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Publications

  1. "Distinguishing time-varying factor models," (2024), with Liangjun Su, and Xia Wang, Journal of Business & Economic Statistics, forthcoming.

  2. "Testing for strict stationarity via discrete Fourier transform," (2024), with Shang Gao, Liangjun Su, and Xia Wang, Econometric Theory, 40(3), 511–557.

  3. "Estimation and inference on TV-FAVAR models," (2024), with Liangjun Su, and Xia Wang,  Journal of Business & Economic Statistics, 42(2), 533–547.

  4. "Specification tests for time-varying coefficient models," (2023), with Yongmiao Hong, Liangjun Su, and Xia Wang, Journal of Econometrics, 235(2), 720–744.

  5. "Testing for structural changes in large dimensional factor models via discrete Fourier transform," (2023), with Yongmiao Hong, and Xia Wang, Journal of Econometrics, 233(1), 302-331.

  6. "On multiple structural breaks in distribution: An empirical characteristic function approach," (2022), with Yongmiao Hong, and Xia Wang, Econometric Theory, 39(3), 534–581. 

  7. "A model-free consistent test for structural change in regression possibly with endogeneity," (2019), with Yongmiao Hong, Journal of Econometrics, 211(1), 206–242.​

Working Papers

  1. "High dimensional conditional factor models," with Shang Gao, Liangjun Su, and Xia Wang, submitted (pdf)

  2. "Consistent testing for structural changes in time series models via discrete Fourier transform," with Yongmiao Hong, and Xia Wang, submitted. (pdf)

  3. "Estimating and testing multiple structural breaks in nonparametric regressions," with Yiqiu Cao, Xia Wang, and Xingtong Zhang, submitted. (pdf)

  4. "Monitoring structural changes in large-dimensional factor models," with Xia Wang. (To be updated)

  5. "Estimation and inference on state-varying FAVAR models," with Shang Gao, and Xia Wang. (To be updated)

  6. "Addressing Parameter Instability in Latent Factor Models: A Combined DFT-Based Test", with Yixuan Wang, and 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. "Testing for structural changes in panel data models with interactive fixed effects."

  4. "Program evaluation with time-varying effects."

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