This paper proposes a new mutual independence test for a large number of high dimensional random vectors. The test statistic is based on the characteristic function of the empirical spectral distribution of the sample covariance matrix. The asymptotic distributions of the test statistic under...

Capturing dependence among a large number of high dimensional random vectors is a very important and challenging problem. By arranging n random vectors of length p in the form of a matrix, we develop a linear spectral statistic of the constructed matrix to test whether the n random vectors are...

We investigate some estimation and testing issues for a class of high-dimensional near unit root time series models. We first study the asymptotic behavior of the first k largest eigenvalues of the sample covariance matrices of the time series model. Then we propose a new estimator for the...

We propose an estimation methodology for a semiparametric quantile factor panel model. We provide tools for inference that are robust to the existence of moments and to the form of weak cross-sectional dependence in the idiosyncratic error term. We apply our method to CRSP daily data

This paper proposes a new near-unit root test for a class of high-dimensional nonstationary time series. A central limit theorem for the proposed test is proposed and then evaluated by an extensive simulation study

Accurate estimation for extent of cross-sectional dependence in large panel data analysis is paramount to further statistical analysis on the data under study. Grouping more data with weak relations (cross--sectional dependence) together often results in less efficient dimension reduction and...

This paper establishes asymptotic properties for spiked empirical eigenvalues of sample co- variance matrices for high-dimensional data with both cross-sectional dependence and a dependent sample structure. A new finding from the established theoretical results is that spiked empirical...

This paper develops a time-varying coefficient spatial autoregressive panel data model with the individual fixed effects to capture the nonlinear effects of the regressors, which vary over the time. To effectively estimate the model, we propose a method that incorporates the nonparametric local...

This paper proposes a new unit-root test for the case where a high-dimensional vector of nonstationary time series is considered. A new CLT is being established and studied both theoretically and numerically

This paper considers modeling and detecting structure breaks associated with cross-sectional dependence for large dimensional panel data models, which are popular in many fields including economics and finance. We propose a dynamic factor structure to measure the degree of cross-sectional...