Details about Zhijie Xiao

Access statistics for papers by Zhijie Xiao.

Last updated 2021-11-17. Update your information in the RePEc Author Service.

Short-id: pxi26

Working Papers

2021

1. Bi-integrative analysis of two-dimensional heterogeneous panel data model
   Papers, arXiv.org
2. Bootstrap inference for panel data quantile regression
   Papers, arXiv.org View citations (2)

2020

3. Copula-Based Time Series With Filtered Nonstationarity
   Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University View citations (2)
   Also in Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University (2020) View citations (2)
4. Estimation and Inference about Tail Features with Tail Censored Data
   Papers, arXiv.org
   Also in Boston College Working Papers in Economics, Boston College Department of Economics (2020)

2019

5. Efficient Estimation of Nonparametric Regression in The Presence of Dynamic Heteroskedasticity
   Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge View citations (4)
   See also Journal Article Efficient estimation of nonparametric regression in the presence of dynamic heteroskedasticity, Journal of Econometrics, Elsevier (2019) View citations (4) (2019)

2011

6. A semiparametric panel model for unbalanced data with application to climate change in the United Kingdom
   Post-Print, HAL View citations (17)
   Also in Boston College Working Papers in Economics, Boston College Department of Economics (2010) View citations (1)
   MPRA Paper, University Library of Munich, Germany (2010) View citations (10)
   See also Journal Article A semiparametric panel model for unbalanced data with application to climate change in the United Kingdom, Journal of Econometrics, Elsevier (2011) View citations (17) (2011)

2010

7. Semiparametric Quantile Regression Estimation in Dynamic Models with Partially Varying Coefficients
   Boston College Working Papers in Economics, Boston College Department of Economics
   See also Journal Article Semiparametric quantile regression estimation in dynamic models with partially varying coefficients, Journal of Econometrics, Elsevier (2012) View citations (49) (2012)

2009

8. Conditional Quantile Estimation for GARCH Models
   Boston College Working Papers in Economics, Boston College Department of Economics View citations (12)
9. Quantile Cointegrating Regression
   Boston College Working Papers in Economics, Boston College Department of Economics View citations (163)
   See also Journal Article Quantile cointegrating regression, Journal of Econometrics, Elsevier (2009) View citations (137) (2009)
10. Tests for Changing Mean with Monotonic Power
    Boston College Working Papers in Economics, Boston College Department of Economics View citations (17)
    Also in WORKING PAPERS SERIES IN THEORETICAL AND APPLIED ECONOMICS, University of Kansas, Department of Economics (2008)
    See also Journal Article Tests for changing mean with monotonic power, Journal of Econometrics, Elsevier (2009) View citations (16) (2009)

2008

11. Copula-Based Nonlinear Quantile Autoregression
    Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University View citations (2)
    Also in CeMMAP working papers, Centre for Microdata Methods and Practice, Institute for Fiscal Studies (2008) View citations (3)
    Boston College Working Papers in Economics, Boston College Department of Economics (2008) View citations (3)
    See also Journal Article Copula-based nonlinear quantile autoregression, Econometrics Journal, Royal Economic Society (2009) View citations (28) (2009)

2006

12. Testing covariance stationarity
    FGV EPGE Economics Working Papers (Ensaios Economicos da EPGE), EPGE Brazilian School of Economics and Finance - FGV EPGE (Brazil) View citations (1)
    See also Journal Article Testing Covariance Stationarity, Econometric Reviews, Taylor & Francis Journals (2007) View citations (6) (2007)

2004

13. Do shocks permanently change output?: Local persistency in economic time series
    FGV EPGE Economics Working Papers (Ensaios Economicos da EPGE), EPGE Brazilian School of Economics and Finance - FGV EPGE (Brazil) View citations (1)
14. Purchasing power parity and the unit root tests: a robust analysis
    FGV EPGE Economics Working Papers (Ensaios Economicos da EPGE), EPGE Brazilian School of Economics and Finance - FGV EPGE (Brazil) View citations (4)
15. Robustness of stationary tests under long-memory alternatives
    FGV EPGE Economics Working Papers (Ensaios Economicos da EPGE), EPGE Brazilian School of Economics and Finance - FGV EPGE (Brazil) View citations (3)
16. SMOOTH TEST FOR TESTING EQUALITY OF TWO DENSITIES
    Econometric Society 2004 Far Eastern Meetings, Econometric Society
17. Testing Unit Root Based on Partially Adaptive Estimation
    Econometric Society 2004 Latin American Meetings, Econometric Society
    Also in FGV EPGE Economics Working Papers (Ensaios Economicos da EPGE), EPGE Brazilian School of Economics and Finance - FGV EPGE (Brazil) (2004) View citations (3)
    See also Journal Article Testing Unit Root Based on Partially Adaptive Estimation, Journal of Time Series Econometrics, De Gruyter (2010) View citations (3) (2010)

2003

18. Estimating Average Economic Growth in Time Series Data with Persistency
    Working Papers, University of Illinois at Urbana-Champaign, College of Business
    See also Journal Article Estimating average economic growth in time series data with persistency, Journal of Macroeconomics, Elsevier (2004) (2004)

2002

19. Efficient Regression in Time Series Partial Linear Models
    Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University View citations (2)
20. More Efficient Kernel Estimation in Nonparametric Regression with Autocorrelated Errors
    STICERD - Econometrics Paper Series, Suntory and Toyota International Centres for Economics and Related Disciplines, LSE View citations (2)
    Also in LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library (2002) View citations (2)
    Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University (2002) View citations (2)
21. Partially Linear Models with Unit Roots
    Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University View citations (1)
    See also Journal Article PARTIALLY LINEAR MODELS WITH UNIT ROOTS, Econometric Theory, Cambridge University Press (2005) View citations (7) (2005)

2001

22. A CUSUM Test for Cointegration Using Regression Residuals
    Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University View citations (3)
    See also Journal Article A CUSUM test for cointegration using regression residuals, Journal of Econometrics, Elsevier (2002) View citations (44) (2002)
23. A Nonparametric Regression Estimator that Adapts to Error Distribution of Unknown Form
    STICERD - Econometrics Paper Series, Suntory and Toyota International Centres for Economics and Related Disciplines, LSE
    Also in LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library (2001)
    SFB 373 Discussion Papers, Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes (2001)
    See also Journal Article A NONPARAMETRIC REGRESSION ESTIMATOR THAT ADAPTS TO ERROR DISTRIBUTION OF UNKNOWN FORM, Econometric Theory, Cambridge University Press (2007) View citations (13) (2007)
24. Second-order approximation for adaptive regression estimators
    LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library View citations (6)
    See also Journal Article SECOND-ORDER APPROXIMATION FOR ADAPTIVE REGRESSION ESTIMATORS, Econometric Theory, Cambridge University Press (2001) View citations (6) (2001)

2000

25. N-Consistent Semiparametric Regression: Partially Linear Models with Unit Roots
    Econometric Society World Congress 2000 Contributed Papers, Econometric Society

1998

26. A Primer on Unit Root Testing
    Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University View citations (114)
    See also Journal Article A Primer on Unit Root Testing, Journal of Economic Surveys, Wiley Blackwell (1998) View citations (115) (1998)
27. Higher Order Approximations for Wald Statistics in Cointegrating Regressions
    Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University
28. How to Estimate Autoregressive Roots Near Unity
    Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University View citations (9)
    See also Journal Article HOW TO ESTIMATE AUTOREGRESSIVE ROOTS NEAR UNITY, Econometric Theory, Cambridge University Press (2001) View citations (29) (2001)

1997

29. An ADF Coefficient Test for a Unit Root in ARMA Models of Unknown Order with Empirical Applications to the U.S. Economy
    Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University View citations (7)

Journal Articles

2021

1. Econometric Reviews Honors Cheng Hsiao
   Econometric Reviews, 2021, 40, (6), 535-539
2. Right tail information and asset pricing
   Econometric Reviews, 2021, 40, (8), 728-749

2020

3. Consistency of ℓ1 penalized negative binomial regressions
   Statistics & Probability Letters, 2020, 165, (C)
4. Econometric Reviews Honors Peter Charles Bonest Phillips, the Master Econometrician
   Econometric Reviews, 2020, 39, (7), 649-654
5. Quantile aggregation and combination for stock return prediction
   Econometric Reviews, 2020, 39, (7), 715-743 View citations (2)

2019

6. Efficient estimation of nonparametric regression in the presence of dynamic heteroskedasticity
   Journal of Econometrics, 2019, 213, (2), 608-631 View citations (4)
   See also Working Paper Efficient Estimation of Nonparametric Regression in The Presence of Dynamic Heteroskedasticity, Cambridge Working Papers in Economics (2019) View citations (4) (2019)
7. What do mean impacts miss? Distributional effects of corporate diversification
   Journal of Econometrics, 2019, 213, (1), 92-120 View citations (2)

2018

8. A Powerful Test for Changing Trends in Time Series Models
   Journal of Time Series Analysis, 2018, 39, (4), 488-501
9. Efficient estimation for time-varying coefficient longitudinal models
   Journal of Nonparametric Statistics, 2018, 30, (3), 680-702
10. Hybrid quantile regression estimation for time series models with conditional heteroscedasticity
    Journal of the Royal Statistical Society Series B, 2018, 80, (5), 975-993 View citations (9)
11. Square†Root LASSO for High†Dimensional Sparse Linear Systems with Weakly Dependent Errors
    Journal of Time Series Analysis, 2018, 39, (2), 212-238 View citations (2)
12. Testing for changing volatility
    Econometrics Journal, 2018, 21, (2), 192-217 View citations (2)

2017

13. Mincer–Zarnowitz quantile and expectile regressions for forecast evaluations under aysmmetric loss functions
    Journal of Forecasting, 2017, 36, (6), 651-679 View citations (7)
14. Quantile Regression on Quantile Ranges – A Threshold Approach
    Journal of Time Series Analysis, 2017, 38, (1), 99-119 View citations (2)
15. Stochastic dominance via quantile regression with applications to investigate arbitrage opportunity and market efficiency
    European Journal of Operational Research, 2017, 261, (2), 666-678 View citations (12)

2016

16. A NEW CHARACTERIZATION OF THE NORMAL DISTRIBUTION AND TEST FOR NORMALITY
    Econometric Theory, 2016, 32, (5), 1216-1252 View citations (11)
17. Tests for normality based on the quantile-mean covariance
    Stata Journal, 2016, 16, (4), 1039-1057 View citations (2)
18. The Reluctant Analyst
    Journal of Accounting Research, 2016, 54, (4), 987-1040 View citations (8)

2015

19. ADAPTIVE NONPARAMETRIC REGRESSION WITH CONDITIONAL HETEROSKEDASTICITY
    Econometric Theory, 2015, 31, (6), 1153-1191 View citations (3)

2014

20. A Note on Covariance Matrix Estimation in Quantile Regressions
    Frontiers of Economics in China-Selected Publications from Chinese Universities, 2014, 9, (2), 165-173
21. EFFICIENT REGRESSIONS VIA OPTIMALLY COMBINING QUANTILE INFORMATION
    Econometric Theory, 2014, 30, (6), 1272-1314 View citations (25)
22. RIGHT-TAIL INFORMATION IN FINANCIAL MARKETS
    Econometric Theory, 2014, 30, (1), 94-126 View citations (2)
23. UNIT ROOTS: A SELECTIVE REVIEW OF THE CONTRIBUTIONS OF PETER C. B. PHILLIPS
    Econometric Theory, 2014, 30, (4), 775-814 View citations (3)

2013

24. A SMOOTH TEST FOR THE EQUALITY OF DISTRIBUTIONS
    Econometric Theory, 2013, 29, (2), 419-446 View citations (5)
25. ESTIMATION OF AND INFERENCE ABOUT THE EXPECTED SHORTFALL FOR TIME SERIES WITH INFINITE VARIANCE
    Econometric Theory, 2013, 29, (4), 771-807 View citations (14)
26. NONPARAMETRIC TESTS OF MOMENT CONDITION STABILITY
    Econometric Theory, 2013, 29, (1), 90-114 View citations (8)
27. Risk Analysis Using Regression Quantiles: Evidence from International Equity Markets
    The International Journal of Business and Finance Research, 2013, 7, (2), 1-15

2012

28. Robust inference in nonstationary time series models
    Journal of Econometrics, 2012, 169, (2), 211-223 View citations (3)
29. Semiparametric quantile regression estimation in dynamic models with partially varying coefficients
    Journal of Econometrics, 2012, 167, (2), 413-425 View citations (49)
    See also Working Paper Semiparametric Quantile Regression Estimation in Dynamic Models with Partially Varying Coefficients, Boston College Working Papers in Economics (2010) (2010)
30. Weak instrument inference in the presence of parameter instability
    Econometrics Journal, 2012, 15, (3), 395-419

2011

31. A semiparametric panel model for unbalanced data with application to climate change in the United Kingdom
    Journal of Econometrics, 2011, 164, (1), 92-115 View citations (17)
    See also Working Paper A semiparametric panel model for unbalanced data with application to climate change in the United Kingdom, Post-Print (2011) View citations (17) (2011)

2010

32. Is there long memory in financial time series?
    Applied Financial Economics, 2010, 20, (6), 487-500 View citations (8)
33. Testing Unit Root Based on Partially Adaptive Estimation
    Journal of Time Series Econometrics, 2010, 2, (1), 34 View citations (3)
    See also Working Paper Testing Unit Root Based on Partially Adaptive Estimation, Econometric Society 2004 Latin American Meetings (2004) (2004)

2009

34. 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
    Econometric Theory, 2009, 25, (3), 654-657
35. Conditional Quantile Estimation for Generalized Autoregressive Conditional Heteroscedasticity Models
    Journal of the American Statistical Association, 2009, 104, (488), 1696-1712 View citations (61)
36. Copula-based nonlinear quantile autoregression
    Econometrics Journal, 2009, 12, (s1), S50-S67 View citations (28)
    See also Working Paper Copula-Based Nonlinear Quantile Autoregression, Cowles Foundation Discussion Papers (2008) View citations (2) (2008)
37. Functional-coefficient cointegration models
    Journal of Econometrics, 2009, 152, (2), 81-92 View citations (50)
38. Nonparametric and robust methods in econometrics
    Journal of Econometrics, 2009, 152, (2), 79-80
39. Quantile cointegrating regression
    Journal of Econometrics, 2009, 150, (2), 248-260 View citations (137)
    See also Working Paper Quantile Cointegrating Regression, Boston College Working Papers in Economics (2009) View citations (163) (2009)
40. Tests for changing mean with monotonic power
    Journal of Econometrics, 2009, 148, (1), 14-24 View citations (16)
    See also Working Paper Tests for Changing Mean with Monotonic Power, Boston College Working Papers in Economics (2009) View citations (17) (2009)

2008

41. Testing for parameter stability in quantile regression models
    Statistics & Probability Letters, 2008, 78, (16), 2768-2775 View citations (16)

2007

42. A NONPARAMETRIC REGRESSION ESTIMATOR THAT ADAPTS TO ERROR DISTRIBUTION OF UNKNOWN FORM
    Econometric Theory, 2007, 23, (3), 371-413 View citations (13)
    See also Working Paper A Nonparametric Regression Estimator that Adapts to Error Distribution of Unknown Form, STICERD - Econometrics Paper Series (2001) (2001)
43. Do shocks last forever? Local persistency in economic time series
    Journal of Macroeconomics, 2007, 29, (1), 103-122 View citations (11)
44. Testing Covariance Stationarity
    Econometric Reviews, 2007, 26, (6), 643-667 View citations (6)
    See also Working Paper Testing covariance stationarity, FGV EPGE Economics Working Papers (Ensaios Economicos da EPGE) (2006) View citations (1) (2006)

2006

45. Quantile Autoregression
    Journal of the American Statistical Association, 2006, 101, 980-990 View citations (299)
46. Rejoinder
    Journal of the American Statistical Association, 2006, 101, 1002-1006

2005

47. A nonparametric test for changing trends
    Journal of Econometrics, 2005, 127, (2), 179-199 View citations (7)
48. PARTIALLY LINEAR MODELS WITH UNIT ROOTS
    Econometric Theory, 2005, 21, (5), 877-906 View citations (7)
    See also Working Paper Partially Linear Models with Unit Roots, Cowles Foundation Discussion Papers (2002) View citations (1) (2002)
49. Testing for cointegration using partially linear models
    Journal of Econometrics, 2005, 124, (2), 363-394 View citations (6)

2004

50. Estimating average economic growth in time series data with persistency
    Journal of Macroeconomics, 2004, 26, (4), 699-724
    See also Working Paper Estimating Average Economic Growth in Time Series Data with Persistency, Working Papers (2003) (2003)
51. Unit Root Quantile Autoregression Inference
    Journal of the American Statistical Association, 2004, 99, 775-787 View citations (216)

2003

52. More Efficient Local Polynomial Estimation in Nonparametric Regression With Autocorrelated Errors
    Journal of the American Statistical Association, 2003, 98, 980-992 View citations (31)
53. Note on bandwidth selection in testing for long range dependence
    Economics Letters, 2003, 78, (1), 33-39 View citations (1)
54. POWER FUNCTIONS AND ENVELOPES FOR UNIT ROOT TESTS
    Econometric Theory, 2003, 19, (2), 240-253 View citations (10)

2002

55. A CUSUM test for cointegration using regression residuals
    Journal of Econometrics, 2002, 108, (1), 43-61 View citations (44)
    See also Working Paper A CUSUM Test for Cointegration Using Regression Residuals, Cowles Foundation Discussion Papers (2001) View citations (3) (2001)
56. A Nonparametric Prewhitened Covariance Estimator
    Journal of Time Series Analysis, 2002, 23, (2), 215-250 View citations (13)
57. A generalized partially linear model of asymmetric volatility
    Journal of Empirical Finance, 2002, 9, (3), 287-319 View citations (31)
58. Higher order approximations for Wald statistics in time series regressions with integrated processes
    Journal of Econometrics, 2002, 108, (1), 157-198 View citations (5)
59. Inference on the Quantile Regression Process
    Econometrica, 2002, 70, (4), 1583-1612 View citations (217)

2001

60. Bootstrapping Time Series Regressions with Integrated Processes
    Journal of Time Series Analysis, 2001, 22, (4), 461-480 View citations (2)
61. HOW TO ESTIMATE AUTOREGRESSIVE ROOTS NEAR UNITY
    Econometric Theory, 2001, 17, (1), 29-69 View citations (29)
    See also Working Paper How to Estimate Autoregressive Roots Near Unity, Cowles Foundation Discussion Papers (1998) View citations (9) (1998)
62. LIKELIHOOD-BASED INFERENCE IN TRENDING TIME SERIES WITH A ROOT NEAR UNITY
    Econometric Theory, 2001, 17, (6), 1082-1112 View citations (5)
63. SECOND-ORDER APPROXIMATION FOR ADAPTIVE REGRESSION ESTIMATORS
    Econometric Theory, 2001, 17, (5), 984-1024 View citations (6)
    See also Working Paper Second-order approximation for adaptive regression estimators, LSE Research Online Documents on Economics (2001) View citations (6) (2001)
64. Testing the Null Hypothesis of Stationarity Against an Autoregressive Unit Root Alternative
    Journal of Time Series Analysis, 2001, 22, (1), 87-105 View citations (20)

2000

65. On bootstrapping regressions with unit root processes
    Statistics & Probability Letters, 2000, 48, (3), 261-267

1999

66. A residual based test for the null hypothesis of cointegration
    Economics Letters, 1999, 64, (2), 133-141 View citations (16)
67. EFFICIENT DETRENDING IN COINTEGRATING REGRESSION
    Econometric Theory, 1999, 15, (4), 519-548 View citations (20)

1998

68. A Primer on Unit Root Testing
    Journal of Economic Surveys, 1998, 12, (5), 423-470 View citations (115)
    See also Working Paper A Primer on Unit Root Testing, Cowles Foundation Discussion Papers (1998) View citations (114) (1998)
69. Higher-order approximations for frequency domain time series regression
    Journal of Econometrics, 1998, 86, (2), 297-336 View citations (17)

Chapters

2014

1. Idiosyncratic Volatility, Expected Windfall, and the Cross-Section of Stock Returns
   A chapter in Essays in Honor of Peter C. B. Phillips, 2014, vol. 33, pp 713-749 View citations (1)