Y Fan… - Econometrica: Journal of the Econometric Society, 1996 - JSTOR
In this paper, we develop several consistent tests in the context of a nonparametric
regression model. These include tests for the significance of a subset of regressors and tests
for the specification of the semiparametric functional form of the regression function, where ...
S Darolles, Y Fan, JP Florens… - 2010 - papers.ssrn.com
Abstract: The focus of the paper is the nonparametric estimation of an instrumental
regression function f defined by conditional moment restrictions stemming from a structural
econometric model: E [Yf (Z)| W]= 0, and involving endogenous variables Y and Z and ...
X Chen… - Journal of Econometrics, 2006 - Elsevier
This paper studies the estimation of a class of copula-based semiparametric stationary
Markov models. These models are characterized by nonparametric marginal distributions
and parametric copula functions, while the copulas capture all the scale-free temporal ...
X Chen… - Journal of Econometrics, 2006 - Elsevier
We introduce a new class of semiparametric copula-based multivariate dynamic (SCOMDY)
models, which specify the conditional mean and the conditional variance of a multivariate
time series parametrically, but specify the multivariate distribution of the standardized ...
Y Fan - Econometric Theory, 1994 - Cambridge Univ Press
Let Fdenote a distribution function defined on the probability space (Q, T, P), which is
absolutely continuous with respect to the Lebesgue measure in Rd with probability density
function/. Let/0 (•,/?) be a parametric density function that depends on an unknown px 1 ...
X Chen, Y Fan… - … Markets Group Working Paper No. 483, 2004 - papers.ssrn.com
Abstract: Evidence that asset returns are more highly correlated during volatile markets and
during market downturns (see Longin and Solnik, 2001, and Ang and Chen, 2002) has lead
some researchers to propose alternative models of dependence. In this paper we develop ...
X Chen, Y Fan… - Journal of the American Statistical Association, 2006 - ASA
We propose a sieve maximum likelihood estimation procedure for a broad class of
semiparametric multivariate distributions. A joint distribution in this class is characterized by
a parametric copula function evaluated at nonparametric marginal distributions. This class ...
Y Fan… - Journal of Nonparametric Statistics, 1999 - Taylor & Francis
In this paper, we extend some existing goodness-of-fit tests for independent observations
using kernel method to tests for weakly dependent processes. The tests considered
include:(i) a two sample goodness-of-fit test;(ii) a symmetry test; and (iii) a test for the ...
X Chen… - Canadian Journal of Statistics, 2005 - Wiley Online Library
Abstract The authors propose pseudo-likelihood ratio tests for selecting semiparametric
multivariate copula models in which the marginal distributions are unspecified, but the
copula function is parameterized and can be misspecified. For the comparison of two ...
Y Fan… - Econometric Theory, 2000 - JSTOR
We point out the close relationship between the integrated conditional moment tests in
Bierens (1982," Journal of Econometrics" 20, 105-134) and Bierens and Ploberger (1997,"
Econometrica" 65, 1129-1152) with the complex-valued exponential weight function and ...
Y Fan, Q Li… - Journal of Business & Economic Statistics, 1996 - JSTOR
This article extends the linear stochastic frontier model proposed by Aigner, Lovell, and
Schmidt to a semiparametric frontier model in which the functional form of the production
frontier is unspecified and the distributions of the composite error terms are of known form. ...
X Chen… - Journal of Econometrics, 1999 - Elsevier
In this paper we modify the general hypothesis studied by Robinson (1989) for semi-
/nonparametric time-series models, and present a consistent testing procedure for the
modified hypothesis. As examples, we provide consistent tests for the portfolio conditional ...
Y Fan… - Journal of Statistical Planning and Inference, 2003 - Elsevier
We provide higher-order approximations for a smoothing-based model specification test. We
derive the asymptotic cumulants and give the formal Edgeworth distributional approximation
valid to a third order. We also prove the validity of the expansion in a special case where ...
Y Fan - Econometric Theory, 1998 - Cambridge Univ Press
In this paper, we study the bias-corrected test developed in Fan~ 1994!+ It is based on the
integrated squared difference between a kernel estimator of the unknown density function of
a random vector and a kernel smoothed estimator of the parametric density function to be ...
Y Fan - Econometric Reviews, 1995 - Taylor & Francis
In this paper, we employ the parametric bootstrap to approximate the finite sample
distribution of a goodness-of-fit test statistic in Fan (1994). We show that the proposed
bootstrap procedure works in that the bootstrap distribution conditional on the random ...
F Yanqin… - Economics Letters, 1995 - Elsevier
We propose a bootstrap procedure to approximate the finite sample distributions of the J and
the JA test statistics. The proposed method also overcomes the problem of the substantial
size distortion of the J test when the regressors are near orthogonal.
Y Fan… - Journal of Nonparametric Statistics, 1999 - Taylor & Francis
... Tel.: (519) 253-4232, ext 2383; Fax: (519) 973-7096; e-mail: fan1 @uwindsor.ca Page 2. 252
YANQIN FAN AND QI LI where y is a p x 1 vector of unknown parameters, Q(.) is an unknown
function on Rq, and the prime denotes transposition. ... Page 4. 254 YANQIN FAN AND QI LI ...
Y Fan - Journal of Multivariate Analysis, 1997 - Elsevier
In this paper, we take the characteristic function approach to goodness-of-fit tests. It has
several advantages over existing methods: First, unlike the popular comparison density
function approach suggested in Parzen (1979), our approach is applicable to both ...
Y Fan… - Journal of the American Statistical Association, 1995 - JSTOR
This article proposes a consistent nonparametric test of the hypothesis that the disturbance
in a linear regression model is distributed symmetrically around zero. Simulation results
show that the test has good size and power properties for sample sizes as small as 50. We ...
Y Fan… - Econometric Theory, 2010 - Cambridge Univ Press
In this paper, we propose nonparametric estimators of sharp bounds on the distribution of
treatment effects of a binary treatment and establish their asymptotic distributions. We note
the possible failure of the standard bootstrap with the same sample size and apply the ...
X Chen… - Finance Research Letters, 2004 - Elsevier
In this paper, we develop a general approach for constructing simple tests for the correct
density forecasts, or equivalently, for iid uniformity of appropriately transformed random
variables. It is based on nesting a series of iid uniform random variables into a class of ...
[CITATION] Simple tests for models of dependence between multiple financial time series, with applications to US equity returns and exchange rates
X Chen, Y Fan… - Manuscript, New York University, Vanderbilt University …, 2003
Y Fan… - Economics Letters, 1997 - Elsevier
We propose a simple nonparametric test for a linear AR (p) model against a general
nonparametric AR (p) alternative. The asymptotic distribution of the test statistic under the
null hypothesis of linearity is shown to be the standard normal. In addition, we show that ...
Y Fan… - Advances in Econometrics, 2009 - emeraldinsight.com
ABSTRACT In this paper, we study partial identification of the distribution of treatment effects
of a binary treatment for ideal randomized experiments, ideal randomized experiments with
a known value of a dependence measure, and for data satisfying the selection-on- ...
S Darolles, Y Fan, JP Florens… - Econometrica, 2011 - Wiley Online Library
The focus of this paper is the nonparametric estimation of an instrumental regression
function ϕ defined by conditional moment restrictions that stem from a structural econometric
model E [Y− ϕ (Z)| W]= 0, and involve endogenous variables Y and Z and instruments W. ...
Y Fan… - Review of Economic Studies, 2010 - Wiley Online Library
In this paper, we establish sharp bounds on the joint distribution of potential outcomes and
the distribution of treatment effects in parametric switching regime models with normal mean-
variance mixture errors and in the semi-parametric switching regime models of Heckman ( ...
NH Chan, J Chen, X Chen, Y Fan… - Statistica Sinica, 2010 - stat.sinica.edu.tw
Abstract: Recently a flexible class of semiparametric copula-based multivariate GARCH
models has been proposed to quantify multivariate risks, in which univariate GARCH models
are used to capture the dynamics of individual financial series, and parametric copulas ...
Y Fan… - Econometric Theory, 2010 - Cambridge Univ Press
This paper develops a wavelet (spectral) approach to testing the presence of a unit root in a
stochastic process. The wavelet approach is appealing, since it is based directly on the
different behavior of the spectra of a unit root process and that of a short memory ...
Y Fan… - Econometric Reviews, 2002 - Taylor & Francis
ABSTRACT This paper constructs a consistent model specification test based on the
difference between the nonparametric kernel sum of squares of residuals and the sum of
squares of residuals from a parametric null model. We establish the asymptotic normality ...
Y Fan - Journaltitle of Nonparametric Statistics, 1995 - Taylor & Francis
In this paper, we extend the density-weighted average derivative estimation of Powell et al.
to allow for measurement error without relying on the existence of instrumental variables as
in Lewbel. This is made possible by using the deconvolution technique of Stefanski and ...
X Chen… - Econometric Theory, 2007 - Cambridge Univ Press
Abstract In this paper, we address two important issues in semiparametric survival model
selection for censored data generated by the Archimedean copula family: method of
estimating the parametric copulas and data reuse. We demonstrate that for selection ...
Y Fan… - Canadian Econometric Study Group Meeting, McGill …, 2006 - sfu.ca
Abstract This paper develops a wavelet (spectral) approach to test the presence of a unit
root in a stochastic process. The wavelet approach is appealing, since it is based directly on
the different behavior of the spectra of a unit root process and that of a short memory ...
[CITATION] Semiparametric estimation of copula-based time series models
X Chen… - Manuscript, Department of Economics, New York …, 2002
Y Fan… - Manuscript, Vanderbilt University, 2008 - unc.edu
Abstract We explore the partial identification and inference for the quantile function of the
treatment effects for randomized experiments. This paper makes several contributions to the
treatment effect literature. First, we provide nonparametric estimators of sharp bounds on ...
Y Fan, Q Li… - Econometric Theory, 2006 - Cambridge Univ Press
Abstract This paper proposes a bootstrap test for the correct specification of parametric
conditional distributions. It extends Zheng's test (Zheng, 2000, Econometric Theory 16, 667–
691) to allow for discrete dependent variables and for mixed discrete and continuous ...
Y Fan… - Econometric Theory, 2000 - Cambridge Univ Press
Abstract We point out the close relationship between the integrated conditional moment tests
in Bierens (1982, Journal of Econometrics 20, 105–134) and Bierens and Ploberger (1997,
Econometrica 65, 1129–1152) with the complex-valued exponential weight function and ...
A Patton, Y Fan… - Working Papers, 2004 - ideas.repec.org
If you experience problems downloading a file, check if you have the proper application to
view it first. Information about this may be contained in the File-Format links below. In case of
further problems read the IDEAS help page. Note that these files are not on the IDEAS site ...
Z Cai, X Chen, Y Fan… - … , University of North Carolina at Charlotte, …, 2008 - Citeseer
A fundamental issue of applying copula method in applications is how to choose an
appropriate copula function. In this article we address this issue by proposing a new copula
selection approach via penalized likelihood. The proposed method selects the ...
Y Fan… - Annals of Economics and Finance, 2001 - aeconf.net
This paper develops a consistent test for the correct hazard rate specification within the
context of random right hand censoring of the dependent variable. The test is based on
comparing a parametric estimate with a kernel estimate of the hazard rate. We establish ...
R Gencay… - 2008 - papers.ssrn.com
Abstract: This paper develops a wavelet (spectral) approach to test the presence of a unit
root in a stochastic process. The wavelet approach is appealing, since it is based directly on
the different behavior of the spectra of a unit root process and that of a short memory ...
Y Fan… - Journal of Econometrics, 2011 - Elsevier
In this paper, we explore partial identification and inference for the quantile of treatment
effects for randomized experiments. First, we propose nonparametric estimators of sharp
bounds on the quantile of treatment effects and establish their asymptotic properties under ...
F Yanqin… - JOURNAL OF HENAN URBAN …, 1999 - en.cnki.com.cn
The essay analyze the student's social occupation, knowledge, age learning psychology
and preference of profession. And the education should aim at practical, face to real
production. It should start with re formation of teaching program, contents, approaches and ...
[CITATION] A simple test for a parametric single index model
Y Fan… - Journal of Quantitative Economics, 1997 - THE INDIAN ECONOMETRIC …
Y Fan… - Econometric Society 2004 Far Eastern Meetings, 2004 - ideas.repec.org
This paper studies the estimation of a class of copula-based semiparametric stationary
Markov models. These models are characterized by nonparametric invariant (or marginal)
distributions and parametric copula functions that capture the temporal dependence of the ...
X Chen, Y Fan, D Pouzo… - Journal of Econometrics, 2010 - Elsevier
We study estimation and model selection of semiparametric models of multivariate survival
functions for censored data, which are characterized by possibly misspecified parametric
copulas and nonparametric marginal survivals. We obtain the consistency and root-n ...
Y Fan, D Li… - Applied Economics, 2004 - Taylor & Francis
Research in empirical health economics has found that the relationship between medical
expenditures and age, income and other variables can be highly nonlinear. Moreover, men
and women can have quite different medical expenditure patterns due to their differences ...
Y Fan, M Gentry… - Journal of Econometrics, 2011 - Elsevier
In this paper, we propose a new class of asymptotically efficient estimators for moment
condition models. These estimators share the same higher order bias properties as the
generalized empirical likelihood estimators and once bias corrected, have the same ...
Y Fan - Encyclopedia of Quantitative Finance - Wiley Online Library
4. Conclusion The knowledge of the multivariate (conditional) distribution (especially fat
tails, asymmetry, positive or negative dependence) is essential in many important financial
applications, including portfolio selection, option pricing, asset pricing models, Value-at- ...
Y Fan… - stat.sinica.edu.tw
Introduction¡ n£¢ une 26, 200¥¤, governors of the G-10 central banks endorsed the
publication of the revised capital accord, known as § ¦ asel II, in which the¦ asel Committee
requires banks to adopt a more holistic approach that focuses on the interaction between ...
PX Song, Y Fan… - 2003 - biostats.bepress.com
Abstract This paper presents and examines a new algorithm for solving a score equation for
the maximum likelyhood estimate in certain problems of practical interest. The method
circumvents the need to compute second order derivaties of the full likelihood function. It ...
SS Park… - Economics, Management, and Financial Markets, 2010 - unc.edu
Abstract In this paper, we first re&visit the inference problem for interval identified
parameters orig& inally studied in Imbens and Manski (2004) and later extended in Stoye
(2007). We take the general criterion function approach and establish a new confidence ...
Y Fan… - Economics Letters, 2012 - Elsevier
Abstract In this paper, we supplement the identification results for the mean treatment effect
for the treated in the difference-in-differences framework studied by Abadie (2005) by
establishing partial identification results for the distribution and quantile of the ...
Y Fan - 1990 - en.scientificcommons.org
Publication View. 34975672. Seemingly unrelated essays in econometrics : functions of mixing
processes, nonparametric estimation and cointegration. (1990). Fan, Yanqin. Abstract. Thesis
(Ph. D.)--University of Western Ontario, 1990.. 2 negative fiche. Publication details. ...
Y Fan, X Chen… - FMG Discussion Papers, 2004 - ideas.repec.org
Evidence that asset returns are more highly correlated during volatile markets and during
market downturns (see Longin and Solnik, 2001, and Ang and Chen, 2002) has lead some
researchers to propose alternative models of dependence. In this paper we develop two ...
F Yanqin - Journal of Fujian Commercial College, 2007 - en.cnki.com.cn
Practical writing plays an important part in our daily work and lives.Some views
are given in the article on how to carry out practical writing teaching to make
more and more people have a good command of it.
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