models
published 2015 · Journal of Business and Economic Statistics · 17 citations
Shrinkage estimation of common breaks in panel data models via adaptive group fused Lasso
published 2015 · Journal of Econometrics · 93 citations · first circulated 2014
Shrinkage estimation of dynamic panel data models with interactive fixed effects
published 2015 · Journal of Econometrics · 94 citations
with Xun Lu
SHRINKAGE ESTIMATION OF REGRESSION MODELS WITH MULTIPLE STRUCTURAL CHANGES
published 2015 · Econometric Theory · 74 citations · first circulated 2014
Jackknife model averaging for quantile regressions
published 2015 · Journal of Econometrics · 137 citations · first circulated 2014
with Xun Lu
QML estimation of dynamic panel data models with spatial errors
published 2014 · Journal of Econometrics · 144 citations · first circulated 2002
Structural change estimation in time series regressions with endogenous variables
published 2014 · Economics Letters · 15 citations
Specification testing for transformation models with an application to generalized accelerated failure-time models
published 2014 · Journal of Econometrics · 20 citations
ADAPTIVE NONPARAMETRIC REGRESSION WITH CONDITIONAL HETEROSKEDASTICITY
published 2014 · Econometric Theory · 7 citations
Testing Additive Separability of Error Term in Nonparametric Structural Models
published 2014 · Econometric Reviews · 23 citations
A Combined Approach to the Inference of Conditional Factor Models
published 2014 · Journal of Business and Economic Statistics · 5 citations · first circulated 2012
with Yan Li, Yuewu Xu
Specification test for panel data models with interactive fixed effects
published 2014 · Journal of Econometrics · 67 citations
with Sainan Jin, Yonghui Zhang
Nonparametric testing for anomaly effects in empirical asset pricing models
published 2014 · Empirical Economics · 4 citations
with Sainan Jin, Yonghui Zhang
Additive Nonparametric Regression in the Presence of Endogenous Regressors
published 2014 · Journal of Business and Economic Statistics · 29 citations
with Deniz Ozabaci, Daniel J. Henderson
Testing conditional independence via empirical likelihood
published 2014 · Journal of Econometrics · 80 citations · first circulated 2003
with Halbert White
Robustify Financial Time Series Forecasting with Bagging
published 2013 · Econometric Reviews · 33 citations
with Sainan Jin, Aman Ullah
TESTING HOMOGENEITY IN PANEL DATA MODELS WITH INTERACTIVE FIXED EFFECTS
published 2013 · Econometric Theory · 132 citations
Nonparametric dynamic panel data models: Kernel estimation and specification testing
published 2013 · Journal of Econometrics · 48 citations
with Xun Lu
Nonparametric Testing for Asymmetric Information
published 2013 · Journal of Business and Economic Statistics · 33 citations
Local Linear GMM Estimation of Functional Coefficient IV Models With an Application to Estimating the Rate of Return to Schooling
published 2012 · Journal of Business and Economic Statistics · 40 citations
Nonparametric regression estimation with general parametric error covariance: a more efficient two-step estimator
published 2012 · Empirical Economics · 17 citations
with Aman Ullah, Yun Wang
A Nonparametric Poolability Test for Panel Data Models with Cross Section Dependence
published 2012 · Econometric Reviews · 24 citations · first circulated 2010
with Sainan Jin
A NONPARAMETRIC GOODNESS-OF-FIT-BASED TEST FOR CONDITIONAL HETEROSKEDASTICITY
published 2012 · Econometric Theory · 38 citations
with Aman Ullah
Testing for common trends in semi‐parametric panel data models with fixed effects
published 2012 · Econometrics Journal · 51 citations
Sieve estimation of panel data models with cross section dependence
published 2012 · Journal of Econometrics · 104 citations
with Sainan Jin
Testing for common trends in semiparametric panel data models with fixed effects
published 2012 · Econometrics Journal · 4 citations · first circulated 2011
Semiparametric GMM estimation of spatial autoregressive models
published 2011 · Journal of Econometrics · 147 citations
Non‐parametric regression under location shifts
published 2011 · Econometrics Journal · 13 citations
Estimation and Forecasting of Dynamic Conditional Covariance: A Semiparametric Multivariate Model
published 2010 · Journal of Business and Economic Statistics · 58 citations · first circulated 2009
TESTING STRUCTURAL CHANGE IN PARTIALLY LINEAR MODELS
published 2010 · Econometric Theory · 28 citations
with Halbert White
Profile quasi-maximum likelihood estimation of partially linear spatial autoregressive models
published 2009 · Journal of Econometrics · 175 citations
with Sainan Jin
Semiparametric Estimator of Time Series Conditional Variance
published 2009 · Journal of Business and Economic Statistics · 28 citations
with Santosh Mishra, Aman Ullah
Testing Conditional Uncorrelatedness
published 2009 · Journal of Business and Economic Statistics · 20 citations
with Aman Ullah
A NONPARAMETRIC HELLINGER METRIC TEST FOR CONDITIONAL INDEPENDENCE
published 2008 · Econometric Theory · 226 citations
with Halbert White
Testing for parameter stability in quantile regression models
published 2008 · Statistics & Probability Letters · 49 citations
Local polynomial estimation of nonparametric simultaneous equations models
published 2008 · Journal of Econometrics · 96 citations
with Aman Ullah
Testing structural change in time-series nonparametric regression models
published 2008 · Statistics and Its Interface · 30 citations
Forecasting the car penetration rate (CPR) in China: a nonparametric approach
published 2007 · Applied Economics · 3 citations
with Sainan Jin
More efficient estimation of nonparametric panel data models with random effects
published 2007 · Economics Letters · 26 citations
Business output and business experience — Evidence from China's nongovernmental businesses
published 2007 · Applied Economics Letters · 1 citations
A consistent characteristic function-based test for conditional independence
published 2007 · Journal of Econometrics · 178 citations · first circulated 2003
with Halbert White
A simple test for multivariate conditional symmetry
published 2006 · Economics Letters · 19 citations
Profile likelihood estimation of partially linear panel data models with fixed effects
published 2006 · Economics Letters · 134 citations
with Aman Ullah
The rise in house prices in China: Bubbles or fundamentals?
published 2006 · International Economic Review · 24 citations
with HU Jian-ying, Sainan Jin, Wanjun Jiang
no link
MORE EFFICIENT ESTIMATION IN NONPARAMETRIC REGRESSION WITH NONPARAMETRIC AUTOCORRELATED ERRORS
published 2005 · Econometric Theory · 37 citations
with Aman Ullah
A Bootstrap Test for Conditional Symmetry
published 2005 · Annals of economics and finance · 2 citations
with Sainan Jin
no link
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