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Nonparametric testing for anomaly effects in empirical asset pricing models

Jin, Sainan; Su, Liangjun; Zhang, Yonghui - In: Empirical economics : a journal of the Institute for … 48 (2015) 1, pp. 9-36

Persistent link: https://www.econbiz.de/10011285985

Specification test for panel data models with interactive fixed effects

Su, Liangjun; Jin, Sainan; Zhang, Yonghui - In: Journal of econometrics 186 (2015) 1, pp. 222-244

Persistent link: https://www.econbiz.de/10011349506

Specification Test for Panel Data Models with Interactive Fixed Effects

Su, Liangjun - 2014

In this paper, we propose a consistent nonparametric test for linearity in a large dimensional panel data model with interactive fixed effects. Both lagged dependent variables and conditional heteroskedasticity of unknown form are allowed in the model. We estimate the model under the null...

Persistent link: https://www.econbiz.de/10013051801

Sieve estimation of panel data models with cross section dependence

Su, Liangjun; Jin, Sainan - In: Journal of econometrics 169 (2012) 1, pp. 34-47

Persistent link: https://www.econbiz.de/10009666770

A nonparametric poolability test for panel data models with cross section dependence

Jin, Sainan; Su, Liangjun - In: Econometric reviews 32 (2013) 1/4, pp. 469-512

Persistent link: https://www.econbiz.de/10009717780

Nonstationary panel models with latent group structures and cross-section dependence

Huang, Wenxin; Jin, Sainan; Phillips, Peter C. B.; Su, … - In: Journal of econometrics 221 (2021) 1, pp. 198-222

Persistent link: https://www.econbiz.de/10012618820

Identifying latent grouped patterns in cointegrated panels

Huang, Wenxin; Jin, Sainan; Su, Liangjun - In: Econometric theory 36 (2020) 3, pp. 410-456

Persistent link: https://www.econbiz.de/10012240719

Sieve estimation of time-varying panel data models with latent structures

Su, Liangjun; Wang, Xia; Jin, Sainan - In: Journal of business & economic statistics : JBES ; a … 37 (2019) 2, pp. 334-349

Persistent link: https://www.econbiz.de/10012177362

Testing for common trends in semi‐parametric panel data models with fixed effects

Zhang, Yonghui; Su, Liangjun; Phillips, Peter C. B. - In: The econometrics journal 15 (2012) 1, pp. 56-100

Persistent link: https://www.econbiz.de/10009520548

A practical test for strict exogeneity in linear panel data models with fixed effects

Su, Liangjun; Zhang, Yonghui; Wei, Jie - In: Economics letters 147 (2016), pp. 27-31

Persistent link: https://www.econbiz.de/10011619338