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Nonparametric predictive regressions for stock return brediction

Cheng, Tingting; Gao, Jiti; Linton, Oliver - 2019

Persistent link: https://www.econbiz.de/10012698837

Semiparametric single-index predictive regression

Zhou, Weilun; Gao, Jiti; Harris, David; Kew, Hsein - 2019

Persistent link: https://www.econbiz.de/10012703312

Spline regression in the presence of categorical predictors

Ma, Shujie; Racine, Jeffrey; Yang, Lijian - 2012

Persistent link: https://www.econbiz.de/10009612417

Kernel-based Inference in Time-Varying Coefficient Cointegrating Regression

Li, Degui; Phillips, Peter C. B.; Gao, Jiti - In: Journal of econometrics 215 (2020) 2, pp. 607-632

Persistent link: https://www.econbiz.de/10012439572

Nonparametric predictive regressions for stock return prediction

Cheng, Tingting; Gao, Jiti; Linton, Oliver - 2019

Persistent link: https://www.econbiz.de/10012592220

Parameter stability testing for multivariate dynamic time-varying models

Gao, Jiti; Peng, Bin; Yan, Yayi - 2021

Persistent link: https://www.econbiz.de/10012668893

Semiparametric single-index predictive regression

Zhou, Weilun; Gao, Jiti; Harris, David; Kew, Hsein - 2019

Persistent link: https://www.econbiz.de/10012606715

Expansion and estimation of Lévy process functionals in nonlinear and nonstationary time series regression

Dong, Chaohua; Gao, Jiti - In: Econometric reviews 38 (2019) 2, pp. 125-150

Persistent link: https://www.econbiz.de/10012180710

On endogeneity and shape invariance in extended partially linear single index models

Gao, Jiti; Kim, Namhyun; Saart, Patrick W. - In: Econometric reviews 39 (2020) 4, pp. 415-435

Persistent link: https://www.econbiz.de/10012181434

Specification Testing in Parametric Trending Models with Unknown Errors

Gao, Jiti; King, Maxwell - In: Essays in honor of Peter C.B. Phillips, (pp. 151-202). 2014

This paper considers a class of parametric models with nonparametric autoregressive errors. A new test is established and studied to deal with the parametric specification of the nonparametric autoregressive errors with either stationarity or nonstationarity. Such a test procedure can initially...

Persistent link: https://www.econbiz.de/10015369574