← All authors Yundong Tu Peking University (from arXiv:2409.19287, 2024) · ORCID · OpenAlex
57 papers in scope · 53 published · 5 on the econ.EM arXiv · 393 citations · h-index 12 (over the papers listed here)
Related authors The 20 authors closest to this one in our weighted citation graph, most related first.
Jesús Gonzalo Ji Hyung Lee Liang Chen Eduardo Horta Zhentao Shi Emmanuel Guerre Marcelo Fernandes Kunpeng Li Yuan Liao Jianqing Fan Eduardo Schirmer Finn Xinbing Kong Yongxin Liu Long Yu Maximilian Schröder Ziwei Mei Julien Hambuckers Li Sun Zhe Sun Zhan Gao 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 (5 of 57)
Post-Lasso Inference for Multiple Threshold Regressions with an Application to Return Predictability
published 2026 · Journal of Business and Economic Statistics
with C W
MCA: High-dimensional modal component analysis towards the mode
published 2026 · Journal of Econometrics
with Zhe Sun
High-dimensional banded vector autoregressions subject to structural breaks
published 2026 · Econometric Reviews
with Bo Ling
Regime-Specific Return Predictability in Quantiles
published 2026 · Journal of Business and Economic Statistics
with Xinling Xie
Shrinkage and noniterative estimation for moving average models with structural breaks
published 2026 · Econometric Reviews
with Bo Ling
Variable screening in high-dimensional vector autoregressions
published 2025 · Economics Letters
with Bai Ling
Consistent model selection for factor-augmented regression within hierarchical factor structures
published 2025 · Economics Letters
with Jinsha Zheng
On structurally grouped approximate factor models
published 2025 · Econometric Reviews · 1 citations
with Baiqing Wang
Identification and inference for semiparametric single index transformation models
published 2025 · Journal of Econometrics
with Yingqian Lin
published 2025 · Scientia Sinica Mathematica · first circulated 2023
Nonlinear cointegrating regressions with nonstationary nonlinear heteroskedasticity
published 2025 · Econometric Reviews
with Zheng Li
Consistent model selection for factor-augmented regressions
published 2025 · Economics Letters · 1 citations
with Siwei Wang
Quantile prediction with factor-augmented regression: Structural instability and model uncertainty
published 2025 · Journal of Econometrics · 6 citations
with Siwei Wang
Limit theory and inference in non-cointegrated functional coefficient regression
published 2025 · Journal of Econometrics · first circulated 2024
When structural break meets threshold effect: Factor analysis under structural instabilities
published 2025 · Journal of Econometrics · 2 citations
with Chenchen Ma
Threshold Expectile Regressions With an Unknown Threshold for Dependent Data
published 2025 · Oxford Bulletin of Economics and Statistics · 5 citations
with Feipeng Zhang
working paper 2024 · arXiv
Selection inconsistency for factor-augmented regressions
published 2024 · Economics Letters · 2 citations
with Siwei Wang
SEMIPARAMETRIC ESTIMATION AND VARIABLE SELECTION FOR SPARSE SINGLE INDEX MODELS IN INCREASING DIMENSION
published 2024 · Econometric Theory · 4 citations
Functional coefficient cointegration models with Box–Cox transformation
published 2023 · Economics Letters · 2 citations
with Yingqian Lin
working paper 2023 · arXiv
Penetrating sporadic return predictability
published 2023 · Journal of Econometrics · 3 citations
with Xinling Xie
Forecasting vector autoregressions with mixed roots in the vicinity of unity
published 2023 · Econometric Reviews
with Xinling Xie
Shrinkage estimation of multiple threshold factor models
published 2023 · Journal of Econometrics · 12 citations
with Chenchen Ma
Variable Screening and Model Averaging for Expectile Regressions
published 2023 · Oxford Bulletin of Economics and Statistics · 8 citations
with Siwei Wang
Testing independence between exogenous variables and unobserved errors
published 2022 · Econometric Reviews · 3 citations
with Shuo Li, Liuhua Peng
Group fused Lasso for large factor models with multiple structural breaks
published 2022 · Journal of Econometrics · 17 citations
with Chenchen Ma
The varying spillover of U.S. systemic risk: A functional-coefficient cointegration approach
published 2022 · Economics Letters · 3 citations
with Li Li
working paper 2021 · arXiv
Nonparametric inference for quantile cointegrations with stationary covariates
published 2021 · Journal of Econometrics · 7 citations
Spurious functional-coefficient regression models and robust inference with marginal integration
published 2021 · Journal of Econometrics · 18 citations
with Ying Wang
On transformed linear cointegration models
published 2020 · Economics Letters · 2 citations
with Yingqian Lin
Jackknife model averaging for expectile regressions in increasing dimension
published 2020 · Economics Letters · 11 citations
with Siwei Wang
Uncovering the invisible effect of air pollution on stock returns: A moderation and mediation analysis
published 2020 · Finance research letters · 31 citations
with Minya Xu, Yaqiong Wang
Robust inference for spurious regressions and cointegrations involving processes moderately deviated from a unit root
published 2020 · Journal of Econometrics · 18 citations
with Yingqian Lin
Testing for a unit root with nonstationary nonlinear heteroskedasticity
published 2020 · Econometric Reviews · 2 citations
Sieve extremum estimation of a semiparametric transformation model
published 2020 · Economics Letters · 4 citations
with Yingqian Lin
Estimation for double-nonlinear cointegration
published 2020 · Journal of Econometrics · 12 citations
working paper 2019 · arXiv
Balanced predictive regressions
published 2019 · Journal of Empirical Finance · 16 citations
with Yu Ren, Yanping Yi
Simultaneous Diagnostic Testing for Nonlinear Time Series Models with An Application to the U.S. Federal Fund Rate
published 2019 · Oxford Bulletin of Economics and Statistics
with Shuo Li, Bin Guo
Functional Coefficient Cointegration Models Subject to Time–Varying Volatility with an Application to the Purchasing Power Parity
published 2019 · Oxford Bulletin of Economics and Statistics · 13 citations
with Ying Wang
Adaptive estimation of heteroskedastic functional-coefficient regressions with an application to fiscal policy evaluation on asset markets
published 2019 · Econometric Reviews · 10 citations
with Ying Wang
A joint test for parametric specification and independence in nonlinear regression models
published 2019 · Econometric Reviews · 2 citations
with Shuo Li
Forecasting using supervised factor models
published 2019 · Journal of Management Science and Engineering · 19 citations · first circulated 2018
Is Stock Price Correlated with Oil Price? Spurious Regressions with Moderately Explosive Processes
published 2019 · Oxford Bulletin of Economics and Statistics · 9 citations
with Ye Chen
Error-Correction Factor Models for High-dimensional Cointegrated Time Series
published 2018 · Statistica Sinica · 7 citations
On spurious regressions with partial unit root processes
published 2016 · Economics Letters · 4 citations
Improving inflation prediction with the quantity theory
published 2016 · Economics Letters · 7 citations
Forecasting cointegrated nonstationary time series with time-varying variance
published 2016 · Journal of Econometrics · 11 citations
with Yanping Yi
n -consistent density estimation in semiparametric regression models
published 2016 · Computational Statistics & Data Analysis · 4 citations
with Shuo Li
On estimating the nonparametric multiplicative error models
published 2016 · Economics Letters · 1 citations
with Shuo Li
Functional coefficient moving average model with application to forecasting Chinese CPI
published 2015 · Statistica Sinica · 6 citations · first circulated 2014
Estimating Spatial Autocorrelation With Sampled Network Data
published 2015 · Journal of Business and Economic Statistics · 54 citations
Testing Additive Separability of Error Term in Nonparametric Structural Models
published 2014 · Econometric Reviews · 23 citations
Forecasting Equity Premium: Global Historical Average Versus Local Historical Average and Constraints
published 2014 · Journal of Business and Economic Statistics · 14 citations
Nonparametric and semiparametric regressions subject to monotonicity constraints: Estimation and forecasting
published 2014 · Journal of Econometrics · 19 citations
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