Zhonghao Fu 付中昊

School of Economics, Fudan University

Zhonghao Fu

Welcome

Welcome to Zhonghao’s site!

I am an Associate Professor (with tenure) in the School of Economics at Fudan University and a Research Fellow at the Shanghai Institute of International Finance and Economics (SIIFE). My research interests span econometric theory, time series analysis, financial econometrics, and empirical macroeconomics.

Research Interests

  • Econometric theory
  • Time series analysis
  • Financial econometrics
  • Empirical macroeconomics

Contact Information

Publications

  1. Estimating and testing multiple structural breaks in nonparametric regressions
    with Yiqiu Cao, Yongmiao Hong, Xia Wang, and Xiongtong Zhang. Forthcoming in Journal of Time Series Analysis.
  2. Distinguishing time-varying factor models
    with Liangjun Su and Xia Wang, Journal of Business and Economic Statistics, Vol. 43, Issue 3, (2025), 508–519.
  3. Testing for strict stationarity via discrete Fourier transform
    with Shang Gao, Liangjun Su and Xia Wang, Econometric Theory, Vol. 40, Issue 3, (2024), 511–557.
  4. Estimation and inference on TV-FAVAR models
    with Liangjun Su and Xia Wang, Journal of Business and Economic Statistics, Vol. 42, Issue 2, (2024), 533–547.
  5. Specification tests for time-varying coefficient models
    with Yongmiao Hong, Liangjun Su and Xia Wang, Journal of Econometrics, Vol. 235, Issue 2, (2023), 720–744.
  6. Testing for structural changes in large dimensional factor models via discrete Fourier transform
    with Yongmiao Hong and Xia Wang, Journal of Econometrics, Vol. 233, Issue 1, (2023), 302–331.
  7. On multiple structural breaks in distribution: An empirical characteristic function approach
    with Yongmiao Hong and Xia Wang, Econometric Theory, Vol. 39, Issue 3, (2023), 534–581.
  8. A model-free consistent test for structural change in regression possibly with endogeneity
    with Yongmiao Hong, Journal of Econometrics, Vol. 211, Issue 1, (2019), 206–242.

中文期刊

  1. 基于非参数回归的金融传染检验
    王霞，付中昊，洪永淼，张冬月， 《系统工程理论与实践》， 2020年6月，第40卷第6期，1398–1418。

Working Papers

  1. “High dimensional conditional factor models,” with Shang Gao, Liangjun Su and Xia Wang, submitted.
  2. “Estimation and inference on state-varying FAVAR models,” with Shang Gao, Liangjun Su and Xia Wang, submitted.
  3. “Testing for Structural Changes in Panel Data Models with Interactive Fixed Effects via Discrete Fourier Transform,” with Yifei Fang, Song Han, Xia Wang and Ziran Zhao, submitted.
  4. “Consistent testing for structural changes in time series models via discrete Fourier transform,” with Yongmiao Hong and Xia Wang. (pdf)
  5. “Addressing parameter instability in latent factor models: A combined DFT-based test,” with Yixuan Wang and Xia Wang. (pdf)
  6. “Monitoring structural changes in large-dimensional factor models,” with Xia Wang. (to be updated)

Work in Progress

  1. “Distinguishing smooth structural changes from abrupt structural breaks.”
  2. “Testing for structural changes in panel data models via discrete Fourier transform.”
  3. “Program evaluation with time-varying effects.”
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