← All authors Jiti Gao Monash University (from arXiv:2404.08365, 2024) · ORCID · OpenAlex
141 papers in scope · 129 published · 20 on the econ.EM arXiv · 2,609 citations · h-index 31 (over the papers listed here)
Related authors The 20 authors closest to this one in our weighted citation graph, most related first.
Jiachen Cong Tingting Cheng Xuanbin Yang Fei Liu Bin Peng Minyuan Zhang Liang Chen Enzo D’Innocenzo Luca De Angelis Carsten Jentsch Yayi Yan Haoyuan Xu Yanbo Liu Nan Liu Wei Miao Ji Hyung Lee Zhentao Shi Geert Dhaene Jesús Gonzalo Yuning Li 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 (22 of 141)
working paper 2026 · arXiv
Nonparametric predictive regression for stock return prediction
published 2025 · Econometric Reviews · 2 citations · first circulated 2019
published 2025 · Scientia Sinica Mathematica · first circulated 2023
published 2025 · Journal of Econometrics · 3 citations · first circulated 2023
Identifying the Structure of High-Dimensional Time Series via Eigen-Analysis
published 2025 · Journal of the American Statistical Association · first circulated 2023
Does Climate Sensitivity Differ Across Regions? A Varying–Coefficient Approach
published 2025 · Journal of Business and Economic Statistics · 1 citations · first circulated 2023
with Heather M. Anderson, Farshid Vahid, Wei Wei, Yang Yang
published 2025 · Econometric Reviews · 2 citations · first circulated 2022
working paper 2025 · arXiv
published 2025 · Macroeconomic Dynamics · first circulated 2021
published 2024 · Econometric Reviews · first circulated 2022
GMM estimation for high-dimensional panel data models
published 2024 · Journal of Econometrics · 11 citations · first circulated 2022
working paper 2024 · arXiv · 1 citations
working paper 2024 · arXiv · 7 citations · first circulated 2023
published 2024 · Journal of Econometrics · 6 citations · first circulated 2022
ASYMPTOTICS FOR TIME-VARYING VECTOR MA($\infty $) PROCESSES
published 2024 · Econometric Theory · 7 citations
Semi-parametric single-index predictive regression models with cointegrated regressors
published 2023 · Journal of Econometrics · 6 citations
with Weilun Zhou, David Harris, Hsein Kew
working paper 2023 · arXiv
published 2023 · Journal of the American Statistical Association · 4 citations · first circulated 2022
NONPARAMETRIC TIME-VARYING PANEL DATA MODELS WITH HETEROGENEITY
published 2023 · Econometric Theory · 4 citations · first circulated 2018
working paper 2023 · arXiv
A non-parametric panel model for climate data with seasonal and spatial variation
published 2023 · Journal of the Royal Statistical Society Series A (Statistics in Society) · 3 citations · first circulated 2022
Estimating the effect of an EU-ETS type scheme in Australia using a synthetic treatment approach
published 2023 · Energy Economics · 13 citations · first circulated 2022
with Heather M. Anderson, Guido Turnip, Farshid Vahid, Wei Wei
working paper 2023 · arXiv
Estimation, Inference, and Empirical Analysis for Time-Varying VAR Models
published 2023 · Journal of Business and Economic Statistics · 19 citations
published 2023 · Journal of Econometrics · 13 citations · first circulated 2020
Forecasting a Nonstationary Time Series Using a Mixture of Stationary and Nonstationary Factors as Predictors
published 2023 · Journal of Business and Economic Statistics · 6 citations · first circulated 2020
Chaohua Dong, Jiti Gao and Oliver Linton’s Contribution to the Discussion of ‘Assumption-Lean Inference for Generalised Linear Model Parameters’ by Vansteelandt and Dukes
published 2022 · Journal of the Royal Statistical Society Series B (Statistical Methodology)
Most powerful test against a sequence of high dimensional local alternatives
published 2022 · Journal of Econometrics · 7 citations · first circulated 2021
working paper 2021 · arXiv
working paper 2021 · arXiv · 8 citations
Semiparametric Spatial Autoregressive Panel Data Model with Fixed Effects and Time-Varying Coefficients
published 2021 · Journal of Business and Economic Statistics · 21 citations · first circulated 2019
with Xuan Liang, Xiaodong Gong
High dimensional semiparametric moment restriction models
published 2021 · Journal of Econometrics · 15 citations · first circulated 2017
A panel data model of length of stay in hospitals for hip replacements
published 2021 · Econometric Reviews · 3 citations
Local logit regression for loan recovery rate
published 2021 · Journal of Banking & Finance · 23 citations · first circulated 2017
Time‐varying income elasticities of healthcare expenditure for the OECD and Eurozone
published 2021 · Journal of Applied Econometrics · 36 citations
Recursive estimation in large panel data models: Theory and practice
published 2020 · Journal of Econometrics · 32 citations · first circulated 2017
working paper 2020 · arXiv · 2 citations
published 2020 · Journal of Econometrics · 45 citations · first circulated 2017
Estimation and inference in semiparametric quantile factor models
published 2020 · Journal of Econometrics · 31 citations · first circulated 2017
working paper 2020 · arXiv
Heterogeneous panel data models with cross-sectional dependence
published 2020 · Journal of Econometrics · 17 citations · first circulated 2017
with Kai Xia, Huanjun Zhu
Special Issue of the Journal of Econometrics on “Econometric Estimation and Testing: Essays in Honour of Maxwell King”
published 2020 · Journal of Econometrics
with Heather M. Anderson, Tong Li
Varying-Coefficient Panel Data Models With Nonstationarity and Partially Observed Factor Structure
published 2020 · Journal of Business and Economic Statistics · 23 citations · first circulated 2018
On Income and Price Elasticities for Energy Demand: A Panel Data Study
published 2020 · Energy Economics · 8 citations
Kernel-based Inference in Time-Varying Coefficient Cointegrating Regression
published 2019 · Journal of Econometrics · 13 citations · first circulated 2017
On endogeneity and shape invariance in extended partially linear single index models
published 2019 · Econometric Reviews · 1 citations · first circulated 2018
with Namhyun Kim, Patrick Saart
Series estimation for single‐index models under constraints
published 2019 · Australian & New Zealand Journal of Statistics · 7 citations · first circulated 2018
Errors‐in‐variables jump regression using local clustering
published 2019 · Statistics in Medicine · 8 citations · first circulated 2016
with Yicheng Kang, Xiaodong Gong, Peihua Qiu
INFERENCE ON A SEMIPARAMETRIC MODEL WITH GLOBAL POWER LAW AND LOCAL NONPARAMETRIC TRENDS
published 2019 · Econometric Theory · 7 citations · first circulated 2017
working paper 2019 · arXiv · 1 citations · first circulated 2016
Regime switching panel data models with interactive fixed effects
published 2019 · Economics Letters · 3 citations · first circulated 2018
Global Temperatures and Greenhouse Gases: A Common Features Approach
published 2019 · Journal of Econometrics · 5 citations
with Li Chen, Farshid Vahid
published 2019 · Journal of Econometrics · 2 citations
A New Regime Switching Model with State–Varying Endogeneity
published 2018 · Journal of Management Science and Engineering · 11 citations
Estimation in a semiparametric panel data model with nonstationarity
published 2018 · Econometric Reviews · 4 citations
Estimation of technical change and price elasticities: a categorical time–varying coefficient approach
published 2018 · Journal of Productivity Analysis · 2 citations · first circulated 2016
CLT for largest eigenvalues and unit root testing for high-dimensional nonstationary time series
published 2018 · The Annals of Statistics · 18 citations · first circulated 2016
Nonparametric kernel estimation of the impact of tax policy on the demand for private health insurance in Australia
published 2018 · Australian & New Zealand Journal of Statistics · 6 citations · first circulated 2015
with Xiaodong Gong
A quantile regression approach to panel data analysis of health‐care expenditure in Organisation for Economic Co‐operation and Development countries
published 2018 · Health Economics · 26 citations
with Fengping Tian, Ke Yang
A frequentist approach to Bayesian asymptotics
published 2018 · Journal of Econometrics · 4 citations
THE ET INTERVIEW: PROFESSOR MAX KING
published 2018 · Econometric Theory · 1 citations
with Brett Inder
Nonparametric localized bandwidth selection for Kernel density estimation
published 2017 · Econometric Reviews · 19 citations · first circulated 2014
with Tingting Cheng, Xibin Zhang
Specification testing for nonlinear multivariate cointegrating regressions
published 2017 · Journal of Econometrics · 15 citations · first circulated 2016
SPECIFICATION TESTING DRIVEN BY ORTHOGONAL SERIES FOR NONLINEAR COINTEGRATION WITH ENDOGENEITY
published 2017 · Econometric Theory · 17 citations
Variable selection for a categorical varying-coefficient model with identifications for determinants of body mass index
published 2017 · The Annals of Applied Statistics · 4 citations · first circulated 2015
Test of independence for high-dimensional random vectors based on freeness in block correlation matrices
published 2017 · Electronic Journal of Statistics · 16 citations · first circulated 2012
Bayesian Bandwidth Estimation in Nonparametric Time-Varying Coefficient Models
published 2016 · Journal of Business and Economic Statistics · 7 citations · first circulated 2013
with Tingting Cheng, Xibin Zhang
Expansion and estimation of Lévy process functionals in nonlinear and nonstationary time series regression
published 2016 · Econometric Reviews · 2 citations
Estimating smooth structural change in cointegration models
published 2016 · Journal of Econometrics · 55 citations · first circulated 2013
A varying-coefficient panel data model with fixed effects: Theory and an application to US commercial banks
published 2016 · Journal of Econometrics · 4 citations · first circulated 2015
Estimation in nonlinear regression with Harris recurrent Markov chains
published 2016 · The Annals of Statistics · 23 citations
High Dimensional Correlation Matrices: The Central Limit Theorem and Its Applications
published 2016 · Journal of the Royal Statistical Society Series B (Statistical Methodology) · 72 citations
Nonparametric Estimation and Forecasting for Time-Varying Coefficient Realized Volatility Models
published 2016 · Journal of Business and Economic Statistics · 57 citations · first circulated 2013
Estimation for single-index and partially linear single-index integrated models
published 2016 · The Annals of Statistics · 63 citations
Special Issue on ``Estimation, Testing and Forecasting in Econometrics''
published 2015 · Model Assisted Statistics and Applications
with Maxwell L. King
A New Class of Bivariate Threshold Cointegration Models
published 2015 · Journal of Business and Economic Statistics · 2 citations
with Biqing Cai, Dag Tjøstheim
Semiparametric single-index panel data models with cross-sectional dependence
published 2015 · Journal of Econometrics · 54 citations · first circulated 2014
Jump detection in generalized error-in-variables regression with an application to Australian health tax policies
published 2015 · The Annals of Applied Statistics · 13 citations
with Yicheng Kang, Xiaodong Gong, Peihua Qiu
UNIFORM CONSISTENCY OF NONSTATIONARY KERNEL-WEIGHTED SAMPLE COVARIANCES FOR NONPARAMETRIC REGRESSION
published 2015 · Econometric Theory · 5 citations · first circulated 2013
A misspecification test for multiplicative error models of non-negative time series processes
published 2015 · Journal of Econometrics · 14 citations
with Nam Hyun Kim, Patrick Saart
Specification testing in nonstationary time series models
published 2015 · Econometrics Journal · 4 citations · first circulated 2010
INFERENCE ON NONSTATIONARY TIME SERIES WITH MOVING MEAN
published 2014 · Econometric Theory
with Peter M. Robinson
UNIFORM CONSISTENCY FOR NONPARAMETRIC ESTIMATORS IN NULL RECURRENT TIME SERIES
published 2014 · Econometric Theory · 9 citations · first circulated 2010
Semiparametric Autoregressive Conditional Duration Model: Theory and Practice
published 2014 · Econometric Reviews · 6 citations · first circulated 2012
with Patrick Saart, David E. Allen
Testing Independence Among a Large Number of High-Dimensional Random Vectors
published 2013 · Journal of the American Statistical Association · 32 citations · first circulated 2012
Semiparametric methods in nonlinear time series analysis: a selective review
published 2013 · Journal of nonparametric statistics · 3 citations · first circulated 2012
with Patrick Saart, Nam Hyun Kim
Semiparametric estimation in triangular system equations with nonstationarity
published 2013 · Journal of Econometrics · 48 citations
Estimation in Single-Index Panel Data Models with Heterogeneous Link Functions
published 2013 · Econometric Reviews · 4 citations · first circulated 2010
Estimation in Partially Linear Single-Index Panel Data Models With Fixed Effects
published 2013 · Journal of Business and Economic Statistics · 51 citations
Comments on: Some recent theory for autoregressive count time series
published 2012 · Test
Estimation in threshold autoregressive models with a stationary and a unit root regime
published 2012 · Journal of Econometrics · 41 citations · first circulated 2010
with Dag Tjøstheim, Jiying Yin
Solving replication problems in a complete market by orthogonal series expansion
published 2012 · The North American Journal of Economics and Finance · 2 citations
Semiparametric trending panel data models with cross-sectional dependence
published 2012 · Journal of Econometrics · 125 citations · first circulated 2010
A NEW DIAGNOSTIC TEST FOR CROSS-SECTION UNCORRELATEDNESS IN NONPARAMETRIC PANEL DATA MODELS
published 2012 · Econometric Theory · 41 citations · first circulated 2009
Estimation in semi-parametric regression with non-stationary regressors
published 2012 · Bernoulli · 42 citations
Non‐parametric time‐varying coefficient panel data models with fixed effects
published 2011 · Econometrics Journal · 19 citations · first circulated 2010
SIMULTANEOUS SPECIFICATION TESTING OF MEAN AND VARIANCE STRUCTURES IN NONLINEAR TIME SERIES REGRESSION
published 2011 · Econometric Theory · 11 citations · first circulated 2010
Robust nonlinear regression estimation in null recurrent time series
published 2011 · Statistics and Its Interface · 9 citations · first circulated 2009
SPECIFICATION TESTING IN NONLINEAR TIME SERIES WITH LONG-RANGE DEPENDENCE
published 2010 · Econometric Theory · 10 citations · first circulated 2009
NONPARAMETRIC SPECIFICATION TESTING FOR NONLINEAR TIME SERIES WITH NONSTATIONARITY
published 2009 · Econometric Theory · 77 citations
with Maxwell L. King, Zudi Lu, Dag Tjøstheim
Specification testing in nonlinear and nonstationary time series autoregression
published 2009 · The Annals of Statistics · 109 citations
with Maxwell L. King, Zudi Lu, Dag Tjøstheim
ROBUST ESTIMATION IN PARAMETRIC TIME SERIES MODELS UNDER LONG‐ AND SHORT‐RANGE‐DEPENDENT STRUCTURES
published 2009 · Australian & New Zealand Journal of Statistics · 8 citations
Local Linear M‐estimation in non‐parametric spatial regression
published 2009 · Journal of Time Series Analysis · 19 citations
A semiparametric approach to a nonlinear ACD Model
published 2009 · Australasian Journal of Paramedicine
with Pipat Wongsaart, David E. Allen
no link
Modelling and managing financial risk: An overview
published 2008 · Mathematics and Computers in Simulation · 6 citations
with David E. Allen, Michael McAleer
Bandwidth Selection in Nonparametric Kernel Testing
published 2008 · Journal of the American Statistical Association
with Irène Gijbels
Econometric estimation in long-range dependent volatility models: Theory and practice
published 2008 · Journal of Econometrics · 43 citations · first circulated 2007
with Isabel Casas
Econometric modelling in finance and risk management: An overview
published 2008 · Journal of Econometrics · 2 citations · first circulated 2007
with Michael McAleer, David E. Allen
Specification testing in discretized diffusion models: Theory and practice
published 2008 · Journal of Econometrics · 20 citations · first circulated 2007
with Isabel Casas
A test for model specification of diffusion processes
published 2008 · The Annals of Statistics · 83 citations · first circulated 2007
Central limit theorems for generalized U -statistics with applications in nonparametric specification
published 2008 · Journal of nonparametric statistics · 13 citations
Moment inequalities for spatial processes
published 2007 · Statistics & Probability Letters · 12 citations
with Zudi Lu, Dag Tjøstheim
Nonparametric simultaneous testing for structural breaks
published 2007 · Journal of Econometrics · 21 citations
with Irène Gijbels, Sébastien Van Bellegem
Nonparametric Methods in Continuous Time Model Specification
published 2007 · Econometric Reviews
with Isabel Casas
An adaptive empirical likelihood test for parametric time series regression models
published 2007 · Journal of Econometrics · 71 citations
Semiparametric estimation and testing of the trend of temperature series
published 2006 · Econometrics Journal · 76 citations
with Kim Hawthorne
Estimation in semiparametric spatial regression
published 2006 · The Annals of Statistics · 108 citations
with Zudi Lu, Dag Tjøstheim
Stochastic volatility with long-range dependence
published 2005 · Congress on Modelling and Simulation
with Isabel Casas
no link
Dynamic investigation into the predictability of Australian industrial stock returns: Using financial and economic information
published 2004 · Pacific-Basin Finance Journal · 17 citations
with Juan Yao, Lakshman Alles
ADAPTIVE TESTING IN CONTINUOUS-TIME DIFFUSION MODELS
published 2004 · Econometric Theory · 56 citations
with Maxwell L. King
Computer-Intensive Time-Varying Model Approach to the Systematic Risk of Australian Industrial Stock Returns
published 2004 · Australian Journal of Management · 41 citations
with Juan Yao
Modelling long-range-dependent Gaussian processes with application in continuous-time financial models
published 2004 · Journal of Applied Probability · 24 citations · first circulated 2002
Semiparametric Non-Linear Time Series Model Selection
published 2004 · Journal of the Royal Statistical Society Series B (Statistical Methodology) · 49 citations
Model Specification Tests in Nonparametric Stochastic Regression Models
published 2002 · Journal of Multivariate Analysis · 38 citations
Statistical estimation of nonstationary Gaussian processes with long-range dependence and intermittency
published 2002 · Stochastic Processes and their Applications · 31 citations
with Vo Anh, C. C. Heyde
Semiparametric Approximation Methods in Multivariate Model Selection
published 2001 · Journal of Complexity · 28 citations
with Rodney Wolff, Vo Anh
Parameter Estimation of Stochastic Processes with Long‐range Dependence and Intermittency
published 2001 · Journal of Time Series Analysis · 39 citations
with Vo Anh, C. C. Heyde, Quang M. Tieng
Adaptive estimation in partially linear autoregressive models
published 2000 · Canadian Journal of Statistics · 22 citations
with Thomas W. Yee
A central limit theorem for a random quadratic form of strictly stationary processes
published 2000 · Statistics & Probability Letters · 10 citations
with Vo Anh
Theory & Methods: Local Linear Kernel Regression with Long‐Range Dependent Errors
published 1999 · Australian & New Zealand Journal of Statistics · 5 citations
with Vo Anh, Rodney Wolff, Quang M. Tieng
Semiparametric regression under long-range dependent errors
published 1999 · Journal of Statistical Planning and Inference · 31 citations
with Vo Anh
Semiparametric Regression Smoothing of Non‐linear Time Series
published 1998 · Scandinavian Journal of Statistics · 19 citations
BIAS CORRECTION FOR CENSORED DATA WITH EXPONENTIAL LIFETIMES
published 1998 · Statistica Sinica · 13 citations
with A. N. Pettitt, J. M. Kelly
no link
Local linear kernel estimation for discontinuous nonparametric regression functions
published 1998 · Communication in Statistics-Theory and Methods · 2 citations
with A. N. Pettitt, Rodney Wolff
Statistical Inference in Single-Index and Partially Nonlinear Models
published 1997 · Annals of the Institute of Statistical Mathematics · 26 citations
with Hua Liang
Adaptive parametric test in a semiparametric regression model
published 1997 · Communication in Statistics-Theory and Methods · 29 citations
BERRY-ESSEEN BOUNDS OF ERROR VARIANCE ESTIMATION IN PARTLY LINEAR MODELS
published 1996 · Chinese Annals of Mathematics Series B · 6 citations
with Shengyan Hong, Hua Liang
no link
The laws of the iterated logarithm of some estimates in partly linear models
published 1995 · Statistics & Probability Letters · 37 citations
Asymptotic normality of pseudo-LS estimator for partly linear autoregression models
published 1995 · Statistics & Probability Letters · 17 citations
with Liang Hua
PARAMETRIC TEST IN PARTIAL LINEAR REGRESSION MODELS
published 1995 · Acta Mathematica Scientia · 4 citations
A LAW OF THE ITERATED LOGARITHM FOR NEAREST NEIGHBOR ESTIMATION OF MULTIVARIATE DENSITY FUNCTION
published 1992 · Acta Mathematica Scientia
with Skenyan Hong, Guijing Chen, Fanchao Kong
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