 | Texas A&M University, Department of Economics Verified email at econmail.tamu.edu Cited by 153 |
PCB Phillips… - Journal of Time Series Analysis, 2006 - Wiley Online Library
Abstract. A scalar pth-order autoregression (AR (p)) is considered with heteroskedasticity of
the unknown form delivered by a transition function of time. A limit theory is developed and
three heteroskedasticity-robust test statistics are proposed for inference, one of which is ...
KL Xu… - Journal of Econometrics, 2008 - Elsevier
Stable autoregressive models are considered with martingale differences errors scaled by
an unknown nonparametric time-varying function generating heterogeneity. An important
special case involves structural change in the error variance, but in most practical cases ...
KL Xu - The Econometrics Journal, 2008 - Wiley Online Library
Summary This paper studies robust inference in autoregression around a polynomial trend
with stable autoregressive roots under non-stationary volatility. The formulation of the
volatility process is quite general including many existing deterministic and stochastic non ...
KL Xu - Journal of Econometrics, 2009 - Elsevier
This paper provides a new approach to constructing confidence intervals for nonparametric
drift and diffusion functions in the continuous-time diffusion model via empirical likelihood
(EL). The log EL ratios are constructed through the estimating equations satisfied by the ...
KL Xu - Econometric Theory, 2010 - Cambridge Univ Press
Abstract The local linear method is popular in estimating nonparametric continuous-time
diffusion models, but it may produce negative results for the diffusion (or volatility) functions
and thus lead to insensible inference. We demonstrate this using US interest rate data. We ...
KL Xu… - Journal of Business & Economic Statistics, 2011 - Taylor & Francis
This article proposes a novel positive nonparametric estimator of the conditional variance
function without reliance on logarithmic or other transformations. The estimator is based on
an empirical likelihood modification of conventional local-level nonparametric regression ...
T Otsu… - Cowles Foundation Discussion Paper No. 1799, 2011 - papers.ssrn.com
Abstract: This paper proposes empirical likelihood based inference methods for causal
effects identified from regression discontinuity designs. We consider both the sharp and
fuzzy regression discontinuity designs and treat the regression functions as nonparametric ...
KL Xu - Econometrics Journal, 2007 - res.org.uk
Summary This article studies robust inference in autoregression around a polynomial trend
with stable autoregressive roots under nonstationary volatility. The formulation of the
volatility process is quite general including many existing deterministic and stochastic ...
KL Xu - Journal of Econometrics, 2012 - Elsevier
Abstract This article studies inference of multivariate trend model when the volatility process
is nonstationary. Within a quite general framework we analyze four classes of tests based on
least squares estimation, one of which is robust to both weak serial correlation and ...
KL Xu - Economics Letters, 2008 - Elsevier
The CUSUMSQ test of homoskedasticity is shown in the autoregression model to be
consistent against a broad range of nonstationary volatility specification recently studied in
the literature. The limit distribution is derived, and numerical examples are presented to ...
KL Xu… - 2009 - papers.ssrn.com
Abstract: This paper proposes a novel positive nonparametric estimator of the conditional
variance function without reliance on logarithmic or other transformations. The estimator is
based on an empirical likelihood modification of conventional local level nonparametric ...
XU Ke-li - Journal of Hengyang Normal University, 2007 - en.cnki.com.cn
Known as the" economic, technological and cultural Olympic Games", the world Exposition
is an arena for the participating countries to display the achievements and prospects in their
social, economic, cultural and technological sectors. EXPO 2010 Shanghai China will ...
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