Zhijie Xiao
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Affiliations
-
Boston College
/ Department of Economics
Research profile
author of:
- Estimation and Inference about Tail Features with Tail Censored Data (RePEc:arx:papers:2002.09982)
by Yulong Wang & Zhijie Xiao - Bi-integrative analysis of two-dimensional heterogeneous panel data model (RePEc:arx:papers:2110.10480)
by Wei Wang & Xiaodong Yan & Yanyan Ren & Zhijie Xiao - Bootstrap inference for panel data quantile regression (RePEc:arx:papers:2111.03626)
by Antonio F. Galvao & Thomas Parker & Zhijie Xiao - Rejoinder (RePEc:bes:jnlasa:v:101:y:2006:p:1002-1006)
by Koenker, Roger & Xiao, Zhijie - Quantile Autoregression (RePEc:bes:jnlasa:v:101:y:2006:p:980-990)
by Koenker, Roger & Xiao, Zhijie - Conditional Quantile Estimation for Generalized Autoregressive Conditional Heteroscedasticity Models (RePEc:bes:jnlasa:v:104:i:488:y:2009:p:1696-1712)
by Xiao, Zhijie & Koenker, Roger - More Efficient Local Polynomial Estimation in Nonparametric Regression With Autocorrelated Errors (RePEc:bes:jnlasa:v:98:y:2003:p:980-992)
by Xiao Z. & Linton O.B. & Carroll R.J. & Mammen E. - Unit Root Quantile Autoregression Inference (RePEc:bes:jnlasa:v:99:y:2004:p:775-787)
by Roger Koenker & Zhijie Xiao - A Primer on Unit Root Testing (RePEc:bla:jecsur:v:12:y:1998:i:5:p:423-470)
by Peter C. B. Phillips & Zhijie Xiao - The Reluctant Analyst (RePEc:bla:joares:v:54:y:2016:i:4:p:987-1040)
by Dan Bernhardt & Chi Wan & Zhijie Xiao - Hybrid quantile regression estimation for time series models with conditional heteroscedasticity (RePEc:bla:jorssb:v:80:y:2018:i:5:p:975-993)
by Yao Zheng & Qianqian Zhu & Guodong Li & Zhijie Xiao - Testing the Null Hypothesis of Stationarity Against an Autoregressive Unit Root Alternative (RePEc:bla:jtsera:v:22:y:2001:i:1:p:87-105)
by Zhijie Xiao - Bootstrapping Time Series Regressions with Integrated Processes (RePEc:bla:jtsera:v:22:y:2001:i:4:p:461-480)
by Hongyi Li & Zhijie Xiao - A Nonparametric Prewhitened Covariance Estimator (RePEc:bla:jtsera:v:23:y:2002:i:2:p:215-250)
by Zhijie Xiao & Oliver Linton - Quantile Regression on Quantile Ranges – A Threshold Approach (RePEc:bla:jtsera:v:38:y:2017:i:1:p:99-119)
by Chung-Ming Kuan & Christos Michalopoulos & Zhijie Xiao - Square†Root LASSO for High†Dimensional Sparse Linear Systems with Weakly Dependent Errors (RePEc:bla:jtsera:v:39:y:2018:i:2:p:212-238)
by Fang Xie & Zhijie Xiao - A Powerful Test for Changing Trends in Time Series Models (RePEc:bla:jtsera:v:39:y:2018:i:4:p:488-501)
by Jilin Wu & Zhijie Xiao - Copula-Based Nonlinear Quantile Autoregression (RePEc:boc:bocoec:691)
by Xiaohong Chen & Roger Koenker & Zhijie Xiao - Quantile Cointegrating Regression (RePEc:boc:bocoec:708)
by Zhijie Xiao - Tests for Changing Mean with Monotonic Power (RePEc:boc:bocoec:709)
by Ted Juhl & Zhijie Xiao - Conditional Quantile Estimation for GARCH Models (RePEc:boc:bocoec:725)
by Zhijie Xiao & Roger Koenker - Semiparametric Quantile Regression Estimation in Dynamic Models with Partially Varying Coefficients (RePEc:boc:bocoec:761)
by Zongwu Cai & Zhijie Xiao - A Semiparametric Panel Model for unbalanced data with Application to Climate Change in the United Kingdom (RePEc:boc:bocoec:762)
by Alev Atak & Oliver Linton & Zhijie Xiao - Estimation and Inference about Tail Features with Tail Censored Data (RePEc:boc:bocoec:994)
by Yulong Wang & Zhijie Xiao - Testing Unit Root Based on Partially Adaptive Estimation (RePEc:bpj:jtsmet:v:2:y:2010:i:1:n:2)
by Lima Luiz Renato & Xiao Zhijie - Efficient Estimation of Nonparametric Regression in The Presence of Dynamic Heteroskedasticity (RePEc:cam:camdae:1907)
by Linton, O. & Xiao, Z. - A Nonparametric Regression Estimator that Adapts to Error Distribution of Unknown Form (RePEc:cep:stiecm:419)
by Oliver Linton & Zhijie Xiao - More Efficient Kernel Estimation in Nonparametric Regression with Autocorrelated Errors (RePEc:cep:stiecm:435)
by Raymond J Carroll & Oliver Linton & Enno Mammen & Zhijie Xiao - Efficient Detrending In Cointegrating Regression (RePEc:cup:etheor:v:15:y:1999:i:04:p:519-548_15)
by Xiao, Zhijie & Phillips, Peter C.B. - How To Estimate Autoregressive Roots Near Unity (RePEc:cup:etheor:v:17:y:2001:i:01:p:29-69_17)
by Phillips, Peter C.B. & Moon, Hyungsik Roger & Xiao, Zhijie - Second-Order Approximation For Adaptive Regression Estimators (RePEc:cup:etheor:v:17:y:2001:i:05:p:984-1024_17)
by Linton, Oliver & Xiao, Zhijie - Likelihood-Based Inference In Trending Time Series With A Root Near Unity (RePEc:cup:etheor:v:17:y:2001:i:06:p:1082-1112_17)
by Xiao, Zhijie - Power Functions And Envelopes For Unit Root Tests (RePEc:cup:etheor:v:19:y:2003:i:02:p:240-253_19)
by Juhl, Ted & Xiao, Zhijie - Partially Linear Models With Unit Roots (RePEc:cup:etheor:v:21:y:2005:i:05:p:877-906_05)
by Juhl, Ted & Xiao, Zhijie - A Nonparametric Regression Estimator That Adapts To Error Distribution Of Unknown Form (RePEc:cup:etheor:v:23:y:2007:i:03:p:371-413_07)
by Linton, Oliver & Xiao, Zhijie - COMMENTARIES ON “Unit Root Testing in Practice: Dealing with Uncertainty over the Trend and Initial Condition,” by David I. Harvey, Stephen J. Leybourne, and A.M. Robert Taylor (RePEc:cup:etheor:v:25:y:2009:i:03:p:654-657_09)
by Xiao, Zhijie - Nonparametric Tests Of Moment Condition Stability (RePEc:cup:etheor:v:29:y:2013:i:01:p:90-114_00)
by Juhl, Ted & Xiao, Zhijie - A Smooth Test For The Equality Of Distributions (RePEc:cup:etheor:v:29:y:2013:i:02:p:419-446_00)
by Bera, Anil K. & Ghosh, Aurobindo & Xiao, Zhijie - Estimation Of And Inference About The Expected Shortfall For Time Series With Infinite Variance (RePEc:cup:etheor:v:29:y:2013:i:04:p:771-807_00)
by Linton, Oliver & Xiao, Zhijie - Right-Tail Information In Financial Markets (RePEc:cup:etheor:v:30:y:2014:i:01:p:94-126_00)
by Xiao, Zhijie - Unit Roots: A Selective Review Of The Contributions Of Peter C. B. Phillips (RePEc:cup:etheor:v:30:y:2014:i:04:p:775-814_00)
by Xiao, Zhijie - Efficient Regressions Via Optimally Combining Quantile Information (RePEc:cup:etheor:v:30:y:2014:i:06:p:1272-1314_00)
by Zhao, Zhibiao & Xiao, Zhijie - Adaptive Nonparametric Regression With Conditional Heteroskedasticity (RePEc:cup:etheor:v:31:y:2015:i:06:p:1153-1191_00)
by Jin, Sainan & Su, Liangjun & Xiao, Zhijie - A New Characterization Of The Normal Distribution And Test For Normality (RePEc:cup:etheor:v:32:y:2016:i:05:p:1216-1252_00)
by Bera, Anil K. & Galvao, Antonio F. & Wang, Liang & Xiao, Zhijie - An ADF Coefficient Test for a Unit Root in ARMA Models of Unknown Order with Empirical Applications to the U.S. Economy (RePEc:cwl:cwldpp:1161)
by Zhijie Xiao & Peter C.B. Phillips - A Primer on Unit Root Testing (RePEc:cwl:cwldpp:1189)
by Peter C.B. Phillips & Zhijie Xiao - How to Estimate Autoregressive Roots Near Unity (RePEc:cwl:cwldpp:1191)
by Peter C.B. Phillips & Hyungsik R. Moon & Zhijie Xiao - Higher Order Approximations for Wald Statistics in Cointegrating Regressions (RePEc:cwl:cwldpp:1192)
by Zhijie Xiao & Peter C.B. Phillips - A CUSUM Test for Cointegration Using Regression Residuals (RePEc:cwl:cwldpp:1329)
by Zhijie Xiao & Peter C.B. Phillips - Partially Linear Models with Unit Roots (RePEc:cwl:cwldpp:1359)
by Ted Juhl & Zhijie Xiao - Efficient Regression in Time Series Partial Linear Models (RePEc:cwl:cwldpp:1363)
by Peter C.B. Phillips & Binbin Guo & Zhijie Xiao - More Efficient Kernel Estimation in Nonparametric Regression with Autocorrelated Errors (RePEc:cwl:cwldpp:1375)
by Zhijie Xiao & Oliver Linton & Raymond J. Carroll & E. Mammen - Copula-Based Nonlinear Quantile Autoregression (RePEc:cwl:cwldpp:1679)
by Xiaohong Chen & Roger Koenker & Zhijie Xiao - Copula-Based Time Series With Filtered Nonstationarity (RePEc:cwl:cwldpp:2242)
by Xiaohong Chen & Zhijie Xiao & Bo Wang - Copula-Based Time Series With Filtered Nonstationarity (RePEc:cwl:cwldpp:2242r)
by Xiaohong Chen & Zhijie Xiao & Bo Wang - Estimating Average Economic Growth in Time Series Data with Persistency (RePEc:ecl:illbus:03-0111)
by Xiao, Qifang & Xiao, Zhijie - Inference on the Quantile Regression Process (RePEc:ecm:emetrp:v:70:y:2002:i:4:p:1583-1612)
by Roger Koenker & Zhijie Xiao - Smooth Test For Testing Equality Of Two Densities (RePEc:ecm:feam04:714)
by Zhijie Xiao & Anil K. Bera & Aurobindo Ghosh - Testing Unit Root Based on Partially Adaptive Estimation (RePEc:ecm:latm04:63)
by Luiz Renato Lima & Zhijie Xiao - N-Consistent Semiparametric Regression: Partially Linear Models with Unit Roots (RePEc:ecm:wc2000:1532)
by Ted Juhl & Zhijie Xiao - Copula-based nonlinear quantile autoregression (RePEc:ect:emjrnl:v:12:y:2009:i:s1:p:s50-s67)
by Xiaohong Chen & Roger Koenker & Zhijie Xiao - A residual based test for the null hypothesis of cointegration (RePEc:eee:ecolet:v:64:y:1999:i:2:p:133-141)
by Xiao, Zhijie - Note on bandwidth selection in testing for long range dependence (RePEc:eee:ecolet:v:78:y:2003:i:1:p:33-39)
by Xiao, Zhijie - Higher order approximations for Wald statistics in time series regressions with integrated processes (RePEc:eee:econom:v:108:y:2002:i:1:p:157-198)
by Xiao, Zhijie & Phillips, Peter C. B. - A CUSUM test for cointegration using regression residuals (RePEc:eee:econom:v:108:y:2002:i:1:p:43-61)
by Xiao, Zhijie & Phillips, Peter C. B. - Testing for cointegration using partially linear models (RePEc:eee:econom:v:124:y:2005:i:2:p:363-394)
by Juhl, Ted & Xiao, Zhijie - A nonparametric test for changing trends (RePEc:eee:econom:v:127:y:2005:i:2:p:179-199)
by Juhl, Ted & Xiao, Zhijie - Tests for changing mean with monotonic power (RePEc:eee:econom:v:148:y:2009:i:1:p:14-24)
by Juhl, Ted & Xiao, Zhijie - Quantile cointegrating regression (RePEc:eee:econom:v:150:y:2009:i:2:p:248-260)
by Xiao, Zhijie - Nonparametric and robust methods in econometrics (RePEc:eee:econom:v:152:y:2009:i:2:p:79-80)
by Lima, Luiz Renato & Moreira, Marcelo & Porter, Jack & Xiao, Zhijie - Functional-coefficient cointegration models (RePEc:eee:econom:v:152:y:2009:i:2:p:81-92)
by Xiao, Zhijie - A semiparametric panel model for unbalanced data with application to climate change in the United Kingdom (RePEc:eee:econom:v:164:y:2011:i:1:p:92-115)
by Atak, Alev & Linton, Oliver & Xiao, Zhijie - Semiparametric quantile regression estimation in dynamic models with partially varying coefficients (RePEc:eee:econom:v:167:y:2012:i:2:p:413-425)
by Cai, Zongwu & Xiao, Zhijie - Robust inference in nonstationary time series models (RePEc:eee:econom:v:169:y:2012:i:2:p:211-223)
by Xiao, Zhijie - What do mean impacts miss? Distributional effects of corporate diversification (RePEc:eee:econom:v:213:y:2019:i:1:p:92-120)
by Xiao, Zhijie & Xu, Lan - Efficient estimation of nonparametric regression in the presence of dynamic heteroskedasticity (RePEc:eee:econom:v:213:y:2019:i:2:p:608-631)
by Linton, Oliver & Xiao, Zhijie - Higher-order approximations for frequency domain time series regression (RePEc:eee:econom:v:86:y:1998:i:2:p:297-336)
by Xiao, Zhijie & Phillips, Peter C. B. - Stochastic dominance via quantile regression with applications to investigate arbitrage opportunity and market efficiency (RePEc:eee:ejores:v:261:y:2017:i:2:p:666-678)
by Ng, Pin & Wong, Wing-Keung & Xiao, Zhijie - A generalized partially linear model of asymmetric volatility (RePEc:eee:empfin:v:9:y:2002:i:3:p:287-319)
by Wu, Guojun & Xiao, Zhijie - Estimating average economic growth in time series data with persistency (RePEc:eee:jmacro:v:26:y:2004:i:4:p:699-724)
by Xiao, Zhijie - Do shocks last forever? Local persistency in economic time series (RePEc:eee:jmacro:v:29:y:2007:i:1:p:103-122)
by Lima, Luiz Renato & Xiao, Zhijie - Consistency of ℓ1 penalized negative binomial regressions (RePEc:eee:stapro:v:165:y:2020:i:c:s016771522030119x)
by Xie, Fang & Xiao, Zhijie - On bootstrapping regressions with unit root processes (RePEc:eee:stapro:v:48:y:2000:i:3:p:261-267)
by Li, Hongyi & Xiao, Zhijie - Testing for parameter stability in quantile regression models (RePEc:eee:stapro:v:78:y:2008:i:16:p:2768-2775)
by Su, Liangjun & Xiao, Zhijie - More efficient kernel estimation in nonparametric regression with autocorrelated errors (RePEc:ehl:lserod:2017)
by Carroll, Raymond J & Linton, Oliver & Mammen, Enno & Xiao, Zhijie - A nonparametric regression estimator that adapts to error distribution of unknown form (RePEc:ehl:lserod:2120)
by Linton, Oliver & Xiao, Zhijie - Second-order approximation for adaptive regression estimators (RePEc:ehl:lserod:317)
by Linton, Oliver & Xiao, Zhijie - Idiosyncratic Volatility, Expected Windfall, and the Cross-Section of Stock Returns (RePEc:eme:aecozz:s0731-905320140000033020)
by Chi Wan & Zhijie Xiao - Unknown item RePEc:eme:jrfpps:v:8:y:2007:i:2:p:166-185 (article)
- A Note on Covariance Matrix Estimation in Quantile Regressions (RePEc:fec:journl:v:9:y:2014:i:2:p:165-173)
by Hongtao Guo & Zhijie Xiao - Testing unit root based on partially adaptive estimation (RePEc:fgv:epgewp:528)
by Xiao, Zhijie & Lima, Luiz Renato - Do shocks permanently change output? : Local persistency in economic time series (RePEc:fgv:epgewp:529)
by Lima, Luiz Renato Regis de Oliveira & Xiao, Zhijie - Robustness of stationary tests under long-memory alternatives (RePEc:fgv:epgewp:541)
by Lima, Luiz Renato Regis de Oliveira & Xiao, Zhijie - Purchasing power parity and the unit root tests: a robust analysis (RePEc:fgv:epgewp:552)
by Xiao, Zhijie & Lima, Luiz Renato Regis de Oliveira - Testing covariance stationarity (RePEc:fgv:epgewp:632)
by Xiao, Zhijie & Lima, Luiz Renato Regis de Oliveira - A semiparametric panel model for unbalanced data with application to climate change in the United Kingdom (RePEc:hal:journl:hal-00844810)
by Alev Atak & Oliver Linton & Zhijie Xiao - Risk Analysis Using Regression Quantiles: Evidence from International Equity Markets (RePEc:ibf:ijbfre:v:7:y:2013:i:2:p:1-15)
by Hongtao Guo & Miranda S. Lam & Guojun Wu & Zhijie Xiao - Copula-based nonlinear quantile autoregression (RePEc:ifs:cemmap:27/08)
by Xiaohong Chen & Roger Koenker & Zhijie Xiao - Tests For Changing Mean With Monotonic Power (RePEc:kan:wpaper:200809)
by Ted Juhl & Zhijie Xiao - A Semiparametric Panel Model for Unbalanced Data with Application to Climate Change in the United Kingdom (RePEc:pra:mprapa:22079)
by Atak, Alev & Linton, Oliver B. & Xiao, Zhijie - Is there long memory in financial time series? (RePEc:taf:apfiec:v:20:y:2010:i:6:p:487-500)
by Luiz Renato Lima & Zhijie Xiao - Testing Covariance Stationarity (RePEc:taf:emetrv:v:26:y:2007:i:6:p:643-667)
by Zhijie Xiao & Luiz Renato Lima - Econometric Reviews Honors Peter Charles Bonest Phillips, the Master Econometrician (RePEc:taf:emetrv:v:39:y:2020:i:7:p:649-654)
by Esfandiar Maasoumi & Zhijie Xiao - Quantile aggregation and combination for stock return prediction (RePEc:taf:emetrv:v:39:y:2020:i:7:p:715-743)
by Chuanliang Jiang & Esfandiar Maasoumi & Zhijie Xiao - Econometric Reviews Honors Cheng Hsiao (RePEc:taf:emetrv:v:40:y:2021:i:6:p:535-539)
by Tong Li & Esfandiar Maasoumi & Zhijie Xiao - Right tail information and asset pricing (RePEc:taf:emetrv:v:40:y:2021:i:8:p:728-749)
by Qiuling Hua & Zhijie Xiao & Hongtao Zhou - Efficient estimation for time-varying coefficient longitudinal models (RePEc:taf:gnstxx:v:30:y:2018:i:3:p:680-702)
by Seonjin Kim & Zhibiao Zhao & Zhijie Xiao - Tests for normality based on the quantile-mean covariance (RePEc:tsj:stataj:v:16:y:2016:i:4:p:1039-1057)
by Javier Alejo & Anil Bera & Antonio Galvao & Gabriel Montes-Rojas & Zhijie Xiao - Quantile control method: Causal inference with one treated unit via random forest (RePEc:tsj:stataj:v:25:y:2025:i:2:p:407-437)
by Guanpeng Yan & Qiang Chen & Zhijie Xiao - Weak instrument inference in the presence of parameter instability (RePEc:wly:emjrnl:v:15:y:2012:i:3:p:395-419)
by Hong Li & Zhijie Xiao - Testing for changing volatility (RePEc:wly:emjrnl:v:21:y:2018:i:2:p:192-217)
by Jilin Wu & Zhijie Xiao - Mincer–Zarnowitz quantile and expectile regressions for forecast evaluations under aysmmetric loss functions (RePEc:wly:jforec:v:36:y:2017:i:6:p:651-679)
by Kemal Guler & Pin T. Ng & Zhijie Xiao - A nonparametric regression estimator that adapts to error distribution of unknown form (RePEc:zbw:sfb373:200133)
by Linton, Oliver Bruce & Xiao, Zhijie