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Measuring correlations of integrated but not cointegrated variables : a semiparametric approach

Sun, Yiguo; Hsiao, Cheng; Li, Qi - In: Journal of econometrics 164 (2011) 2, pp. 252-267

Persistent link: https://www.econbiz.de/10009301926

Panel data estimation for correlated random coefficients models

Hsiao, Cheng; Li, Qi; Liang, Zhongwen; Xie, Wei - In: Econometrics : open access journal 7 (2019) 1/7, pp. 1-18

estimator, we show that when T is large, a generalized least squares estimator that ignores the correlation between the … the known correlation pattern, we derive the asymptotic properties of panel least squares estimators. Simulations are used …

Persistent link: https://www.econbiz.de/10012025649

Comovement of home prices : a conditional copula approach

Hou, Lei; Long, Wei; Li, Qi - In: Annals of economics and finance 20 (2019) 1, pp. 297-318

Persistent link: https://www.econbiz.de/10012110498

Multivariate models of commodity futures markets : a dynamic copula approach

Chen, Sihong; Li, Qi; Wang, Qiaoyu; Zhang, Yu Yvette - In: Empirical economics : a quarterly journal of the … 64 (2023) 6, pp. 3037-3057

Persistent link: https://www.econbiz.de/10014329023

Central limit theorem for degenerate U-statistics of absolutely regular processes with applications to model specification testing

Fan, Yanqin; Li, Qi - 1996

Persistent link: https://www.econbiz.de/10000961590

Fiscal policy and asset markets : a semiparametric analysis

Jansen, Dennis W.; Li, Qi; Wang, Zijun; Yang, Jian - In: Journal of econometrics 147 (2008) 1, pp. 141-150

Persistent link: https://www.econbiz.de/10003783794

Nonparametric estimation of conditional CDF and quantile functions with mixed categorical and continuous data

Li, Qi; Racine, Jeffrey - In: Journal of business & economic statistics : JBES ; a … 26 (2008) 4, pp. 423-434

Persistent link: https://www.econbiz.de/10003772273

Cross-validation and the estimation of conditional probability densities

Hall, Peter; Racine, Jeffrey; Li, Qi - In: Journal of the American Statistical Association : JASA 99 (2004) 468, pp. 1015-1026

Persistent link: https://www.econbiz.de/10002506601

Functional-coefficient models for nonstationary time series data

Cai, Zongwu; Li, Qi; Park, Joon Y. - In: Journal of econometrics 148 (2009) 2, pp. 101-113

Persistent link: https://www.econbiz.de/10003833742

Efficient estimation of average treatment effects with mixed categorical and continuous data

Li, Qi; Racine, Jeffrey; Wooldridge, Jeffrey M. - In: Journal of business & economic statistics : JBES ; a … 27 (2009) 2, pp. 206-223

Persistent link: https://www.econbiz.de/10003885782

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