← All authors Zhijie Xiao Boston College (from arXiv:2110.10480, 2021) · ORCID · OpenAlex
99 papers in scope · 99 published · 3 on the econ.EM arXiv · 3,747 citations · h-index 28 (over the papers listed here)
Related authors The 20 authors closest to this one in our weighted citation graph, most related first.
Wendun Wang Ryo Okui Wei Wang Xiaodong Yan Yanyan Ren Andreas Dzemski Mikihito Nishi Junho Choi Lu Zhang Yiren Wang Liangjun Su Raphaël Langevin Xiaomeng Zhang Xinyu Zhang Pedro H. G. Ferreira de Souza Imran Rasul Yutao Sun Xuan Leng Yiren Wang Martin Mugnier 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 (2 of 99)
Adaptive LAD-Based Bootstrap Unit Root Tests Under Unconditional Heteroscedasticity
published 2026 · Journal of Business and Economic Statistics · first circulated 2024
with Jilin Wu, Ruike Wu
Cash flow forecasting: dealing with serial correlation and idiosyncratic heterogeneity
published 2025 · Review of Quantitative Finance and Accounting
with Hongtao Guo, Yushan Hu
Distribution estimation for time series via DNN-based GANs with an application to change-point estimation
published 2025 · Machine Learning · first circulated 2022
with Jianya Lu, Yingjun Mo, Lihu Xu, Qiuran Yao
Shrinkage estimation of censored quantile regression for panel data models with grouped latent heterogeneity
published 2025 · Econometric Reviews
with Xingyi Chen, Haiqi Li
Time series quantile regression kink with an unknown threshold
published 2025 · Econometric Reviews · 2 citations
with Feipeng Zhang, Rui Xie
Quantile control method: Causal inference with one treated unit via random forest
published 2025 · The Stata Journal Promoting communications on statistics and Stata · 1 citations
with Guanpeng Yan, Qiang Chen
A NONPARAMETRIC TEST FOR INSTANTANEOUS CAUSALITY WITH TIME-VARYING VARIANCES
published 2025 · Econometric Theory · 1 citations · first circulated 2024
with Jilin Wu, Ruike Wu
Spread Regression, Skewness Regression, and Kurtosis Regression With an Application to the US Wage Structure
published 2025 · Journal of Applied Econometrics · 2 citations
with Qiang Chen
Quantile control via random forest
published 2024 · Journal of Econometrics · 7 citations
with Qiang Chen, Qingsong Yao
Functional quantile autoregression
published 2024 · Journal of Econometrics · 5 citations
Improved estimation of semiparametric dynamic copula models with filtered nonstationarity
published 2024 · Journal of Econometrics · 2 citations
Robust Tests for Changing Volatility
published 2024 · Statistica Sinica
with Jilin Wu, Ruike Wu
A new test for unit roots with a partial quadratic trend
published 2023 · Econometrics Journal
with Yanglin Li, Shaoping Wang, Sainan Jin
Sequential monitoring of stock market price changes
published 2023 · International Review of Economics & Finance · first circulated 2022
with Hemei Li, Zhenya Liu
published 2023 · Economics Letters · 1 citations · first circulated 2021
published 2023 · Journal of Business and Economic Statistics · 23 citations · first circulated 2021
Testing for Trend Specifications in Panel Data Models
published 2022 · Journal of Business and Economic Statistics · 10 citations
Laws of Large Numbers for Dynamic Coherent Risk Measures
published 2022 · Journal of Mathematical Finance
with Zengjing Chen, Yiwei Lin, Guodong Zhang
Right tail information and asset pricing
published 2021 · Econometric Reviews · 4 citations
with Qiuling Hua, Hongtao Zhou
Econometric Reviews Honors Cheng Hsiao
published 2021 · Econometric Reviews
Unifying inference for semiparametric regression
published 2021 · Econometrics Journal · 2 citations
with Shaoxin Hong, Jiancheng Jiang, Xuejun Jiang
Copula-based time series with filtered nonstationarity
published 2020 · Journal of Econometrics · 13 citations
Econometric Reviews Honors Peter Charles Bonest Phillips, the Master Econometrician
published 2020 · Econometric Reviews
Quantile aggregation and combination for stock return prediction
published 2020 · Econometric Reviews · 6 citations
Consistency of ℓ 1 penalized negative binomial regressions
published 2020 · Statistics & Probability Letters · 5 citations
with Fang Xie
Quantile Estimation of Regression Models with GARCH-X Errors
published 2019 · Statistica Sinica · 16 citations
Efficient estimation of nonparametric regression in the presence of dynamic heteroskedasticity
published 2019 · Journal of Econometrics · 13 citations · first circulated 2015
What do mean impacts miss? Distributional effects of corporate diversification
published 2019 · Journal of Econometrics · 16 citations · first circulated 2018
with Lan Xu
Quantile regression
published 2019 · Journal of Econometrics · 10 citations
Hybrid Quantile Regression Estimation for Time Series Models with Conditional Heteroscedasticity
published 2018 · Journal of the Royal Statistical Society Series B (Statistical Methodology) · 44 citations · first circulated 2016
Efficient estimation for time-varying coefficient longitudinal models
published 2018 · Journal of nonparametric statistics · 6 citations
with Seonjin Kim, Zhibiao Zhao
A Powerful Test for Changing Trends in Time Series Models
published 2018 · Journal of Time Series Analysis · 6 citations
with Jilin Wu
Square‐Root LASSO for High‐Dimensional Sparse Linear Systems with Weakly Dependent Errors
published 2017 · Journal of Time Series Analysis · 7 citations
with Fang Xie
Testing for changing volatility
published 2017 · Econometrics Journal · 12 citations
with Jilin Wu
Mincer–Zarnowitz quantile and expectile regressions for forecast evaluations under aysmmetric loss functions
published 2017 · Journal of Forecasting · 20 citations
with Kemal Güler, Pin Ng
Stochastic dominance via quantile regression with applications to investigate arbitrage opportunity and market efficiency
published 2017 · European Journal of Operational Research · 31 citations
with Pin Ng, Wing-Keung Wong
Tests for Normality Based on the Quantile-mean Covariance
published 2016 · The Stata Journal Promoting communications on statistics and Stata · 4 citations
Quantile Regression on Quantile Ranges – A Threshold Approach
published 2016 · Journal of Time Series Analysis · 9 citations
with Chung-Ming Kuan, Christos Michalopoulos
The Reluctant Analyst
published 2016 · Journal of Accounting Research · 43 citations
with Dan Bernhardt, Chi Wan
A NEW CHARACTERIZATION OF THE NORMAL DISTRIBUTION AND TEST FOR NORMALITY
published 2015 · Econometric Theory · 24 citations
ADAPTIVE NONPARAMETRIC REGRESSION WITH CONDITIONAL HETEROSKEDASTICITY
published 2014 · Econometric Theory · 7 citations
A Note on Covariance Matrix Estimation in Quantile Regressions
published 2014 · Frontiers of Economics in China
with Hongtao Guo
EFFICIENT REGRESSIONS VIA OPTIMALLY COMBINING QUANTILE INFORMATION
published 2014 · Econometric Theory · 91 citations
with Zhibiao Zhao
UNIT ROOTS: A SELECTIVE REVIEW OF THE CONTRIBUTIONS OF PETER C. B. PHILLIPS
published 2014 · Econometric Theory · 6 citations
RIGHT-TAIL INFORMATION IN FINANCIAL MARKETS
published 2013 · Econometric Theory · 5 citations
ESTIMATION OF AND INFERENCE ABOUT THE EXPECTED SHORTFALL FOR TIME SERIES WITH INFINITE VARIANCE
published 2013 · Econometric Theory · 40 citations · first circulated 2011
Weak instrument inference in the presence of parameter instability
published 2012 · Econometrics Journal · 4 citations
with Hong Li
ON SMOOTH TESTS FOR THE EQUALITY OF DISTRIBUTIONS
published 2012 · Econometric Theory · 23 citations
NONPARAMETRIC TESTS OF MOMENT CONDITION STABILITY
published 2012 · Econometric Theory · 16 citations
with Ted Juhl
Recent advances in panel data, nonlinear and nonparametric models: A festschrift in honor of Peter C.B. Phillips
published 2012 · Journal of Econometrics · 1 citations
Robust inference in nonstationary time series models
published 2012 · Journal of Econometrics · 9 citations
Recent advances in nonstationary time series: A festschrift in honor of Peter C.B. Phillips
published 2012 · Journal of Econometrics · 1 citations
Semiparametric quantile regression estimation in dynamic models with partially varying coefficients
published 2011 · Journal of Econometrics · 112 citations · first circulated 2010
with Zongwu Cai
A semiparametric panel model for unbalanced data with application to climate change in the United Kingdom
published 2011 · Journal of Econometrics · 32 citations
Testing Unit Root Based on Partially Adaptive Estimation
published 2010 · Journal of Time Series Econometrics · 8 citations
with Luiz Renato Lima
Is there long memory in financial time series?
published 2010 · Applied Financial Economics · 12 citations
with Luiz Renato Lima
Conditional Quantile Estimation for Generalized Autoregressive Conditional Heteroscedasticity Models
published 2009 · Journal of the American Statistical Association · 167 citations
COMMENTARIES ON “Unit Root Testing in Practice: Dealing with Uncertainty over the Trend and Initial Condition,” by David I. Harvey, Stephen J. Leybourne, and A.M. Robert Taylor
published 2009 · Econometric Theory · 2 citations
Beyond the Central Tendency: Quantile Regression as a Tool in Quantitative Investing
published 2009 · The Journal of Portfolio Management · 28 citations
with Chris Gowlland, Qi Zeng
Nonparametric and robust methods in econometrics
published 2009 · Journal of Econometrics · 1 citations
Functional-coefficient cointegration models
published 2009 · Journal of Econometrics · 112 citations
Copula-based nonlinear quantile autoregression
published 2009 · Econometrics Journal · 91 citations · first circulated 2008
Quantile cointegrating regression
published 2008 · Journal of Econometrics · 427 citations
Tests for changing mean with monotonic power
published 2008 · Journal of Econometrics · 52 citations
with Ted Juhl
Testing for parameter stability in quantile regression models
published 2008 · Statistics & Probability Letters · 49 citations
Testing structural change in time-series nonparametric regression models
published 2008 · Statistics and Its Interface · 30 citations
Are there speculative bubbles in stock markets? Evidence from an alternative approach.
published 2008 · Statistics and Its Interface · 30 citations
with Guojun Wu
Testing Covariance Stationarity
published 2007 · Econometric Reviews · 25 citations · first circulated 2006
with Luiz Renato Lima
A NONPARAMETRIC REGRESSION ESTIMATOR THAT ADAPTS TO ERROR DISTRIBUTION OF UNKNOWN FORM
published 2007 · Econometric Theory · 7 citations
with Oliver B. Linton
An analysis of risk for defaultable bond portfolios
published 2007 · The Journal of Risk Finance · 5 citations
with Hongtao Guo, Guojun Wu
Do shocks last forever? Local persistency in economic time series
published 2006 · Journal of Macroeconomics · 12 citations
with Luiz Renato Lima
Quantile Autoregression
published 2006 · Journal of the American Statistical Association · 631 citations
Rejoinder
published 2006 · Journal of the American Statistical Association · 1 citations
PARTIALLY LINEAR MODELS WITH UNIT ROOTS
published 2005 · Econometric Theory · 3 citations · first circulated 2000
with Ted Juhl
Estimating average economic growth in time series data with persistency
published 2004 · Journal of Macroeconomics · first circulated 2003
with Qifang Xiao
A nonparametric test for changing trends
published 2004 · Journal of Econometrics · 29 citations
with Ted Juhl
Unit Root Quantile Autoregression Inference
published 2004 · Journal of the American Statistical Association · 514 citations
Testing for cointegration using partially linear models
published 2004 · Journal of Econometrics · 12 citations
with Ted Juhl
More Efficient Local Polynomial Estimation in Nonparametric Regression With Autocorrelated Errors
published 2003 · Journal of the American Statistical Association · 100 citations · first circulated 2002
Bootstrapping cointegrating regressions using blockwise bootstrap methods
published 2003 · Journal of Statistical Computation and Simulation · 9 citations
with Hongyi Li
POWER FUNCTIONS AND ENVELOPES FOR UNIT ROOT TESTS
published 2003 · Econometric Theory · 19 citations
with Ted Juhl
Note on bandwidth selection in testing for long range dependence
published 2002 · Economics Letters · 6 citations
A generalized partially linear model of asymmetric volatility
published 2002 · Journal of Empirical Finance · 57 citations
with Guojun Wu
Inference on the Quantile Regression Process
published 2002 · Econometrica · 15 citations
An analysis of risk measures
published 2002 · The Journal of Risk · 31 citations
with Guojun Wu
A CUSUM test for cointegration using regression residuals
published 2002 · Journal of Econometrics · 5 citations
Higher order approximations for Wald statistics in time series regressions with integrated processes
published 2002 · Journal of Econometrics · 23 citations
A Nonparametric Prewhitened Covariance Estimator
published 2002 · Journal of Time Series Analysis · 1 citations
with Oliver B. Linton
LIKELIHOOD-BASED INFERENCE IN TRENDING TIME SERIES WITH A ROOT NEAR UNITY
published 2001 · Econometric Theory · 18 citations
SECOND-ORDER APPROXIMATION FOR ADAPTIVE REGRESSION ESTIMATORS
published 2001 · Econometric Theory · 1 citations
Bootstrapping Time Series Regressions with Integrated Processes
published 2001 · Journal of Time Series Analysis · 3 citations
with Hongyi Li
HOW TO ESTIMATE AUTOREGRESSIVE ROOTS NEAR UNITY
published 2001 · Econometric Theory · 50 citations · first circulated 1999
Testing the Null Hypothesis of Stationarity Against an Autoregressive Unit Root Alternative
published 2001 · Journal of Time Series Analysis · 45 citations
On bootstrapping regressions with unit root processes
published 2000 · Statistics & Probability Letters · 3 citations
with Hongyi Li
EFFICIENT DETRENDING IN COINTEGRATING REGRESSION
published 1999 · Econometric Theory · 23 citations
A residual based test for the null hypothesis of cointegration
published 1999 · Economics Letters · 33 citations
A Primer on Unit Root Testing
published 1998 · Journal of Economic Surveys · 270 citations
An ADF coefficient test for a unit root in ARMA models of unknown order with empirical applications to the US economy
published 1998 · Econometrics Journal · 59 citations · first circulated 1997
Higher-order approximations for frequency domain time series regression
published 1998 · Journal of Econometrics · 36 citations
Assembled from arXiv and OpenAlex. Duplicate records for the same paper are merged, and the published version is shown where we could identify one. Corrections welcome.
Built from arXiv and OpenAlex. Supported by UKRI grant APP47921 (Martin Weidner, UCL · Francis J. DiTraglia, Oxford).