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User profiles for author:"Ke-Li Xu"

Ke-Li XU

Texas A&M University, Department of Economics
Verified email at econmail.tamu.edu
Cited by 153

Inference in autoregression under heteroskedasticity

[PDF] from smu.edu.sg
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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 ...
Cited by 24 - Related articles - BL Direct - All 28 versions

Adaptive estimation of autoregressive models with time-varying variances

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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 ...
Cited by 22 - Related articles - All 41 versions

Bootstrapping Autoregression under Non‐stationary Volatility

[PDF] from tamu.edu
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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 ...
Cited by 12 - Related articles - All 18 versions

Empirical likelihood-based inference for nonparametric recurrent diffusions

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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 ...
Cited by 7 - Related articles - All 6 versions

Reweighted Functional Estimation Of Diffusion Models

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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 ...
Cited by 6 - Related articles - All 6 versions

Tilted nonparametric estimation of volatility functions with empirical applications

[PDF] from amstat.org
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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 ...
Cited by 4 - Related articles - All 19 versions

Empirical likelihood for regression discontinuity design

[PDF] from yale.edu
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 ...
Cited by 4 - Related articles - All 11 versions

[PDF] Bootstrapping autoregression under nonstationary volatility

[PDF] from res.org.uk
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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 ...
Cited by 4 - Related articles - View as HTML - All 2 versions

Robustifying multivariate trend tests to nonstationary volatility

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 ...
Cited by 2 - Related articles - Get it from MIT Libraries - All 3 versions

Testing against nonstationary volatility in time series

Full text - MIT Libraries
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 ...
Related articles - All 5 versions

Tilted Nonparametric Estimation of Volatility Functions with Empirical Applications, 2nd Version

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 ...
Related articles

The Influence of EXPO 2010 Shanghai China on the Talent Flows in Shanghai

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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