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Inferences for a partially varying coefficient model with endogenous regressors

Cai, Zongwu; Fang, Ying; Lin, Ming; Su, Jia - In: Journal of business & economic statistics : JBES ; a … 37 (2019) 1, pp. 158-170

Persistent link: https://www.econbiz.de/10012176567

Inferences for partially conditional quantile treatment effect model

Cai, Zongwu; Fang, Ying; Lin, Ming; Tang, Shengfang - 2020

Persistent link: https://www.econbiz.de/10012203152

A New Robust Inference for Predictive Quantile Regression

Cai, Zongwu - 2020

For predictive quantile regressions with highly persistent regressors, a conventional test statistic suffers from a serious size distortion and its limiting distribution relies on the unknown persistence degree of predictors. This paper proposes a double-weighted approach to offer a robust...

Persistent link: https://www.econbiz.de/10012834922

A semiparametric conditional capital asset pricing model

Cai, Zongwu; Ren, Yu; Yang, Bingduo - In: Journal of banking & finance 61 (2015), pp. 117-126

Persistent link: https://www.econbiz.de/10011545159

Testing instability in a predictive regression model with nonstationary regressors

Cai, Zongwu; Wang, Yunfei; Wang, Yonggang - In: Econometric theory 31 (2015) 5, pp. 953-980

Persistent link: https://www.econbiz.de/10011545495

Semiparametric estimation of partially varying-coefficient dynamic panel data models

Cai, Zongwu; Chen, Linna; Fang, Ying - In: Econometric reviews 34 (2015) 6/10, pp. 695-719

Persistent link: https://www.econbiz.de/10011483372

Optimal smoothing in nonparametric conditional quantile derivative function estimation

Lin, Wei; Cai, Zongwu; Li, Zheng; Su, Li - In: Journal of econometrics 188 (2015) 2, pp. 502-513

Persistent link: https://www.econbiz.de/10011503661

Functional index coefficient models with variable selection

Cai, Zongwu; Juhl, Ted; Yang, Bingduo - In: Journal of econometrics 189 (2015) 2, pp. 272-284

Persistent link: https://www.econbiz.de/10011504526

The estimation for Lévy processes in high frequency data

Zheng, Jing; Gu, Wentao; Xu, Baolin; Cai, Zongwu - In: Econometric reviews 37 (2018) 6/10, pp. 1051-1066

Persistent link: https://www.econbiz.de/10012040536

A semiparametric quantile panel data model with an application to estimating the growth effect of FDI

Cai, Zongwu; Chen, Linna; Fang, Ying - In: Journal of econometrics 206 (2018) 2, pp. 531-553

Persistent link: https://www.econbiz.de/10012110412