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Xun Lu

Citations

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Working papers

  1. Xun Lu & Ke Miao & Liangjun Su, 2018. "Determination of Different Types of Fixed Effects in Three-Dimensional Panels," Economics and Statistics Working Papers 10-2018, Singapore Management University, School of Economics.

    Cited by:

    1. Jin, Sainan & Lu, Xun & Su, Liangjun, 2025. "Three-dimensional heterogeneous panel data models with multi-level interactive fixed effects," Journal of Econometrics, Elsevier, vol. 249(PB).
    2. Harold D. Chiang & Joel Rodrigue & Yuya Sasaki, 2019. "Post-Selection Inference in Three-Dimensional Panel Data," Papers 1904.00211, arXiv.org, revised Apr 2019.

  2. Xun Lu & Liangjun Su & Halbert White, 2016. "Granger Causality and Structural Causality in Cross-Section and Panel Data," Working Papers 04-2016, Singapore Management University, School of Economics.

    Cited by:

    1. Issam Khelfaoui & Yuantao Xie & Muhammad Hafeez & Danish Ahmed & Houssem Eddine Degha & Hicham Meskher, 2022. "Information Communication Technology and Infant Mortality in Low-Income Countries: Empirical Study Using Panel Data Models," IJERPH, MDPI, vol. 19(12), pages 1-24, June.

  3. Xun Lu & Su Liangjun, 2015. "Shrinkage Estimation of Dynamic Panel Data Models with Interactive Fixed Effects," Working Papers 02-2015, Singapore Management University, School of Economics.

    Cited by:

    1. Ma, Shujie & Su, Liangjun, 2018. "Estimation of large dimensional factor models with an unknown number of breaks," Journal of Econometrics, Elsevier, vol. 207(1), pages 1-29.
    2. Badi Baltagi & Qu Feng & Chihwa Kao, 2019. "Structural Changes in Heterogeneous Panels with Endogenous Regressors," Center for Policy Research Working Papers 214, Center for Policy Research, Maxwell School, Syracuse University.
    3. Jan Ditzen & Yiannis Karavias & Joakim Westerlund, 2023. "Multiple structural breaks in interactive effects panel data and the impace of quantitative easing on bank lending," Discussion Papers 23-02, Department of Economics, University of Birmingham.
    4. Tingting Cheng & Chaohua Dong & Jiti Gao & Oliver Linton, 2022. "GMM Estimation for High-Dimensional Panel Data Models," Monash Econometrics and Business Statistics Working Papers 11/22, Monash University, Department of Econometrics and Business Statistics.
    5. Freeman, Hugo & Weidner, Martin, 2023. "Linear panel regressions with two-way unobserved heterogeneity," Journal of Econometrics, Elsevier, vol. 237(1).
    6. Ruiqi Liu & Ben Boukai & Zuofeng Shang, 2019. "Statistical Inference on Partially Linear Panel Model under Unobserved Linearity," Papers 1911.08830, arXiv.org.
    7. Su, Liangjun & Wang, Xia, 2017. "On time-varying factor models: Estimation and testing," Journal of Econometrics, Elsevier, vol. 198(1), pages 84-101.
    8. Karsten Schweikert, 2022. "Detecting Multiple Structural Breaks in Systems of Linear Regression Equations with Integrated and Stationary Regressors," Papers 2201.05430, arXiv.org, revised Sep 2024.
    9. Vira Semenova & Matt Goldman & Victor Chernozhukov & Matt Taddy, 2023. "Inference on heterogeneous treatment effects in high‐dimensional dynamic panels under weak dependence," Quantitative Economics, Econometric Society, vol. 14(2), pages 471-510, May.
    10. Jafari-Sadeghi, Vahid & Garcia-Perez, Alexeis & Candelo, Elena & Couturier, Jerome, 2021. "Exploring the impact of digital transformation on technology entrepreneurship and technological market expansion: The role of technology readiness, exploration and exploitation," Journal of Business Research, Elsevier, vol. 124(C), pages 100-111.
    11. Miao, Ke & Phillips, Peter C.B. & Su, Liangjun, 2023. "High-dimensional VARs with common factors," Journal of Econometrics, Elsevier, vol. 233(1), pages 155-183.
    12. Jiang, Peiyun & Kurozumi, Eiji, 2026. "A new test for common breaks in heterogeneous panel data models," Econometrics and Statistics, Elsevier, vol. 37(C), pages 87-125.
    13. Otilia Boldea & Bettina Drepper & Zhuojiong Gan, 2020. "Change point estimation in panel data with time‐varying individual effects," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 35(6), pages 712-727, September.
    14. Hyungsik Roger Moon & Martin Weidner, 2019. "Nuclear norm regularized estimation of panel regression models," CeMMAP working papers CWP14/19, Centre for Microdata Methods and Practice, Institute for Fiscal Studies.
    15. Otilia Boldea & Alastair R. Hall, 2025. "Testing for multiple change-points in macroeconometrics: an empirical guide and recent developments," Papers 2507.22204, arXiv.org.
    16. Lucas D. Konrad & Lukas Vashold & Jesus Crespo Cuaresma, 2026. "Bayesian Indicator-Saturated Regression for Climate Policy Evaluation," Papers 2603.04997, arXiv.org.
    17. Quint Wiersma & Siem Jan Koopman & Julia Schaumburg & Etienne Wijler, 2021. "Regularized estimation for panel time series models with dynamic factors and local cross-sectional dependence," Tinbergen Institute Discussion Papers 21-008/III, Tinbergen Institute, revised 10 Mar 2026.
    18. Su, Liangjun & Ju, Gaosheng, 2018. "Identifying latent grouped patterns in panel data models with interactive fixed effects," Journal of Econometrics, Elsevier, vol. 206(2), pages 554-573.
    19. Ke, Shuyao & Phillips, Peter C.B. & Su, Liangjun, 2024. "Robust inference of panel data models with interactive fixed effects under long memory: A frequency domain approach," Journal of Econometrics, Elsevier, vol. 241(2).
    20. Cheng, Tingting & Gao, Jiti & Yan, Yayi, 2019. "Regime switching panel data models with interactive fixed effects," Economics Letters, Elsevier, vol. 177(C), pages 47-51.
    21. Francesco Giordano & Marcella Niglio & Maria Lucia Parrella, 2024. "Testing Spatial Dynamic Panel Data Models with Heterogeneous Spatial and Regression Coefficients," Journal of Time Series Analysis, Wiley Blackwell, vol. 45(5), pages 771-799, September.
    22. Akbar Zamanzadeh & Tony Cavoli, 2022. "The effect of nonpharmaceutical interventions on COVID-19 infections for lower and middle-income countries: A debiased LASSO approach," PLOS ONE, Public Library of Science, vol. 17(7), pages 1-17, July.
    23. Okui, Ryo & Wang, Wendun, 2021. "Heterogeneous structural breaks in panel data models," Journal of Econometrics, Elsevier, vol. 220(2), pages 447-473.
    24. Huang, Wenxin & Jin, Sainan & Phillips, Peter C.B. & Su, Liangjun, 2021. "Nonstationary panel models with latent group structures and cross-section dependence," Journal of Econometrics, Elsevier, vol. 221(1), pages 198-222.
    25. Jin, Sainan & Miao, Ke & Su, Liangjun, 2021. "On factor models with random missing: EM estimation, inference, and cross validation," Journal of Econometrics, Elsevier, vol. 222(1), pages 745-777.
    26. Anil K. Bera & Osman Doğan & Süleyman Taşpınar & Monalisa Sen, 2020. "Specification tests for spatial panel data models," Journal of Spatial Econometrics, Springer, vol. 1(1), pages 1-39, December.
    27. Yufeng Mao & Bin Peng & Mervyn J Silvapulle & Param Silvapulle & Yanrong Yang, 2021. "Decomposition of Bilateral Trade Flows Using a Three-Dimensional Panel Data Model," Monash Econometrics and Business Statistics Working Papers 7/21, Monash University, Department of Econometrics and Business Statistics.
    28. Wang, Luya & Li, Kunpeng, 2025. "Spatial panel data models with structural change," Journal of Econometrics, Elsevier, vol. 251(C).
    29. Juodis, Artūras & Sarafidis, Vasilis, 2022. "An incidental parameters free inference approach for panels with common shocks," Journal of Econometrics, Elsevier, vol. 229(1), pages 19-54.
    30. Jan Ditzen & Yiannis Karavias & Joakim Westerlund, 2025. "Multiple Structural Breaks in Interactive Effects Panel Data Models," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 40(1), pages 74-88, January.
    31. Su, Liangjun & Ura, Takuya & Zhang, Yichong, 2019. "Non-separable models with high-dimensional data," Journal of Econometrics, Elsevier, vol. 212(2), pages 646-677.
    32. Wolter, James Lewis, 2016. "Kernel estimation of hazard functions when observations have dependent and common covariates," Journal of Econometrics, Elsevier, vol. 193(1), pages 1-16.
    33. Yufeng Mao & Bin Peng & Mervyn Silvapulle & Param Silvapulle & Yanrong Yang, 2021. "Decomposition of Bilateral Trade Flows Using a Three-Dimensional Panel Data Model," Papers 2101.06805, arXiv.org.
    34. Georg Keilbar & Juan M. Rodriguez-Poo & Alexandra Soberon & Weining Wang, 2022. "A projection based approach for interactive fixed effects panel data models," Papers 2201.11482, arXiv.org, revised Feb 2025.
    35. Agiwal Varun & Kumar Jitendra & Shangodoyin Dahud Kehinde, 2018. "A Bayesian Inference Of Multiple Structural Breaks In Mean And Error Variance In Panelar (1) Model," Statistics in Transition New Series, Statistics Poland, vol. 19(1), pages 7-23, March.
    36. Degui Li & Junhui Qian & Liangjun Su, 2016. "Panel Data Models With Interactive Fixed Effects and Multiple Structural Breaks," Journal of the American Statistical Association, Taylor & Francis Journals, vol. 111(516), pages 1804-1819, October.
    37. Rogneda Vasilyeva & Anton Skrobotov & Aleksei Tsarev, 2025. "Structural breaks in panel data: COVID-19 pandemic in Russian regions," Applied Econometrics, Russian Presidential Academy of National Economy and Public Administration (RANEPA), vol. 80, pages 117-142.
    38. Vogt, M. & Walsh, C. & Linton, O., 2022. "CCE Estimation of High-Dimensional Panel Data Models with Interactive Fixed Effects," Cambridge Working Papers in Economics 2242, Faculty of Economics, University of Cambridge.
    39. Cheng Hsiao & Yimeng Xie & Qiankun Zhou, 2021. "Factor dimension determination for panel interactive effects models: an orthogonal projection approach," Computational Statistics, Springer, vol. 36(2), pages 1481-1497, June.
    40. Yuki Takara & Shingo Takagi, 2023. "An empirical approach to measure unobserved cultural relations using music trade data," Journal of Cultural Economics, Springer;The Association for Cultural Economics International, vol. 47(2), pages 205-245, June.
    41. Bai, Jushan & Han, Xu & Shi, Yutang, 2020. "Estimation and inference of change points in high-dimensional factor models," Journal of Econometrics, Elsevier, vol. 219(1), pages 66-100.
    42. Qu, Xi & Lee, Lung-fei & Yu, Jihai, 2017. "QML estimation of spatial dynamic panel data models with endogenous time varying spatial weights matrices," Journal of Econometrics, Elsevier, vol. 197(2), pages 173-201.
    43. Guliyev, Hasraddin, 2025. "Heterogeneous panel data model with sharp and smooth changes: Testing green growth hypothesis in G7 countries," Innovation and Green Development, Elsevier, vol. 4(3).
    44. Maximilian Ruecker & Michael Vogt & Oliver Linton & Christopher Walsh, 2022. "Estimation and Inference in High-Dimensional Panel Data Models with Interactive Fixed Effects," Papers 2206.12152, arXiv.org, revised Aug 2025.
    45. Sun, Yanqing & Zhang, Yuanqing & Huang, Jianhua Z., 2019. "Estimation of a semiparametric varying-coefficient mixed regressive spatial autoregressive model," Econometrics and Statistics, Elsevier, vol. 9(C), pages 140-155.
    46. Costantini, Mauro & Paradiso, Antonio, 2018. "What do panel data say on inequality and GDP? New evidence at US state-level," Economics Letters, Elsevier, vol. 168(C), pages 115-117.
    47. Wang, Xia & Jin, Sainan & Li, Yingxing & Qian, Junhui & Su, Liangjun, 2025. "On time-varying panel data models with time-varying interactive fixed effects," Journal of Econometrics, Elsevier, vol. 249(PB).
    48. James Wolter, 2015. "Kernel Estimation Of Hazard Functions When Observations Have Dependent and Common Covariates," Economics Series Working Papers 761, University of Oxford, Department of Economics.
    49. Horváth, Lajos & Rice, Gregory, 2019. "Asymptotics for empirical eigenvalue processes in high-dimensional linear factor models," Journal of Multivariate Analysis, Elsevier, vol. 169(C), pages 138-165.
    50. Tomohiro Ando & Jushan Bai & Kunpeng Li & Yong Song, 2025. "Bayesian inference for dynamic spatial quantile models with interactive effects," Papers 2503.00772, arXiv.org, revised Jun 2025.
    51. Bera, Anil K. & Doğan, Osman & Taşpınar, Süleyman, 2018. "Simple tests for endogeneity of spatial weights matrices," Regional Science and Urban Economics, Elsevier, vol. 69(C), pages 130-142.
    52. Bian, Yulin & Su, Liangjun, 2025. "A note on factor models with latent group structures," Economics Letters, Elsevier, vol. 252(C).
    53. Chi-Yang Chu & Chien-Ho Wang & Wan-Jiun Chen, 2025. "Does the Kyoto Protocol have a structural impact on the environmental Kuznets curve? An application of the varying coefficient model," Empirical Economics, Springer, vol. 68(2), pages 729-758, February.
    54. Feng, Xingdong & Li, Wenyu & Zhu, Qianqian, 2024. "Estimation and bootstrapping under spatiotemporal models with unobserved heterogeneity," Journal of Econometrics, Elsevier, vol. 238(1).
    55. Badi H. Baltagi & Georges Bresson & Anoop Chaturvedi & Guy Lacroix, 2023. "Robust dynamic space–time panel data models using $$\varepsilon $$ ε -contamination: an application to crop yields and climate change," Empirical Economics, Springer, vol. 64(6), pages 2475-2509, June.
    56. Yiren Wang & Peter C. B. Phillips & Liangjun Su, 2023. "Panel Data Models with Time-Varying Latent Group Structures," Cowles Foundation Discussion Papers 2364, Cowles Foundation for Research in Economics, Yale University.
    57. Kun Li & Aibing Ji, 2026. "Autoregressive Model for Panel Matrix-Valued Data," Computational Economics, Springer;Society for Computational Economics, vol. 67(2), pages 709-735, February.
    58. Miao, Ke & Li, Kunpeng & Su, Liangjun, 2020. "Panel threshold models with interactive fixed effects," Journal of Econometrics, Elsevier, vol. 219(1), pages 137-170.
    59. Babii, Andrii & Ball, Ryan T. & Ghysels, Eric & Striaukas, Jonas, 2023. "Machine learning panel data regressions with heavy-tailed dependent data: Theory and application," Journal of Econometrics, Elsevier, vol. 237(2).
    60. Yiannis Karavias & Paresh Narayan & Joakim Westerlund, 2021. "Structural Breaks in Interactive Effects Panels and the Stock Market Reaction to COVID-19," Papers 2111.03035, arXiv.org.
    61. Hsiao, Cheng, 2018. "Panel models with interactive effects," Journal of Econometrics, Elsevier, vol. 206(2), pages 645-673.
    62. Tadao Hoshino, 2018. "Semiparametric Spatial Autoregressive Models With Endogenous Regressors: With an Application to Crime Data," Journal of Business & Economic Statistics, Taylor & Francis Journals, vol. 36(1), pages 160-172, January.
    63. Kaddoura, Yousef, 2025. "Estimating coefficient-by-coefficient breaks in panel data models," Journal of Econometrics, Elsevier, vol. 249(PB).
    64. Ye, Xiaoqing & Xu, Juan & Wu, Xiangjun, 2018. "Estimation of an unbalanced panel data Tobit model with interactive effects," Journal of choice modelling, Elsevier, vol. 28(C), pages 108-123.
    65. T. Thomson & S. Hossain, 2018. "Efficient Shrinkage for Generalized Linear Mixed Models Under Linear Restrictions," Sankhya A: The Indian Journal of Statistics, Springer;Indian Statistical Institute, vol. 80(2), pages 385-410, August.
    66. Jiang, Peiyun & Kurozumi, Eiji, 2021. "A new test for common breaks in heterogeneous panel data models," Discussion paper series HIAS-E-107, Hitotsubashi Institute for Advanced Study, Hitotsubashi University.
    67. Ayden Higgins & Federico Martellosio, 2019. "Shrinkage Estimation of Network Spillovers with Factor Structured Errors," Papers 1909.02823, arXiv.org, revised Nov 2021.
    68. Jaeho Kim & Le Wang, 2019. "Hidden group patterns in democracy developments: Bayesian inference for grouped heterogeneity," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 34(6), pages 1016-1028, September.
    69. Miranda, Karen & Martínez Ibáñez, Oscar & Manjón Antolín, Miguel C., 2018. "A correlated random effects spatial Durbin model," Working Papers 2072/313840, Universitat Rovira i Virgili, Department of Economics.
    70. Alessandro Casini & Pierre Perron, 2018. "Structural Breaks in Time Series," Papers 1805.03807, arXiv.org.
    71. F. Marta L. Di Lascio & Selene Perazzini, 2024. "A three-way dynamic panel threshold regression model for change point detection in bioimpedance data," BEMPS - Bozen Economics & Management Paper Series BEMPS104, Faculty of Economics and Management at the Free University of Bozen.
    72. Xun Lu & Liangjun Su, 2025. "Two-Way Mean Group Estimators for Heterogeneous Panel Models with Fixed T," Papers 2508.10302, arXiv.org.
    73. Yang, Kai & Lee, Lung-fei, 2021. "Estimation of dynamic panel spatial vector autoregression: Stability and spatial multivariate cointegration," Journal of Econometrics, Elsevier, vol. 221(2), pages 337-367.
    74. Bai, Jushan & Li, Kunpeng, 2021. "Dynamic spatial panel data models with common shocks," Journal of Econometrics, Elsevier, vol. 224(1), pages 134-160.
    75. Minyoung Jo & Sangyeol Lee, 2021. "On CUSUM test for dynamic panel models," Statistical Methods & Applications, Springer;Società Italiana di Statistica, vol. 30(2), pages 515-542, June.
    76. Su, Liangjun & Jin, Sainan & Wang, Xia, 2025. "Sieve estimation of state-varying factor models," Journal of Econometrics, Elsevier, vol. 251(C).
    77. Shi, Wei & Lee, Lung-fei, 2017. "Spatial dynamic panel data models with interactive fixed effects," Journal of Econometrics, Elsevier, vol. 197(2), pages 323-347.
    78. Feng, Guohua & Peng, Bin & Su, Liangjun & Yang, Thomas Tao, 2019. "Semi-parametric single-index panel data models with interactive fixed effects: Theory and practice," Journal of Econometrics, Elsevier, vol. 212(2), pages 607-622.
    79. Hong, Shengjie & Su, Liangjun & Jiang, Tao, 2023. "Profile GMM estimation of panel data models with interactive fixed effects," Journal of Econometrics, Elsevier, vol. 235(2), pages 927-948.
    80. Feng, Qu, 2020. "Common factors and common breaks in panels: An empirical investigation," Economics Letters, Elsevier, vol. 187(C).
    81. Shi, Wei & Lee, Lung-fei, 2018. "A spatial panel data model with time varying endogenous weights matrices and common factors," Regional Science and Urban Economics, Elsevier, vol. 72(C), pages 6-34.
    82. Qian, Junhui & Su, Liangjun, 2016. "Shrinkage estimation of common breaks in panel data models via adaptive group fused Lasso," Journal of Econometrics, Elsevier, vol. 191(1), pages 86-109.
    83. Chen, Sanpan & Cui, Guowei & Zhang, Jianhua, 2017. "On testing for structural break of coefficients in factor-augmented regression models," Economics Letters, Elsevier, vol. 161(C), pages 141-145.
    84. Christis Katsouris, 2023. "Optimal Estimation Methodologies for Panel Data Regression Models," Papers 2311.03471, arXiv.org, revised Nov 2023.
    85. Chen, Likai & Wang, Weining & Wu, Wei Biao, 2020. "Inference of breakpoints in high-dimensional time series," IRTG 1792 Discussion Papers 2020-019, Humboldt University of Berlin, International Research Training Group 1792 "High Dimensional Nonstationary Time Series".
    86. Lumsdaine, Robin L. & Okui, Ryo & Wang, Wendun, 2023. "Estimation of panel group structure models with structural breaks in group memberships and coefficients," Journal of Econometrics, Elsevier, vol. 233(1), pages 45-65.
    87. Guohua Feng & Jiti Gao & Bin Peng, 2019. "An Integrated Panel Data Approach to Modelling Economic Growth," Papers 1903.07948, arXiv.org.
    88. Hou, Lei & Li, Kunpeng & Li, Qi & Ouyang, Min, 2021. "Revisiting the location of FDI in China: A panel data approach with heterogeneous shocks," Journal of Econometrics, Elsevier, vol. 221(2), pages 483-509.
    89. Higgins, Ayden & Martellosio, Federico, 2023. "Shrinkage estimation of network spillovers with factor structured errors," Journal of Econometrics, Elsevier, vol. 233(1), pages 66-87.
    90. Ali Mehrabani & Shahnaz Parsaeian, 2025. "Shrinkage Estimation and Identification of Latent Group Structures in Panel Data with Interactive Fixed Effects," WORKING PAPERS SERIES IN THEORETICAL AND APPLIED ECONOMICS 202516, University of Kansas, Department of Economics.
    91. Dai, Siqi & Hong, Yongmiao & Li, Haiqi & Zheng, Chaowen, 2025. "Shrinkage estimation of spatial panel data models with multiple structural breaks and a multifactor error structure," Journal of Econometrics, Elsevier, vol. 251(C).
    92. Ando, Tomohiro & Li, Kunpeng & Lu, Lina, 2023. "A spatial panel quantile model with unobserved heterogeneity," Journal of Econometrics, Elsevier, vol. 232(1), pages 191-213.
    93. Ma, Chenchen & Tu, Yundong, 2023. "Group fused Lasso for large factor models with multiple structural breaks," Journal of Econometrics, Elsevier, vol. 233(1), pages 132-154.
    94. Harold D. Chiang & Joel Rodrigue & Yuya Sasaki, 2019. "Post-Selection Inference in Three-Dimensional Panel Data," Papers 1904.00211, arXiv.org, revised Apr 2019.
    95. Yuichi Goto & Kotone Suzuki & Xiaofei Xu & Masanobu Taniguchi, 2023. "Tests for the existence of group effects and interactions for two-way models with dependent errors," Annals of the Institute of Statistical Mathematics, Springer;The Institute of Statistical Mathematics, vol. 75(3), pages 511-532, June.
    96. Shobande, Olatunji A., 2023. "Rethinking social change: Does the permanent and transitory effects of electricity and solid fuel use predict health outcome in Africa?," Technological Forecasting and Social Change, Elsevier, vol. 186(PB).

  4. Xun Lu & Liangjun Su, 2014. "Jackknife Model Averaging for Quantile Regressions," Working Papers 11-2014, Singapore Management University, School of Economics.

    Cited by:

    1. Lu Zhang & Xiaomeng Zhang & Xinyu Zhang, 2024. "Asymptotic Properties of the Distributional Synthetic Controls," Papers 2405.00953, arXiv.org, revised May 2026.
    2. Shangwei Zhao & Jun Liao & Dalei Yu, 2020. "Model averaging estimator in ridge regression and its large sample properties," Statistical Papers, Springer, vol. 61(4), pages 1719-1739, August.
    3. Guozhi Hu & Weihu Cheng & Jie Zeng, 2023. "Optimal Model Averaging for Semiparametric Partially Linear Models with Censored Data," Mathematics, MDPI, vol. 11(3), pages 1-21, February.
    4. Chen, Qitong & Hong, Yongmiao & Li, Haiqi, 2024. "Time-varying forecast combination for factor-augmented regressions with smooth structural changes," Journal of Econometrics, Elsevier, vol. 240(1).
    5. Jonathan Berrisch & Florian Ziel, 2021. "CRPS Learning," Papers 2102.00968, arXiv.org, revised Nov 2021.
    6. Qingfeng Liu & Qingsong Yao & Guoqing Zhao, 2020. "Model averaging estimation for conditional volatility models with an application to stock market volatility forecast," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 39(5), pages 841-863, August.
    7. Dieqi Gu & Qingfeng Liu & Xinyu Zhang, 2025. "Model Averaging Under Flexible Loss Functions," INFORMS Journal on Computing, INFORMS, vol. 37(6), pages 1605-1623, November.
    8. Aman Ullah & Xinyu Zhang, 2015. "Grouped Model Averaging for Finite Sample Size," Working Papers 201501, University of California at Riverside, Department of Economics.
    9. Jingwen Tu & Hu Yang & Chaohui Guo & Jing Lv, 2021. "Model averaging marginal regression for high dimensional conditional quantile prediction," Statistical Papers, Springer, vol. 62(6), pages 2661-2689, December.
    10. Zhang, Xinyu & Liu, Chu-An, 2023. "Model averaging prediction by K-fold cross-validation," Journal of Econometrics, Elsevier, vol. 235(1), pages 280-301.
    11. Shi, Pengfei & Zhang, Xinyu & Zhong, Wei, 2024. "Estimating conditional average treatment effects with heteroscedasticity by model averaging and matching," Economics Letters, Elsevier, vol. 238(C).
    12. Miaomiao Wang & Xinyu Zhang & Alan T. K. Wan & Kang You & Guohua Zou, 2023. "Jackknife model averaging for high‐dimensional quantile regression," Biometrics, The International Biometric Society, vol. 79(1), pages 178-189, March.
    13. Xianwen Sun & Lixin Zhang, 2024. "Model averaging estimation for nonparametric varying-coefficient models with multiplicative heteroscedasticity," Statistical Papers, Springer, vol. 65(3), pages 1375-1409, May.
    14. Rui Fan & Ji Hyung Lee & Youngki Shin, 2021. "Predictive Quantile Regression with Mixed Roots and Increasing Dimensions: The ALQR Approach," Papers 2101.11568, arXiv.org, revised Dec 2022.
    15. Ruoyao Shi, 2021. "An Averaging Estimator for Two Step M Estimation in Semiparametric Models," Working Papers 202105, University of California at Riverside, Department of Economics.
    16. Cheng, Tingting & Jiang, Shan & Zhao, Albert Bo & Jia, Zhimin, 2023. "Complete subset averaging methods in corporate bond return prediction," Finance Research Letters, Elsevier, vol. 54(C).
    17. Yundong Tu & Siwei Wang, 2023. "Variable Screening and Model Averaging for Expectile Regressions," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 85(3), pages 574-598, June.
    18. Xiaochao Xia & Sijin He & Naiwen Pang, 2025. "Communication-efficient model averaging prediction for massive data with asymptotic optimality," Statistical Papers, Springer, vol. 66(2), pages 1-45, February.
    19. Yongmiao Hong & Tae-Hwy Lee & Yuying Sun & Shouyang Wang & Xinyu Zhang, 2017. "Time-varying Model Averaging," Working Papers 202001, University of California at Riverside, Department of Economics.
    20. Peng, Jingfu & Yang, Yuhong, 2022. "On improvability of model selection by model averaging," Journal of Econometrics, Elsevier, vol. 229(2), pages 246-262.
    21. Xianwen Sun & Lixin Zhang, 2024. "Jackknife model averaging for mixed-data kernel-weighted spline quantile regressions," Metrika: International Journal for Theoretical and Applied Statistics, Springer, vol. 87(7), pages 805-842, October.
    22. Aman Ullah & Alan T. K. Wan & Huansha Wang & Xinyu Zhang & Guohua Zou, 2017. "A semiparametric generalized ridge estimator and link with model averaging," Econometric Reviews, Taylor & Francis Journals, vol. 36(1-3), pages 370-384, March.
    23. Jie Zeng & Weihu Cheng & Guozhi Hu, 2023. "Optimal Model Averaging Estimation for the Varying-Coefficient Partially Linear Models with Missing Responses," Mathematics, MDPI, vol. 11(8), pages 1-21, April.
    24. Wenchao Xu & Xinyu Zhang, 2024. "On Asymptotic Optimality of Least Squares Model Averaging When True Model Is Included," Papers 2411.09258, arXiv.org.
    25. Zhang, Xinyu & Ullah, Aman & Zhao, Shangwei, 2016. "On the dominance of Mallows model averaging estimator over ordinary least squares estimator," Economics Letters, Elsevier, vol. 142(C), pages 69-73.
    26. Xiaomeng Zhang & Wendun Wang & Xinyu Zhang, 2022. "Asymptotic Properties of the Synthetic Control Method," Papers 2211.12095, arXiv.org.
    27. Lin, Tzu-Chi & Liu, Chu-An, 2025. "Model averaging prediction for possibly nonstationary autoregressions," Journal of Econometrics, Elsevier, vol. 249(PB).
    28. Zhang, Xiaomeng & Zhang, Xinyu, 2023. "Optimal model averaging based on forward-validation," Journal of Econometrics, Elsevier, vol. 237(2).
    29. Yang Feng & Qingfeng Liu, 2020. "Nested Model Averaging on Solution Path for High-dimensional Linear Regression," Papers 2005.08057, arXiv.org.
    30. Lu, Xun & Su, Liangjun, 2016. "Shrinkage estimation of dynamic panel data models with interactive fixed effects," Journal of Econometrics, Elsevier, vol. 190(1), pages 148-175.
    31. Anthoulla Phella, 2020. "Forecasting With Factor-Augmented Quantile Autoregressions: A Model Averaging Approach," Papers 2010.12263, arXiv.org.
    32. Tu, Yundong & Wang, Siwei, 2025. "Quantile prediction with factor-augmented regression: Structural instability and model uncertainty," Journal of Econometrics, Elsevier, vol. 249(PB).
    33. Xiaochao Xia, 2021. "Model averaging prediction for nonparametric varying-coefficient models with B-spline smoothing," Statistical Papers, Springer, vol. 62(6), pages 2885-2905, December.
    34. Tu, Yundong & Wang, Siwei, 2020. "Jackknife model averaging for expectile regressions in increasing dimension," Economics Letters, Elsevier, vol. 197(C).
    35. Jiawen Luo & Shengjie Fu & Oguzhan Cepni & Rangan Gupta, 2024. "Climate Risks and Forecastability of US Inflation: Evidence from Dynamic Quantile Model Averaging," Working Papers 202420, University of Pretoria, Department of Economics.
    36. Haowen Bao & Zongwu Cai & Yuying Sun & Shouyang Wang, 2023. "Penalized Optimal Forecast Combination for Quantile Regressions," WORKING PAPERS SERIES IN THEORETICAL AND APPLIED ECONOMICS 202514, University of Kansas, Department of Economics, revised May 2025.
    37. Berrisch, Jonathan & Ziel, Florian, 2023. "CRPS learning," Journal of Econometrics, Elsevier, vol. 237(2).
    38. Zishu Zhan & Yang Li & Yuhong Yang & Cunjie Lin, 2023. "Model averaging for semiparametric varying coefficient quantile regression models," Annals of the Institute of Statistical Mathematics, Springer;The Institute of Statistical Mathematics, vol. 75(4), pages 649-681, August.
    39. Su, Liangjun & Hoshino, Tadao, 2016. "Sieve instrumental variable quantile regression estimation of functional coefficient models," Journal of Econometrics, Elsevier, vol. 191(1), pages 231-254.
    40. Ji Hyung Lee & Youngki Shin, 2020. "Complete Subset Averaging for Quantile Regressions," Papers 2003.03299, arXiv.org, revised Jul 2021.
    41. Ziwen Gao & Jiahui Zou & Xinyu Zhang & Yanyuan Ma, 2023. "Frequentist model averaging for envelope models," Scandinavian Journal of Statistics, Danish Society for Theoretical Statistics;Finnish Statistical Society;Norwegian Statistical Association;Swedish Statistical Association, vol. 50(3), pages 1325-1364, September.
    42. Qian, Junhui & Su, Liangjun, 2016. "Shrinkage estimation of common breaks in panel data models via adaptive group fused Lasso," Journal of Econometrics, Elsevier, vol. 191(1), pages 86-109.
    43. Yuan, Chaoxia & Fang, Fang & Ni, Lyu, 2022. "Mallows model averaging with effective model size in fragmentary data prediction," Computational Statistics & Data Analysis, Elsevier, vol. 173(C).
    44. Shou-Yung Yin & Chu-An Liu & Chang-Ching Lin, 2016. "Focused Information Criterion and Model Averaging for Large Panels with a Multifactor Error Structure," IEAS Working Paper : academic research 16-A016, Institute of Economics, Academia Sinica, Taipei, Taiwan.
    45. Ruoyao Shi & Zhipeng Liao, 2018. "An Averaging GMM Estimator Robust to Misspecification," Working Papers 201803, University of California at Riverside, Department of Economics.
    46. Iania, Leonardo & Algieri, Bernardina & Leccadito, Arturo, 2022. "Forecasting total energy’s CO2 emissions," LIDAM Discussion Papers LFIN 2022003, Université catholique de Louvain, Louvain Finance (LFIN).
    47. Lu, Xun & Su, Liangjun, 2020. "Determining individual or time effects in panel data models," Journal of Econometrics, Elsevier, vol. 215(1), pages 60-83.
    48. De Luca, Giuseppe & Magnus, Jan R. & Peracchi, Franco, 2018. "Weighted-average least squares estimation of generalized linear models," Journal of Econometrics, Elsevier, vol. 204(1), pages 1-17.
    49. Chu-An Liu & Biing-Shen Kuo & Wen-Jen Tsay, 2017. "Autoregressive Spectral Averaging Estimator," IEAS Working Paper : academic research 17-A013, Institute of Economics, Academia Sinica, Taipei, Taiwan.
    50. Haowen Bao & Zongwu Cai & Yuying Sun & Shouyang Wang, 2023. "Penalized Model Averaging for High Dimensional Quantile Regressions," WORKING PAPERS SERIES IN THEORETICAL AND APPLIED ECONOMICS 202302, University of Kansas, Department of Economics.

  5. Arthur Lewbel & Xun Lu & Liangjun Su, 2012. "Specification Testing for Transformation Models with an Application to Generalized Accelerated Failure-time Models," Boston College Working Papers in Economics 817, Boston College Department of Economics, revised 01 May 2013.

    Cited by:

    1. Effraimidis, Georgios, 2016. "Nonparametric Identification of a Time-Varying Frailty Model," DaCHE discussion papers 2016:6, University of Southern Denmark, Dache - Danish Centre for Health Economics.
    2. Hoderlein, Stefan & Su, Liangjun & White, Halbert & Yang, Thomas Tao, 2016. "Testing for monotonicity in unobservables under unconfoundedness," Journal of Econometrics, Elsevier, vol. 193(1), pages 183-202.
    3. Lin, Yingqian & Tu, Yundong & Yao, Qiwei, 2020. "Estimation for double-nonlinear cointegration," LSE Research Online Documents on Economics 103830, London School of Economics and Political Science, LSE Library.
    4. Breunig, Christoph & Hoderlein, Stefan, 2018. "Specification Testing in Random Coefficient Models," Rationality and Competition Discussion Paper Series 77, CRC TRR 190 Rationality and Competition.
    5. Su, Liangjun & Ura, Takuya & Zhang, Yichong, 2019. "Non-separable models with high-dimensional data," Journal of Econometrics, Elsevier, vol. 212(2), pages 646-677.
    6. Huang, Liquan & Khalil, Umair & Yıldız, Neşe, 2019. "Identification and estimation of a triangular model with multiple endogenous variables and insufficiently many instrumental variables," Journal of Econometrics, Elsevier, vol. 208(2), pages 346-366.
    7. Christoph Breunig & Stefan Hoderlein, 2016. "Nonparametric Specification Testing in Random Parameter Models," Boston College Working Papers in Economics 897, Boston College Department of Economics.
    8. Breunig, Christoph, 2016. "Specification testing in nonparametric instrumental quantile regression," SFB 649 Discussion Papers 2016-032, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk.
    9. Babii, Andrii & Florens, Jean-Pierre, 2017. "Are unobservables separable?," TSE Working Papers 17-802, Toulouse School of Economics (TSE).
    10. Chiappori, Pierre-André & Komunjer, Ivana & Kristensen, Dennis, 2015. "Nonparametric identification and estimation of transformation models," Journal of Econometrics, Elsevier, vol. 188(1), pages 22-39.
    11. Khalil, Umair & Yıldız, Neşe, 2022. "A test of the selection on observables assumption using a discontinuously distributed covariate," Journal of Econometrics, Elsevier, vol. 226(2), pages 423-450.
    12. Lin, Yingqian & Tu, Yundong, 2025. "Identification and inference for semiparametric single index transformation models," Journal of Econometrics, Elsevier, vol. 251(C).
    13. Nick Kloodt & Natalie Neumeyer & Ingrid Keilegom, 2021. "Specification testing in semi-parametric transformation models," TEST: An Official Journal of the Spanish Society of Statistics and Operations Research, Springer;Sociedad de Estadística e Investigación Operativa, vol. 30(4), pages 980-1003, December.
    14. Christoph Breunig, 2019. "Specification Testing in Nonparametric Instrumental Quantile Regression," Papers 1909.10129, arXiv.org.
    15. Lin, Yingqian & Tu, Yundong & Yao, Qiwei, 2020. "Estimation for double-nonlinear cointegration," Journal of Econometrics, Elsevier, vol. 216(1), pages 175-191.
    16. Li, Hongjun & Li, Qi & Liu, Ruixuan, 2016. "Consistent model specification tests based on k-nearest-neighbor estimation method," Journal of Econometrics, Elsevier, vol. 194(1), pages 187-202.

  6. Halbert White & Karim Chalak & Xun Lu, 2010. "Linking Granger Causality and the Pearl Causal Model with Settable Systems," Boston College Working Papers in Economics 744, Boston College Department of Economics.

    Cited by:

    1. Majid M. Al-Sadoon, 2015. "Testing Subspace Granger Causality," Working Papers 850, Barcelona School of Economics.
    2. Al-Sadoon, Majid M., 2014. "Geometric and long run aspects of Granger causality," Journal of Econometrics, Elsevier, vol. 178(P3), pages 558-568.
    3. Halbert White & Haiqing Xu & Karim Chalak, 2011. "Causal Discourse in a Game of Incomplete Information," Department of Economics Working Papers 130912, The University of Texas at Austin, Department of Economics.
    4. Majid M. Al-Sadoon, 2016. "The linear systems approach to linear rational expectations models," Economics Working Papers 1511, Department of Economics and Business, Universitat Pompeu Fabra.

  7. Xun Lu & Dietrich Fausten & Russell Smyth, 2006. "Financial Development, Capital Accumulation And Productivity Improvement: Evidence From China," Monash Economics Working Papers 04/06, Monash University, Department of Economics.

    Cited by:

    1. Muyambiri Brian & Odhiambo Nicholas M., 2018. "Financial Development and Investment in Botswana: A Multivariate Causality Test," Folia Oeconomica Stetinensia, Sciendo, vol. 18(2), pages 72-89, December.
    2. Muyambiri, Brian & Odhiambo, Nicholas M, 2017. "The causal relationship between financial development and investment in Botswana," Working Papers 22607, University of South Africa, Department of Economics.
    3. Muyambiri Brian & Odhiambo Nicholas, 2017. "Financial Development, Savings and Investment in South Africa: A Dynamic Causality Test," Global Economy Journal, De Gruyter, vol. 17(3), pages 1-10, September.
    4. Brian Muyambiri & Nicholas M. Odhiambo, 2018. "Financial Development and Investment Dynamics in Mauritius: A Trivariate Granger-Causality Analysis," SPOUDAI Journal of Economics and Business, SPOUDAI Journal of Economics and Business, University of Piraeus, vol. 68(2-3), pages 62-73, April-Sep.
    5. Onesmus Mbaabu Mutiiria & Joseph Nzomoi & Peter Kamoni, 2024. "Financial Development and Its Effect on Inclusive Growth in Kenya 2000 - 2022," International Journal of Economics, IPRJB, vol. 9(3), pages 1-20.
    6. Chinnasamy Agamudai Nambhi Malarvizhi & Yashar Zeynali & Abdullah Al Mamun & Ghazali Bin Ahmad, 2019. "Financial Development and Economic Growth in ASEAN-5 Countries," Global Business Review, International Management Institute, vol. 20(1), pages 57-71, February.

Articles

  1. Lu, Xun & Su, Liangjun & Ba, Yinglong, 2026. "On generalized CCE estimation," Journal of Econometrics, Elsevier, vol. 253(C).

    Cited by:

    1. Art=uras Juodis & Martin Weidner, 2026. "Factor-Augmented Panel Regressions and Variance-Weighted Treatment Effects," Papers 2604.18078, arXiv.org.

  2. Jin, Sainan & Lu, Xun & Su, Liangjun, 2025. "Three-dimensional heterogeneous panel data models with multi-level interactive fixed effects," Journal of Econometrics, Elsevier, vol. 249(PB).

    Cited by:

    1. Daniel Czarnowske & Amrei Stammann, 2025. "(Debiased) Inference for Fixed Effects Estimators with Three-Dimensional Panel and Network Data," Papers 2512.18678, arXiv.org, revised May 2026.

  3. Yiqiu Cao & Sainan Jin & Xun Lu & Liangjun Su, 2024. "Oracle Efficient Estimation of Heterogeneous Dynamic Panel Data Models with Interactive Fixed Effects," Journal of Business & Economic Statistics, Taylor & Francis Journals, vol. 42(4), pages 1169-1184, October.

    Cited by:

    1. Jin, Sainan & Lu, Xun & Su, Liangjun, 2025. "Three-dimensional heterogeneous panel data models with multi-level interactive fixed effects," Journal of Econometrics, Elsevier, vol. 249(PB).
    2. Hong, Han & Ju, Gaosheng & Li, Qi & Yan, Karen X., 2024. "Varying-coefficient spatial dynamic panel data models with fixed effects: Theory and application," Journal of Econometrics, Elsevier, vol. 245(1).
    3. Xun Lu & Liangjun Su, 2025. "Two-Way Mean Group Estimators for Heterogeneous Panel Models with Fixed T," Papers 2508.10302, arXiv.org.
    4. Dai, Siqi & Hong, Yongmiao & Li, Haiqi & Zheng, Chaowen, 2025. "Shrinkage estimation of spatial panel data models with multiple structural breaks and a multifactor error structure," Journal of Econometrics, Elsevier, vol. 251(C).

  4. Lu, Xun & Su, Liangjun, 2023. "Uniform inference in linear panel data models with two-dimensional heterogeneity," Journal of Econometrics, Elsevier, vol. 235(2), pages 694-719.

    Cited by:

    1. Art=uras Juodis & Martin Weidner, 2026. "Factor-Augmented Panel Regressions and Variance-Weighted Treatment Effects," Papers 2604.18078, arXiv.org.
    2. Jin, Sainan & Lu, Xun & Su, Liangjun, 2025. "Three-dimensional heterogeneous panel data models with multi-level interactive fixed effects," Journal of Econometrics, Elsevier, vol. 249(PB).
    3. Wang, Wei & Xiao, Zhijie & Ren, Yanyan & Yan, Xiaodong, 2023. "A bi-integrative analysis of two-dimensional heterogeneous panel data models," Economics Letters, Elsevier, vol. 230(C).
    4. Yiren Wang & Peter C. B. Phillips & Liangjun Su, 2023. "Panel Data Models with Time-Varying Latent Group Structures," Cowles Foundation Discussion Papers 2364, Cowles Foundation for Research in Economics, Yale University.
    5. Xun Lu & Liangjun Su, 2025. "Two-Way Mean Group Estimators for Heterogeneous Panel Models with Fixed T," Papers 2508.10302, arXiv.org.
    6. Oguzhan Akgun & Ryo Okui, 2025. "Robust Inference Methods for Latent Group Panel Models under Possible Group Non-Separation," Papers 2511.18550, arXiv.org.

  5. Xun Lu & Ke Miao & Liangjun Su, 2021. "Determination of different types of fixed effects in three-dimensional panels," Econometric Reviews, Taylor & Francis Journals, vol. 40(9), pages 867-898, October.
    See citations under working paper version above.
  6. Lu, Xun & Su, Liangjun, 2020. "Determining individual or time effects in panel data models," Journal of Econometrics, Elsevier, vol. 215(1), pages 60-83.

    Cited by:

    1. Dardati, Evangelina & Laurent, Thibault & Margaretic, Paula & Paredes, Ean & Thomas-Agnan, Christine, 2026. "Accounting for the full distribution of temperature to predict international migration," TSE Working Papers 26-1728, Toulouse School of Economics (TSE).
    2. Vira Semenova & Matt Goldman & Victor Chernozhukov & Matt Taddy, 2023. "Inference on heterogeneous treatment effects in high‐dimensional dynamic panels under weak dependence," Quantitative Economics, Econometric Society, vol. 14(2), pages 471-510, May.
    3. Steinhauser Dušan & Kittová Zuzana & Khúlová Lucia, 2024. "Relationship Between CO2 Emissions and Trade: The Case of the EU," Intereconomics: Review of European Economic Policy, Sciendo, vol. 59(1), pages 41-47, February.
    4. Stanislav Zabojník & Dusan Steinhauser & Viktoria Pestova, 2023. "EU Decarbonisation: Do EU Electricity Costs Harm Export Competitiveness?," The AMFITEATRU ECONOMIC journal, Academy of Economic Studies - Bucharest, Romania, vol. 25(63), pages 522-522, April.

  7. Xun Lu & Liangjun Su, 2017. "Determining the number of groups in latent panel structures with an application to income and democracy," Quantitative Economics, Econometric Society, vol. 8(3), pages 729-760, November.

    Cited by:

    1. Etienne Farvaque & Jean-Baptiste Gossé & Camille Jehle, 2026. "Income Smoothing Across EU Regions: a Panel Decomposition of Adjustment Channels," Working papers 1037, Banque de France.
    2. Andreas Dzemski & Ryo Okui, 2024. "Confidence set for group membership," Quantitative Economics, Econometric Society, vol. 15(2), pages 245-277, May.
    3. Yu Hao & Hiroyuki Kasahara, 2025. "Estimating the Number of Components in Panel Data Finite Mixture Regression Models with an Application to Production Function Heterogeneity," Papers 2506.09666, arXiv.org.
    4. Liu, Ruiqi & Shang, Zuofeng & Zhang, Yonghui & Zhou, Qiankun, 2020. "Identification and estimation in panel models with overspecified number of groups," Journal of Econometrics, Elsevier, vol. 215(2), pages 574-590.
    5. Miao, Ke & Su, Liangjun & Wang, Wendun, 2020. "Panel threshold regressions with latent group structures," Journal of Econometrics, Elsevier, vol. 214(2), pages 451-481.
    6. Yao Luo & Hidenori Takahashi, 2022. "Bidding for Contracts under Uncertain Demand: Skewed Bidding and Risk Sharing," Working Papers tecipa-732, University of Toronto, Department of Economics.
    7. Yanbo Liu & Peter C. B. Phillips & Jun Yu, 2023. "A Panel Clustering Approach To Analyzing Bubble Behavior," International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 64(4), pages 1347-1395, November.
    8. Saptorshee Kanto Chakraborty & Massimiliano Mazzanti, 2021. "Revisiting the literature on the dynamic Environmental Kuznets Curves using a latent structure approach," SEEDS Working Papers 0521, SEEDS, Sustainability Environmental Economics and Dynamics Studies, revised May 2021.
    9. Zhongjian Lin & Zhentao Shi & Yapeng Zheng, 2026. "Social Interactions Models with Latent Structures," Papers 2602.06435, arXiv.org.
    10. Francesco Fallucchi & Andrea Mercatanti & Jan Niederreiter, 2021. "Identifying types in contest experiments," International Journal of Game Theory, Springer;Game Theory Society, vol. 50(1), pages 39-61, March.
    11. Zhan Gao & Zhentao Shi, 2018. "Implementing Convex Optimization in R: Two Econometric Examples," Papers 1806.10423, arXiv.org, revised Aug 2019.
    12. Okui, Ryo & Wang, Wendun, 2021. "Heterogeneous structural breaks in panel data models," Journal of Econometrics, Elsevier, vol. 220(2), pages 447-473.
    13. Huang, Wenxin & Jin, Sainan & Phillips, Peter C.B. & Su, Liangjun, 2021. "Nonstationary panel models with latent group structures and cross-section dependence," Journal of Econometrics, Elsevier, vol. 221(1), pages 198-222.
    14. Hasraddin Guliyev, 2025. "Using Machine Learning Techniques to Test the Load Capacity Curve Hypothesis: A Classifier-Lasso Application on Global Panel Data," Biophysical Economics and Resource Quality, Springer, vol. 10(1), pages 1-18, June.
    15. Wang, Wuyi & Phillips, Peter C.B. & Su, Liangjun, 2019. "The heterogeneous effects of the minimum wage on employment across states," Economics Letters, Elsevier, vol. 174(C), pages 179-185.
    16. Custodio João, Igor & Lucas, André & Schaumburg, Julia & Schwaab, Bernd, 2023. "Dynamic clustering of multivariate panel data," Journal of Econometrics, Elsevier, vol. 237(2).
    17. Jan Niederreiter, 2023. "Broadening Economics in the Era of Artificial Intelligence and Experimental Evidence," Italian Economic Journal: A Continuation of Rivista Italiana degli Economisti and Giornale degli Economisti, Springer;Società Italiana degli Economisti (Italian Economic Association), vol. 9(1), pages 265-294, March.
    18. Yiren Wang & Peter C. B. Phillips & Liangjun Su, 2023. "Panel Data Models with Time-Varying Latent Group Structures," Cowles Foundation Discussion Papers 2364, Cowles Foundation for Research in Economics, Yale University.
    19. Jorge A. Rivero, 2023. "Unobserved Grouped Heteroskedasticity and Fixed Effects," Papers 2310.14068, arXiv.org, revised Oct 2023.
    20. Bruce E. Hansen & Seojeong Jay Lee, 2018. "Inference for Iterated GMM Under Misspecification and Clustering," Discussion Papers 2018-07, School of Economics, The University of New South Wales.
    21. Bruce E. Hansen & Seojeong Lee, 2021. "Inference for Iterated GMM Under Misspecification," Econometrica, Econometric Society, vol. 89(3), pages 1419-1447, May.
    22. Yu Hao & Hiroyuki Kasahara, 2022. "Testing the Number of Components in Finite Mixture Normal Regression Model with Panel Data," Papers 2210.02824, arXiv.org, revised Jun 2023.
    23. Mikihito Nishi, 2025. "K-Means Panel Data Clustering in the Presence of Small Groups," Papers 2508.15408, arXiv.org.
    24. Mehrabani, Ali, 2023. "Estimation and identification of latent group structures in panel data," Journal of Econometrics, Elsevier, vol. 235(2), pages 1464-1482.
    25. Wang, Wuyi & Su, Liangjun, 2021. "Identifying latent group structures in nonlinear panels," Journal of Econometrics, Elsevier, vol. 220(2), pages 272-295.
    26. Antonio Raiola & Nazarii Salish, 2025. "Detection Boundaries for Panel Slope Homogeneity Tests Under Small-Group Heterogeneity," Papers 2510.22841, arXiv.org, revised Apr 2026.
    27. Oguzhan Akgun & Ryo Okui, 2025. "Robust Inference Methods for Latent Group Panel Models under Possible Group Non-Separation," Papers 2511.18550, arXiv.org.
    28. Dzemski, Andreas & Okui, Ryo, 2018. "Confidence Set for Group Membership," Working Papers in Economics 727, University of Gothenburg, Department of Economics.
    29. Su, Liangjun & Wang, Wuyi & Xu, Xingbai, 2023. "Identifying latent group structures in spatial dynamic panels," Journal of Econometrics, Elsevier, vol. 235(2), pages 1955-1980.
    30. Ali Mehrabani & Shahnaz Parsaeian, 2025. "Shrinkage Estimation and Identification of Latent Group Structures in Panel Data with Interactive Fixed Effects," WORKING PAPERS SERIES IN THEORETICAL AND APPLIED ECONOMICS 202516, University of Kansas, Department of Economics.
    31. Pionati, Alessandro, 2025. "Latent grouped structures in panel data: a review," MPRA Paper 123954, University Library of Munich, Germany.

  8. Lu, Xun & Su, Liangjun, 2016. "Shrinkage estimation of dynamic panel data models with interactive fixed effects," Journal of Econometrics, Elsevier, vol. 190(1), pages 148-175.
    See citations under working paper version above.
  9. Lewbel, Arthur & Lu, Xun & Su, Liangjun, 2015. "Specification testing for transformation models with an application to generalized accelerated failure-time models," Journal of Econometrics, Elsevier, vol. 184(1), pages 81-96.
    See citations under working paper version above.
  10. Xun Lu, 2015. "A Covariate Selection Criterion for Estimation of Treatment Effects," Journal of Business & Economic Statistics, Taylor & Francis Journals, vol. 33(4), pages 506-522, October.

    Cited by:

    1. Kitagawa, Toru & Muris, Chris, 2016. "Model averaging in semiparametric estimation of treatment effects," Journal of Econometrics, Elsevier, vol. 193(1), pages 271-289.
    2. Zulj, Valentin & Jin, Shaobo, 2024. "Can model averaging improve propensity score based estimation of average treatment effects?," Working Paper Series 2024:1, IFAU - Institute for Evaluation of Labour Market and Education Policy.
    3. Shou-Yung Yin, 2026. "Focused Weighted-Average Least Squares Estimator," Papers 2603.03008, arXiv.org.
    4. Shou-Yung Yin & Chu-An Liu & Chang-Ching Lin, 2016. "Focused Information Criterion and Model Averaging for Large Panels with a Multifactor Error Structure," IEAS Working Paper : academic research 16-A016, Institute of Economics, Academia Sinica, Taipei, Taiwan.

  11. Lu, Xun & Su, Liangjun, 2015. "Jackknife model averaging for quantile regressions," Journal of Econometrics, Elsevier, vol. 188(1), pages 40-58.
    See citations under working paper version above.
  12. Lu, Xun & White, Halbert, 2014. "Robustness checks and robustness tests in applied economics," Journal of Econometrics, Elsevier, vol. 178(P1), pages 194-206.

    Cited by:

    1. Hayelom Abrha Meressa, 2022. "Micro- and small-scale enterprises’ financing preference in line with POH and access to credit: empirical evidence from entrepreneurs in Ethiopia," Journal of Innovation and Entrepreneurship, Springer, vol. 11(1), pages 1-30, December.
    2. Richard J. Cebula, 2019. "The Voter Turnout/Relative Unemployment Rate Hypothesis," Economia Internazionale / International Economics, Camera di Commercio Industria Artigianato Agricoltura di Genova, vol. 72(3), pages 255-280.
    3. Jan Ditzen & Yiannis Karavias & Joakim Westerlund, 2023. "Multiple structural breaks in interactive effects panel data and the impace of quantitative easing on bank lending," Discussion Papers 23-02, Department of Economics, University of Birmingham.
    4. Qiuxia Yang, 2020. "Fiscal Transparency and Public Service Quality Association: Evidence from 12 Coastal Provinces and Cities of China," JRFM, MDPI, vol. 14(1), pages 1-14, December.
    5. Lai, Wei-Ting & Chen, Ray-Bing & Huang, Shih-Feng, 2025. "A modified VAR-deGARCH model for asynchronous multivariate financial time series via variational Bayesian inference," International Journal of Forecasting, Elsevier, vol. 41(1), pages 345-360.
    6. Baniyelme D. Zoogah & Phyllis Swanzy-Krah, 2024. "Ethnic Obligation and Deviant Behavior: A Dynamic Moral Economy Perspective," Journal of Business Ethics, Springer, vol. 195(2), pages 375-405, November.
    7. Minssen, Luisa & Levels, Mark & Pfeifer, Harald & Wehner, Caroline, 2024. "Recruiting mid-qualified workers in product-innovating firms: Which personality traits matter?," Journal of Behavioral and Experimental Economics (formerly The Journal of Socio-Economics), Elsevier, vol. 112(C).
    8. Laura Rienda & Enrique Claver & Diego Quer & Rosario Andreu, 2019. "Family businesses from emerging markets and choice of entry mode abroad: insights from Indian firms," Asian Business & Management, Palgrave Macmillan, vol. 18(1), pages 6-30, February.
    9. Yang, Jie & Li, Zhigang, 2025. "Natural resource consumption and integrated welfare outputs for sustainable development goals: from the coupling perspective of water-land-energy systems," Energy, Elsevier, vol. 338(C).
    10. Nguyen, Thanh Viet & Hoang, Nguyen Kim, 2024. "How economic policies and development impact marine fisheries: Lessons learned from a transitional economy," Ecological Economics, Elsevier, vol. 225(C).
    11. Masayoshi Hayashi & Wataru Yamamoto, 2017. "Information sharing, neighborhood demarcation, and yardstick competition: an empirical analysis of intergovernmental expenditure interaction in Japan," International Tax and Public Finance, Springer;International Institute of Public Finance, vol. 24(1), pages 134-163, February.
    12. Jaworski, Jacek & Czerwonka, Leszek, . "Która teoria struktury kapitału wyjaśnia decyzje finansowe małych i średnich przedsiębiorstw? Wyniki badań dotyczących Polski," Gospodarka Narodowa-The Polish Journal of Economics, Szkoła Główna Handlowa w Warszawie / SGH Warsaw School of Economics, vol. 2023(1).
    13. Jianru Fu & Waqar Ahmad & Babar Hussain & Muhammad Waqas Khalid & Fatima Lambarraa-Lehnhardt & Muhammad Umair, 2025. "Shadow economy, financial inclusion and economic growth Nexus: evidence from developing countries," Humanities and Social Sciences Communications, Palgrave Macmillan, vol. 12(1), pages 1-14, December.
    14. Nasir, Muhammad Hamid & Zhang, Sen, 2024. "Evaluating innovative factors of the global innovation index: A panel data approach," Innovation and Green Development, Elsevier, vol. 3(1).
    15. Asmussen, Katherine E. & Mondal, Aupal & Batur, Irfan & Dirks, Abbie & Pendyala, Ram M. & Bhat, Chandra R., 2024. "An investigation of individual-level telework arrangements in the COVID-era," Transportation Research Part A: Policy and Practice, Elsevier, vol. 179(C).
    16. Wang, Mengjiao & Liu, Jianxu & Yang, Bing, 2024. "Does the strength of the US dollar affect the interdependence among currency exchange rates of RCEP and CPTPP countries?," Finance Research Letters, Elsevier, vol. 62(PA).
    17. Navarre, Jeremy T. & Frazier, Jeremy A., 2022. "Econometric analysis of factors influencing commercial helicopter operators’ stock returns in the gulf of Mexico," Journal of Air Transport Management, Elsevier, vol. 99(C).
    18. Miranda-Agrippino, Silvia & Ricco, Giovanni, 2023. "Identification with External Instruments in Structural VARs," Journal of Monetary Economics, Elsevier, vol. 135(C), pages 1-19.
    19. Hongyun Han & Shu Wu, 2019. "Determinants of the Behavioral Lock-in of Rural Residents’ Direct Biomass Energy Consumption in China," Sustainability, MDPI, vol. 11(2), pages 1-25, January.
    20. Fuje,Habtamu Neda & Tandon,Prateek, 2015. "When do in-service teacher training and books improve student achievement ? experimental evidence from Mongolia," Policy Research Working Paper Series 7485, The World Bank.
    21. Robbennolt, Dale & Beliveau, Anna & Bhat, Chandra R., 2025. "An investigation of physical participation dissonance and virtual activity participation in the United States," Transportation Research Part A: Policy and Practice, Elsevier, vol. 201(C).
    22. Yiming Hou & Guanwen Yin & Yanbin Chen, 2022. "Environmental Regulation, Financial Pressure and Industrial Ecological Efficiency of Resource-Based Cities in China: Spatiotemporal Characteristics and Impact Mechanism," IJERPH, MDPI, vol. 19(17), pages 1-18, September.
    23. Esso-Hanam Atake, 2018. "Health shocks in Sub-Saharan Africa: are the poor and uninsured households more vulnerable?," Health Economics Review, Springer, vol. 8(1), pages 1-13, December.
    24. Peter Tshepiso Ndhlovu & Abiodun Olusola Omotayo & Kehinde Oluseyi Olagunju & Wilfred Otang-Mbeng & Adeyemi Oladapo Aremu, 2025. "Assessing the impacts of commercializing medicinal plants on livelihood outcomes: evidence from indigenous knowledge holders in South Africa," Environment, Development and Sustainability: A Multidisciplinary Approach to the Theory and Practice of Sustainable Development, Springer, vol. 27(2), pages 4489-4511, February.
    25. Tom Chang & Joshua S. Graff Zivin & Tal Gross & Matthew J. Neidell, 2014. "Particulate Pollution and the Productivity of Pear Packers," NBER Working Papers 19944, National Bureau of Economic Research, Inc.
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    63. Süß Philipp, 2020. "Regional Market Income Inequality and its Impact on Crime in Germany: A Spatial Panel Data Approach with Local Spillovers," Journal of Economics and Statistics (Jahrbuecher fuer Nationaloekonomie und Statistik), De Gruyter, vol. 240(4), pages 387-415, August.
    64. Sun, Tianyu & Chand, Satish & Sharpe, Keiran, 2018. "Effect of aging on housing prices: evidence from a panel data," MPRA Paper 94418, University Library of Munich, Germany, revised 01 Mar 2019.
    65. Robbennolt, Dale & Haddad, Angela J. & Bhat, Chandra R., 2026. "A rank-based model of residential location preferences before and during the COVID-19 pandemic," Transportation Research Part A: Policy and Practice, Elsevier, vol. 203(C).
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    67. Xia Tian & Yinying Cai & Qing Yang & Jin Xie, 2023. "How Do Heterogeneous Land Development Opportunities Affect Rural Household Nonfarm Employment: A Perspective of Spatial Regulation," Land, MDPI, vol. 12(4), pages 1-16, April.
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    70. Ridwan Lanre Ibrahim & Usama Al-Mulali & Kazeem Bello Ajide & Abubakar Mohammed & Fatimah Ololade Bolarinwa, 2022. "Investigating the Mediating Roles of Income Level and Technological Innovation in Africa’s Sustainability Pathways Amidst Energy Transition, Resource Abundance, and Financial Inclusion," Sustainability, MDPI, vol. 14(19), pages 1-27, September.
    71. Restiana Ie Tjoe Linggadjaya & Apriani Dorkas Rambu Atahau & Gracia Shinta S. Ugut & Kim Sung Suk, 2025. "The Moderating Role of Capital Adequacy on Bank Specific Characteristics to Sustainable Growth: Evidence From Commercial Banks in Indonesia," SAGE Open, , vol. 15(3), pages 21582440251, July.
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    73. Xun Lu, 2015. "A Covariate Selection Criterion for Estimation of Treatment Effects," Journal of Business & Economic Statistics, Taylor & Francis Journals, vol. 33(4), pages 506-522, October.
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    76. Eduardo Flores & Joelson Oliveira Sampaio & Aziz Xavier Beiruth & Aldy Fernandes da Silva, 2020. "Earnings Transparency, Cost of Debt and Cost of Equity: A Cross-Country Examination," International Business Research, Canadian Center of Science and Education, vol. 13(10), pages 115-115, October.
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    81. Wang, Mengjiao & Liu, Jianxu, 2025. "Twin commodity shocks: A multi-to-one CoVaR analysis of systemic risk spillovers from gold and crude oil to emerging market currencies," Journal of Commodity Markets, Elsevier, vol. 39(C).
    82. Wu, Shu & Ding, Song, 2021. "Efficiency improvement, structural change, and energy intensity reduction: Evidence from Chinese agricultural sector," Energy Economics, Elsevier, vol. 99(C).

  13. Lu, Xun & White, Halbert, 2014. "Testing for separability in structural equations," Journal of Econometrics, Elsevier, vol. 182(1), pages 14-26.

    Cited by:

    1. Yu-Chin Hsu & Ta-Cheng Huang & Haiqing Xu, 2018. "Testing for Unobserved Heterogeneous Treatment Effects with Observational Data," Papers 1803.07514, arXiv.org, revised Aug 2021.
    2. Ghanem, Dalia, 2017. "Testing identifying assumptions in nonseparable panel data models," Journal of Econometrics, Elsevier, vol. 197(2), pages 202-217.
    3. Hoderlein, Stefan & Su, Liangjun & White, Halbert & Yang, Thomas Tao, 2016. "Testing for monotonicity in unobservables under unconfoundedness," Journal of Econometrics, Elsevier, vol. 193(1), pages 183-202.
    4. Andrii Babii & Jean-Pierre Florens, 2017. "Are Unobservables Separable?," Papers 1705.01654, arXiv.org, revised Apr 2021.
    5. Huang, Liquan & Khalil, Umair & Yıldız, Neşe, 2019. "Identification and estimation of a triangular model with multiple endogenous variables and insufficiently many instrumental variables," Journal of Econometrics, Elsevier, vol. 208(2), pages 346-366.
    6. Lu, Xun & White, Habert, 2015. "Testing For Treatment Dependence Of Effects Of A Continuous Treatment," Econometric Theory, Cambridge University Press, vol. 31(5), pages 1016-1053, October.
    7. Khalil, Umair & Yıldız, Neşe, 2022. "A test of the selection on observables assumption using a discontinuously distributed covariate," Journal of Econometrics, Elsevier, vol. 226(2), pages 423-450.
    8. Jiun-Hua Su, 2019. "Counterfactual Inference in Duration Models with Random Censoring," Papers 1902.08502, arXiv.org.
    9. Lewbel, Arthur & Lu, Xun & Su, Liangjun, 2015. "Specification testing for transformation models with an application to generalized accelerated failure-time models," Journal of Econometrics, Elsevier, vol. 184(1), pages 81-96.
    10. Liangjun Su & Yundong Tu & Aman Ullah, 2015. "Testing Additive Separability of Error Term in Nonparametric Structural Models," Econometric Reviews, Taylor & Francis Journals, vol. 34(6-10), pages 1057-1088, December.
    11. Li, Hongjun & Li, Qi & Liu, Ruixuan, 2016. "Consistent model specification tests based on k-nearest-neighbor estimation method," Journal of Econometrics, Elsevier, vol. 194(1), pages 187-202.

  14. Su, Liangjun & Lu, Xun, 2013. "Nonparametric dynamic panel data models: Kernel estimation and specification testing," Journal of Econometrics, Elsevier, vol. 176(2), pages 112-133.

    Cited by:

    1. Liangjun Su & Sainan Jin & Yonghui Zhang, 2014. "Specification Test for Panel Data Models with Interactive Fixed Effects," Working Papers 08-2014, Singapore Management University, School of Economics.
    2. Hoshino, Tadao, 2022. "Sieve IV estimation of cross-sectional interaction models with nonparametric endogenous effect," Journal of Econometrics, Elsevier, vol. 229(2), pages 263-275.
    3. Rodriguez-Poo, Juan M. & Soberón, Alexandra, 2015. "Nonparametric estimation of fixed effects panel data varying coefficient models," Journal of Multivariate Analysis, Elsevier, vol. 133(C), pages 95-122.
    4. Korolev Ivan, 2026. "A Consistent LM-Type Specification Test for Semiparametric Panel Data Models," Journal of Econometric Methods, De Gruyter, vol. 15(1), pages 19-45.
    5. Christopher F. Parmeter & Jeffrey S. Racine, 2018. "Nonparametric Estimation and Inference for Panel Data Models," Department of Economics Working Papers 2018-02, McMaster University.
    6. Li, Cong & Liang, Zhongwen, 2015. "Asymptotics for nonparametric and semiparametric fixed effects panel models," Journal of Econometrics, Elsevier, vol. 185(2), pages 420-434.
    7. Taining Wang & Feng Yao & Jun Cai, 2026. "Nonparametric Estimation of Smooth Coefficients in Fixed-Effect Panel Data Models," Working Papers 26-03, Department of Economics, West Virginia University.
    8. Sainan Jin & Liangjun Su & Yonghui Zhang, 2015. "Nonparametric testing for anomaly effects in empirical asset pricing models," Empirical Economics, Springer, vol. 48(1), pages 9-36, February.
    9. Green, Carl & Long, Wei & Hsiao, Cheng, 2015. "Testing error serial correlation in fixed effects nonparametric panel data models," Journal of Econometrics, Elsevier, vol. 188(2), pages 466-473.
    10. Juan Rodriguez-Poo & Alexandra Soberón, 2015. "Differencing techniques in semi-parametric panel data varying coefficient models with fixed effects: a Monte Carlo study," Computational Statistics, Springer, vol. 30(3), pages 885-906, September.
    11. Chu, Chi-Yang & Henderson, Daniel J. & Parmeter, Christopher F., 2017. "On discrete Epanechnikov kernel functions," Computational Statistics & Data Analysis, Elsevier, vol. 116(C), pages 79-105.
    12. Wei, Honglei & Zhang, Hongfan & Jiang, Hui & Huang, Lei, 2022. "On the semi-varying coefficient dynamic panel data model with autocorrelated errors," Computational Statistics & Data Analysis, Elsevier, vol. 173(C).
    13. Yashar Tarverdi, 2018. "Aspects of Governance and $$\hbox {CO}_2$$ CO 2 Emissions: A Non-linear Panel Data Analysis," Environmental & Resource Economics, Springer;European Association of Environmental and Resource Economists, vol. 69(1), pages 167-194, January.
    14. Christis Katsouris, 2023. "Optimal Estimation Methodologies for Panel Data Regression Models," Papers 2311.03471, arXiv.org, revised Nov 2023.
    15. Li, Hongjun & Li, Qi & Liu, Ruixuan, 2016. "Consistent model specification tests based on k-nearest-neighbor estimation method," Journal of Econometrics, Elsevier, vol. 194(1), pages 187-202.

  15. Halbert White & Xun Lu, 2011. "Causal Diagrams for Treatment Effect Estimation with Application to Efficient Covariate Selection," The Review of Economics and Statistics, MIT Press, vol. 93(4), pages 1453-1459, November.

    Cited by:

    1. Persson, Emma & Häggström, Jenny & Waernbaum, Ingeborg & de Luna, Xavier, 2017. "Data-driven algorithms for dimension reduction in causal inference," Computational Statistics & Data Analysis, Elsevier, vol. 105(C), pages 280-292.
    2. Lu, Xun & White, Halbert, 2014. "Robustness checks and robustness tests in applied economics," Journal of Econometrics, Elsevier, vol. 178(P1), pages 194-206.
    3. Arno Parolini & Wei Wu Tan & Aron Shlonsky, 2019. "Decision-based models of the implementation of interventions in systems of healthcare: Implementation outcomes and intervention effectiveness in complex service environments," PLOS ONE, Public Library of Science, vol. 14(10), pages 1-17, October.
    4. Hoderlein, Stefan & Su, Liangjun & White, Halbert & Yang, Thomas Tao, 2016. "Testing for monotonicity in unobservables under unconfoundedness," Journal of Econometrics, Elsevier, vol. 193(1), pages 183-202.
    5. Deuchert, Eva & Huber, Martin, 2014. "A cautionary tale about control variables in IV estimation," Economics Working Paper Series 1439, University of St. Gallen, School of Economics and Political Science.
    6. Julian Schuessler & Peter Selb, 2025. "Graphical Causal Models for Survey Inference," Sociological Methods & Research, , vol. 54(1), pages 74-105, February.
    7. Farrell, Max H., 2015. "Robust inference on average treatment effects with possibly more covariates than observations," Journal of Econometrics, Elsevier, vol. 189(1), pages 1-23.
    8. Pingel, Ronnie & Waernbaum, Ingeborg, 2015. "Correlation and efficiency of propensity score-based estimators for average causal effects," Working Paper Series 2015:3, IFAU - Institute for Evaluation of Labour Market and Education Policy.
    9. Graevenitz, Georg von & Weber, Richard, 2011. "How to Educate Entrepreneurs?," Discussion Papers in Business Administration 12440, University of Munich, Munich School of Management.
    10. Ali Tafti & Galit Shmueli, 2020. "Beyond Overall Treatment Effects: Leveraging Covariates in Randomized Experiments Guided by Causal Structure," Information Systems Research, INFORMS, vol. 31(4), pages 1183-1199, December.
    11. Lu, Xun & White, Halbert, 2014. "Testing for separability in structural equations," Journal of Econometrics, Elsevier, vol. 182(1), pages 14-26.
    12. Lewbel, Arthur & Lu, Xun & Su, Liangjun, 2015. "Specification testing for transformation models with an application to generalized accelerated failure-time models," Journal of Econometrics, Elsevier, vol. 184(1), pages 81-96.
    13. Halbert White & Karim Chalak, 2013. "Identification and Identification Failure for Treatment Effects Using Structural Systems," Econometric Reviews, Taylor & Francis Journals, vol. 32(3), pages 273-317, November.
    14. Xun Lu, 2015. "A Covariate Selection Criterion for Estimation of Treatment Effects," Journal of Business & Economic Statistics, Taylor & Francis Journals, vol. 33(4), pages 506-522, October.

  16. Halbert White & Xun Lu, 2010. "Granger Causality and Dynamic Structural Systems," Journal of Financial Econometrics, Oxford University Press, vol. 8(2), pages 193-243, spring.

    Cited by:

    1. Matteo Iacopini & Dominique Guégan, 2018. "Nonparametric Forecasting of Multivariate Probability Density Functions," Working Papers 2018:15, Department of Economics, University of Venice "Ca' Foscari".
    2. Lu, Xun & White, Halbert, 2014. "Robustness checks and robustness tests in applied economics," Journal of Econometrics, Elsevier, vol. 178(P1), pages 194-206.
    3. Majid M. Al-Sadoon, 2015. "Testing Subspace Granger Causality," Working Papers 850, Barcelona School of Economics.
    4. Lorenzo Frattarolo & Dominique Guegan, 2013. "Empirical Projected Copula Process and Conditional Independence An Extended Version," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) halshs-00881185, HAL.
    5. Al-Sadoon, Majid M., 2014. "Geometric and long run aspects of Granger causality," Journal of Econometrics, Elsevier, vol. 178(P3), pages 558-568.
    6. Natera, Jose Miguel & Castellacci, Fulvio, 2021. "Transformational complexity, systemic complexity and economic development," Research Policy, Elsevier, vol. 50(7).
    7. Dominique Guegan & Matteo Iacopini, 2018. "Nonparametric forecasting of multivariate probability density functions," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) halshs-01821815, HAL.
    8. Kevin D. Hoover, 2020. "The Discovery of Long-Run Causal Order: A Preliminary Investigation," Econometrics, MDPI, vol. 8(3), pages 1-25, August.
    9. Davide Pettenuzzo & Halbert White, 2010. "Granger Causality, Exogeneity, Cointegration, and Economic Policy Analysis," Working Papers 36, Brandeis University, Department of Economics and International Business School.
    10. Toru Kitagawa & Weining Wang & Mengshan Xu, 2024. "Policy choice in time series by empirical welfare maximization," CeMMAP working papers 27/24, Institute for Fiscal Studies.
    11. Jean-Marie Dufour & Endong Wang, 2025. "Causal mechanism and mediation analysis for macroeconomics dynamics: a bridge of Granger and Sims causality," Papers 2509.05284, arXiv.org.
    12. Shahrier, Nur Ain & Anwer, Zaheer & Hassan, M. Kabir, 2023. "Do different streams of capital flows affect asset prices differently?," Global Finance Journal, Elsevier, vol. 57(C).
    13. Jacob Carlson & Neil Shephard, 2026. "When are time series predictions causal? The potential system and dynamic causal effects," Papers 2603.20394, arXiv.org.
    14. Lorenzo Frattarolo & Dominique Guegan, 2013. "Empirical Projected Copula Process and Conditional Independence An Extended Version," Post-Print halshs-00881185, HAL.
    15. Davide Viviano & Jelena Bradic, 2021. "Dynamic covariate balancing: estimating treatment effects over time with potential local projections," Papers 2103.01280, arXiv.org, revised Feb 2026.
    16. Timothy Armstrong & Martin Weidner & Andrei Zeleneev, 2024. "Robust estimation and inference in panels with interactive fixed effects," IFS Working Papers WCWP28/24, Institute for Fiscal Studies.
    17. Lu, Xun & White, Halbert, 2014. "Testing for separability in structural equations," Journal of Econometrics, Elsevier, vol. 182(1), pages 14-26.
    18. White, Halbert & Chalak, Karim, 2010. "Testing a conditional form of exogeneity," Economics Letters, Elsevier, vol. 109(2), pages 88-90, November.
    19. Majid M. Al-Sadoon, 2016. "The linear systems approach to linear rational expectations models," Economics Working Papers 1511, Department of Economics and Business, Universitat Pompeu Fabra.
    20. Matthieu Droumaguet & Anders Warne & Tomasz Wozniak, 2015. "Granger Causality and Regime Inference in Bayesian Markov-Switching VARs," Department of Economics - Working Papers Series 1191, The University of Melbourne.
    21. Ashesh Rambachan & Neil Shephard, 2019. "When do common time series estimands have nonparametric causal meaning?," Papers 1903.01637, arXiv.org, revised Jan 2025.
    22. Blake LeBaron, 2013. "Heterogeneous Agents and Long Horizon Features of Asset Prices," Working Papers 63, Brandeis University, Department of Economics and International Business School, revised Sep 2013.
    23. Brian J. Reich & Shu Yang & Yawen Guan & Andrew B. Giffin & Matthew J. Miller & Ana Rappold, 2021. "A Review of Spatial Causal Inference Methods for Environmental and Epidemiological Applications," International Statistical Review, International Statistical Institute, vol. 89(3), pages 605-634, December.
    24. Wilde Joachim, 2015. "How Large are the Effects of Simultaneity on Testing Granger Causality?," Journal of Economics and Statistics (Jahrbuecher fuer Nationaloekonomie und Statistik), De Gruyter, vol. 235(3), pages 320-328, June.
    25. Dominique Guegan & Matteo Iacopini, 2018. "Nonparametric forecasting of multivariate probability density functions," Post-Print halshs-01821815, HAL.
    26. Dominique Guegan & Matteo Iacopini, 2018. "Nonparameteric forecasting of multivariate probability density functions," Documents de travail du Centre d'Economie de la Sorbonne 18012, Université Panthéon-Sorbonne (Paris 1), Centre d'Economie de la Sorbonne.
    27. Pretis, Felix, 2021. "Exogeneity in climate econometrics," Energy Economics, Elsevier, vol. 96(C).

  17. Xun Lu & Dietrich Fausten & Russell Smyth, 2007. "Financial Development, Capital Accumulation and Productivity Improvement: Evidence from China," Journal of Chinese Economic and Business Studies, Taylor & Francis Journals, vol. 5(3), pages 227-242.
    See citations under working paper version above.
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