Research

Home

Overview

My interests include econometric theory, monetary policy, international finance, and various problems of Chinese economy.

Journal Articles

• Functional regression of continuous state distributions, with Joon Y. Park, Journal of Econometrics 167 (2), 397-412 , 2012.
  Matlab codes: fr.rar
• Estimating semiparametric panel data models by marginal integration, with Le Wang, Journal of Econometrics 167 (2), 483-493, 2012.
  Matlab codes: fd.zip
• Structural change estimation in time series regressions with endogenous variables, with Liangjun Su, Economics Letters, 125, 415-421, 2014.
  Matlab codes: GFL1.0.rar
• The inequality-growth plateau, with Daniel J. Henderson and Le Wang, Economics Letters 128 17-20, 2015.
  Matlab codes: kc.rar
• Shrinkage estimation of regression models with multiple structural changes, with Liangjun Su, Econometric Theory, 32 (6), 1376-1433, 2016.
  Matlab codes: GFL1.0.rar
• Shrinkage estimation of common breaks in panel data models via adaptive group fused Lasso, with Liangjun Su, Journal of Econometrics, 191 (1), 86-109, 2016.
  Matlab codes: structb_panel.rar
• Panel data models with interactive fixed effects and multiple structural breaks, with Degui Li and Liangjun Su, Journal of the American Statistical Association, 111 (516), 1804-1819, 2016. supplement
  Matlab codes: panelppc.rar
• Forecasting the yield curve using a dynamic natural cubic spline model, with Pan Feng, Economics Letters, 168, 73-76.
• Analyzing and forecasting the Chinese term structure of interest rates using functional principal component analysis, with Pan Feng, China Finance Review International, 8 (3), 275-296.
• Structural Changes in the RMB Exchange Rate Mechanism, with SU Guanyu, 2021, China & World Economy, 29 (2), 1-23.
• Does the offshore market matter to China's exchange rate policy? with SU Guanyu, 2022, Applied Economics Letters.

Book Chapters

• Stochastic frontiers with bounded inefficiency, with Almanidis P and Sickles R., In: Festschrift in honor of Peter Schmidt: Econometric methods and applications. Berlin: Springer Science and Business Media, 2014.
  Matlab codes: SF.rar pde08.rar
• The great accommodation: Chinese central banking in the new millennium, with Wing Thye Woo, In: Financial Systems at the Crossroads: Lessons for China, World Scientific Publishing, 2014.

Working Papers

• Estimating an Ordered Sequence of Structural Changes, with Siyuan Xia.
• On Time-Varying Panel Data Models with Time-varying Interactive Fixed Effects, with Yingxing Li, Liangjun Su, and Xia Wang. Online appendix.
• Analysis of Distributional Dynamics for Repeated Cross-Sectional and Intra-Period Observations, with Bo Hu and Joon Y. Park.

Essays

• The 2015 Stock Panic of China (2016.6.14)