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Essays on specification tests for smooth structural changes and time series conditional distribution models

Chen, Bin - 2007

Persistent link: https://www.econbiz.de/10009693136

Nonparametric specification testing for continuous-time models with application to spot interest rates

Hong, Yongmiao; Li, Haitao - 2002

Persistent link: https://www.econbiz.de/10001684716

Nonparametric specification testing for continuous-time models with applications to term structure of interest rates

Hong, Yongmiao; Li, Haitao - In: The review of financial studies 18 (2005) 1, pp. 37-84

Persistent link: https://www.econbiz.de/10002646532

Misspecification test methods in econometrics : editoral

Cai, Zongwu; Hong, Yongmiao; Li, Qi - In: Journal of econometrics 178 (2014) 1, pp. 1-3

Persistent link: https://www.econbiz.de/10010254997

Penalized time-varying model averaging

Sun, Yuying; Hong, Yongmiao; Wang, Shouyang; Zhang, Xinyu - In: Journal of econometrics 235 (2023) 2, pp. 1355-1377

Persistent link: https://www.econbiz.de/10014471396

Time-varying factor selection : a sparse fused GMM approach

Cui, Liyuan; Feng, Guanhao; Hong, Yongmiao; Yang, Jiangshan - 2023

Persistent link: https://www.econbiz.de/10014371831

Time-varying model averaging

Sun, Yuying; Hong, Yongmiao; Lee, Tae-hwy; Wang, Shouyang; … - In: Journal of econometrics 222 (2021) 2, pp. 974-992

Persistent link: https://www.econbiz.de/10012619810

Post-averaging inference for optimal model averaging estimator in generalized linear models

Yu, Dalei; Lian, Heng; Sun, Yuying; Zhang, Xinyu; Hong, … - In: Econometric reviews 43 (2024) 2/4, pp. 98-122

Persistent link: https://www.econbiz.de/10014551478

Specification Tests for Time-Varying Coefficient Models

Fu, Zhonghao; Hong, Yongmiao; Su, Liangjun; Wang, Xia - 2022

Time-varying coefficient models have been widely used to model changing relationships of economic and financial variables. The existing literature usually specifies the time-varying coefficient vector as a stochastic stationary process, a deterministic function of time, or a unit root process....

Persistent link: https://www.econbiz.de/10014077865