Zhijie Xiao
Personal Details
First Name: | Zhijie |
Middle Name: | |
Last Name: | Xiao |
Suffix: | |
RePEc Short-ID: | pxi26 |
[This author has chosen not to make the email address public] | |
Terminal Degree: | 1997 Economics Department; Yale University (from RePEc Genealogy) |
Affiliation
Department of Economics
Boston College
Chestnut Hill, Massachusetts (United States)http://www.bc.edu/economics/
RePEc:edi:debocus (more details at EDIRC)
Research output
Jump to: Working papers Articles ChaptersWorking papers
- Wei Wang & Xiaodong Yan & Yanyan Ren & Zhijie Xiao, 2021. "Bi-integrative analysis of two-dimensional heterogeneous panel data model," Papers 2110.10480, arXiv.org.
- Antonio F. Galvao & Thomas Parker & Zhijie Xiao, 2021.
"Bootstrap inference for panel data quantile regression,"
Papers
2111.03626, arXiv.org.
- Antonio F. Galvao & Thomas Parker & Zhijie Xiao, 2024. "Bootstrap Inference for Panel Data Quantile Regression," Journal of Business & Economic Statistics, Taylor & Francis Journals, vol. 42(2), pages 628-639, April.
- Yulong Wang & Zhijie Xiao, 2020.
"Estimation and Inference about Tail Features with Tail Censored Data,"
Boston College Working Papers in Economics
994, Boston College Department of Economics.
- Wang, Yulong & Xiao, Zhijie, 2022. "Estimation and inference about tail features with tail censored data," Journal of Econometrics, Elsevier, vol. 230(2), pages 363-387.
- Yulong Wang & Zhijie Xiao, 2020. "Estimation and Inference about Tail Features with Tail Censored Data," Papers 2002.09982, arXiv.org.
- Xiaohong Chen & Zhijie Xiao & Bo Wang, 2020.
"Copula-Based Time Series With Filtered Nonstationarity,"
Cowles Foundation Discussion Papers
2242, Cowles Foundation for Research in Economics, Yale University.
- Xiaohong Chen & Zhijie Xiao & Bo Wang, 2020. "Copula-Based Time Series With Filtered Nonstationarity," Cowles Foundation Discussion Papers 2242R, Cowles Foundation for Research in Economics, Yale University, revised Oct 2020.
- Linton, O. & Xiao, Z., 2019.
"Efficient Estimation of Nonparametric Regression in The Presence of Dynamic Heteroskedasticity,"
Cambridge Working Papers in Economics
1907, Faculty of Economics, University of Cambridge.
- Linton, Oliver & Xiao, Zhijie, 2019. "Efficient estimation of nonparametric regression in the presence of dynamic heteroskedasticity," Journal of Econometrics, Elsevier, vol. 213(2), pages 608-631.
- Zongwu Cai & Zhijie Xiao, 2010.
"Semiparametric Quantile Regression Estimation in Dynamic Models with Partially Varying Coefficients,"
Boston College Working Papers in Economics
761, Boston College Department of Economics.
- Cai, Zongwu & Xiao, Zhijie, 2012. "Semiparametric quantile regression estimation in dynamic models with partially varying coefficients," Journal of Econometrics, Elsevier, vol. 167(2), pages 413-425.
- Alev Atak & Oliver Linton & Zhijie Xiao, 2010.
"A Semiparametric Panel Model for unbalanced data with Application to Climate Change in the United Kingdom,"
Boston College Working Papers in Economics
762, Boston College Department of Economics.
- Atak, Alev & Linton, Oliver & Xiao, Zhijie, 2011. "A semiparametric panel model for unbalanced data with application to climate change in the United Kingdom," Journal of Econometrics, Elsevier, vol. 164(1), pages 92-115, September.
- Atak, Alev & Linton, Oliver B. & Xiao, Zhijie, 2010. "A Semiparametric Panel Model for Unbalanced Data with Application to Climate Change in the United Kingdom," MPRA Paper 22079, University Library of Munich, Germany.
- Alev Atak & Oliver Linton & Zhijie Xiao, 2011. "A semiparametric panel model for unbalanced data with application to climate change in the United Kingdom," Post-Print hal-00844810, HAL.
- Ted Juhl & Zhijie Xiao, 2009.
"Tests for Changing Mean with Monotonic Power,"
Boston College Working Papers in Economics
709, Boston College Department of Economics.
- Juhl, Ted & Xiao, Zhijie, 2009. "Tests for changing mean with monotonic power," Journal of Econometrics, Elsevier, vol. 148(1), pages 14-24, January.
- Ted Juhl & Zhijie Xiao, 2008. "Tests For Changing Mean With Monotonic Power," WORKING PAPERS SERIES IN THEORETICAL AND APPLIED ECONOMICS 200809, University of Kansas, Department of Economics, revised Sep 2008.
- Zhijie Xiao, 2009.
"Quantile Cointegrating Regression,"
Boston College Working Papers in Economics
708, Boston College Department of Economics.
- Xiao, Zhijie, 2009. "Quantile cointegrating regression," Journal of Econometrics, Elsevier, vol. 150(2), pages 248-260, June.
- Zhijie Xiao & Roger Koenker, 2009. "Conditional Quantile Estimation for GARCH Models," Boston College Working Papers in Economics 725, Boston College Department of Economics.
- Xiaohong Chen & Roger Koenker & Zhijie Xiao, 2008.
"Copula-Based Nonlinear Quantile Autoregression,"
Boston College Working Papers in Economics
691, Boston College Department of Economics.
- Xiaohong Chen & Roger Koenker & Zhijie Xiao, 2009. "Copula-based nonlinear quantile autoregression," Econometrics Journal, Royal Economic Society, vol. 12(s1), pages 50-67, January.
- Xiaohong Chen & Roger Koenker & Zhijie Xiao, 2008. "Copula-based nonlinear quantile autoregression," CeMMAP working papers CWP27/08, Centre for Microdata Methods and Practice, Institute for Fiscal Studies.
- Xiaohong Chen & Roger Koenker & Zhijie Xiao, 2008. "Copula-Based Nonlinear Quantile Autoregression," Cowles Foundation Discussion Papers 1679, Cowles Foundation for Research in Economics, Yale University.
- Xiao, Zhijie & Lima, Luiz Renato Regis de Oliveira, 2006.
"Testing covariance stationarity,"
FGV EPGE Economics Working Papers (Ensaios Economicos da EPGE)
632, EPGE Brazilian School of Economics and Finance - FGV EPGE (Brazil).
- Zhijie Xiao & Luiz Renato Lima, 2007. "Testing Covariance Stationarity," Econometric Reviews, Taylor & Francis Journals, vol. 26(6), pages 643-667.
- Zhijie Xiao & Anil K. Bera & Aurobindo Ghosh, 2004. "Smooth Test For Testing Equality Of Two Densities," Econometric Society 2004 Far Eastern Meetings 714, Econometric Society.
- Xiao, Zhijie & Lima, Luiz Renato Regis de Oliveira, 2004. "Purchasing power parity and the unit root tests: a robust analysis," FGV EPGE Economics Working Papers (Ensaios Economicos da EPGE) 552, EPGE Brazilian School of Economics and Finance - FGV EPGE (Brazil).
- Lima, Luiz Renato Regis de Oliveira & Xiao, Zhijie, 2004. "Do shocks permanently change output? : Local persistency in economic time series," FGV EPGE Economics Working Papers (Ensaios Economicos da EPGE) 529, EPGE Brazilian School of Economics and Finance - FGV EPGE (Brazil).
- Luiz Renato Lima & Zhijie Xiao, 2004.
"Testing Unit Root Based on Partially Adaptive Estimation,"
Econometric Society 2004 Latin American Meetings
63, Econometric Society.
- Lima Luiz Renato & Xiao Zhijie, 2010. "Testing Unit Root Based on Partially Adaptive Estimation," Journal of Time Series Econometrics, De Gruyter, vol. 2(1), pages 1-34, June.
- Xiao, Zhijie & Lima, Luiz Renato, 2004. "Testing unit root based on partially adaptive estimation," FGV EPGE Economics Working Papers (Ensaios Economicos da EPGE) 528, EPGE Brazilian School of Economics and Finance - FGV EPGE (Brazil).
- Lima, Luiz Renato Regis de Oliveira & Xiao, Zhijie, 2004. "Robustness of stationary tests under long-memory alternatives," FGV EPGE Economics Working Papers (Ensaios Economicos da EPGE) 541, EPGE Brazilian School of Economics and Finance - FGV EPGE (Brazil).
- Xiao, Qifang & Xiao, Zhijie, 2003.
"Estimating Average Economic Growth in Time Series Data with Persistency,"
Working Papers
03-0111, University of Illinois at Urbana-Champaign, College of Business.
- Xiao, Zhijie, 2004. "Estimating average economic growth in time series data with persistency," Journal of Macroeconomics, Elsevier, vol. 26(4), pages 699-724, December.
- Peter C.B. Phillips & Binbin Guo & Zhijie Xiao, 2002. "Efficient Regression in Time Series Partial Linear Models," Cowles Foundation Discussion Papers 1363, Cowles Foundation for Research in Economics, Yale University.
- Zhijie Xiao & Oliver Linton & Raymond J. Carroll & E. Mammen, 2002.
"More Efficient Kernel Estimation in Nonparametric Regression with Autocorrelated Errors,"
Cowles Foundation Discussion Papers
1375, Cowles Foundation for Research in Economics, Yale University.
- Carroll, Raymond J & Linton, Oliver & Mammen, Enno & Xiao, Zhijie, 2002. "More efficient kernel estimation in nonparametric regression with autocorrelated errors," LSE Research Online Documents on Economics 2017, London School of Economics and Political Science, LSE Library.
- Raymond J Carroll & Oliver Linton & Enno Mammen & Zhijie Xiao, 2002. "More Efficient Kernel Estimation in Nonparametric Regression with Autocorrelated Errors," STICERD - Econometrics Paper Series 435, Suntory and Toyota International Centres for Economics and Related Disciplines, LSE.
- Ted Juhl & Zhijie Xiao, 2002.
"Partially Linear Models with Unit Roots,"
Cowles Foundation Discussion Papers
1359, Cowles Foundation for Research in Economics, Yale University.
- Juhl, Ted & Xiao, Zhijie, 2005. "Partially Linear Models With Unit Roots," Econometric Theory, Cambridge University Press, vol. 21(5), pages 877-906, October.
- Linton, Oliver Bruce & Xiao, Zhijie, 2001.
"A nonparametric regression estimator that adapts to error distribution of unknown form,"
SFB 373 Discussion Papers
2001,33, Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes.
- Linton, Oliver & Xiao, Zhijie, 2007. "A Nonparametric Regression Estimator That Adapts To Error Distribution Of Unknown Form," Econometric Theory, Cambridge University Press, vol. 23(3), pages 371-413, June.
- Oliver Linton & Zhijie Xiao, 2001. "A Nonparametric Regression Estimator that Adapts to Error Distribution of Unknown Form," STICERD - Econometrics Paper Series 419, Suntory and Toyota International Centres for Economics and Related Disciplines, LSE.
- Linton, Oliver & Xiao, Zhijie, 2001. "A nonparametric regression estimator that adapts to error distribution of unknown form," LSE Research Online Documents on Economics 2120, London School of Economics and Political Science, LSE Library.
- Zhijie Xiao & Peter C.B. Phillips, 2001.
"A CUSUM Test for Cointegration Using Regression Residuals,"
Cowles Foundation Discussion Papers
1329, Cowles Foundation for Research in Economics, Yale University.
- Xiao, Zhijie & Phillips, Peter C. B., 2002. "A CUSUM test for cointegration using regression residuals," Journal of Econometrics, Elsevier, vol. 108(1), pages 43-61, May.
- Linton, Oliver & Xiao, Zhijie, 2001.
"Second-order approximation for adaptive regression estimators,"
LSE Research Online Documents on Economics
317, London School of Economics and Political Science, LSE Library.
- Linton, Oliver & Xiao, Zhijie, 2001. "Second-Order Approximation For Adaptive Regression Estimators," Econometric Theory, Cambridge University Press, vol. 17(5), pages 984-1024, October.
- Ted Juhl & Zhijie Xiao, 2000. "N-Consistent Semiparametric Regression: Partially Linear Models with Unit Roots," Econometric Society World Congress 2000 Contributed Papers 1532, Econometric Society.
- Peter C.B. Phillips & Zhijie Xiao, 1998.
"A Primer on Unit Root Testing,"
Cowles Foundation Discussion Papers
1189, Cowles Foundation for Research in Economics, Yale University.
- Peter C. B. Phillips & Zhijie Xiao, 1998. "A Primer on Unit Root Testing," Journal of Economic Surveys, Wiley Blackwell, vol. 12(5), pages 423-470, December.
- Zhijie Xiao & Peter C.B. Phillips, 1998. "Higher Order Approximations for Wald Statistics in Cointegrating Regressions," Cowles Foundation Discussion Papers 1192, Cowles Foundation for Research in Economics, Yale University.
- Peter C.B. Phillips & Hyungsik R. Moon & Zhijie Xiao, 1998.
"How to Estimate Autoregressive Roots Near Unity,"
Cowles Foundation Discussion Papers
1191, Cowles Foundation for Research in Economics, Yale University.
- Phillips, Peter C.B. & Moon, Hyungsik Roger & Xiao, Zhijie, 2001. "How To Estimate Autoregressive Roots Near Unity," Econometric Theory, Cambridge University Press, vol. 17(1), pages 29-69, February.
- Phillips, Peter C.B. & Moon, Hyungsik R., 1999. "How to Estimate Autoregressive Roots Near Unity," University of California at Santa Barbara, Economics Working Paper Series qt87p2z8zx, Department of Economics, UC Santa Barbara.
- Zhijie Xiao & Peter C.B. Phillips, 1997.
"An ADF Coefficient Test for a Unit Root in ARMA Models of Unknown Order with Empirical Applications to the U.S. Economy,"
Cowles Foundation Discussion Papers
1161, Cowles Foundation for Research in Economics, Yale University.
- Zhije Xiao & Peter C.B. Phillips, 1998. "An ADF coefficient test for a unit root in ARMA models of unknown order with empirical applications to the US economy," Econometrics Journal, Royal Economic Society, vol. 1(RegularPa), pages 27-43.
Articles
- Tong Li & Esfandiar Maasoumi & Zhijie Xiao, 2021. "Econometric Reviews Honors Cheng Hsiao," Econometric Reviews, Taylor & Francis Journals, vol. 40(6), pages 535-539, February.
- Qiuling Hua & Zhijie Xiao & Hongtao Zhou, 2021. "Right tail information and asset pricing," Econometric Reviews, Taylor & Francis Journals, vol. 40(8), pages 728-749, September.
- Esfandiar Maasoumi & Zhijie Xiao, 2020. "Econometric Reviews Honors Peter Charles Bonest Phillips, the Master Econometrician," Econometric Reviews, Taylor & Francis Journals, vol. 39(7), pages 649-654, August.
- Chuanliang Jiang & Esfandiar Maasoumi & Zhijie Xiao, 2020. "Quantile aggregation and combination for stock return prediction," Econometric Reviews, Taylor & Francis Journals, vol. 39(7), pages 715-743, August.
- Xie, Fang & Xiao, Zhijie, 2020. "Consistency of ℓ1 penalized negative binomial regressions," Statistics & Probability Letters, Elsevier, vol. 165(C).
- Linton, Oliver & Xiao, Zhijie, 2019.
"Efficient estimation of nonparametric regression in the presence of dynamic heteroskedasticity,"
Journal of Econometrics, Elsevier, vol. 213(2), pages 608-631.
- Linton, O. & Xiao, Z., 2019. "Efficient Estimation of Nonparametric Regression in The Presence of Dynamic Heteroskedasticity," Cambridge Working Papers in Economics 1907, Faculty of Economics, University of Cambridge.
- Xiao, Zhijie & Xu, Lan, 2019. "What do mean impacts miss? Distributional effects of corporate diversification," Journal of Econometrics, Elsevier, vol. 213(1), pages 92-120.
- Jilin Wu & Zhijie Xiao, 2018. "A Powerful Test for Changing Trends in Time Series Models," Journal of Time Series Analysis, Wiley Blackwell, vol. 39(4), pages 488-501, July.
- Jilin Wu & Zhijie Xiao, 2018. "Testing for changing volatility," Econometrics Journal, Royal Economic Society, vol. 21(2), pages 192-217, June.
- Seonjin Kim & Zhibiao Zhao & Zhijie Xiao, 2018. "Efficient estimation for time-varying coefficient longitudinal models," Journal of Nonparametric Statistics, Taylor & Francis Journals, vol. 30(3), pages 680-702, July.
- Fang Xie & Zhijie Xiao, 2018. "Square†Root LASSO for High†Dimensional Sparse Linear Systems with Weakly Dependent Errors," Journal of Time Series Analysis, Wiley Blackwell, vol. 39(2), pages 212-238, March.
- Yao Zheng & Qianqian Zhu & Guodong Li & Zhijie Xiao, 2018. "Hybrid quantile regression estimation for time series models with conditional heteroscedasticity," Journal of the Royal Statistical Society Series B, Royal Statistical Society, vol. 80(5), pages 975-993, November.
- Chung-Ming Kuan & Christos Michalopoulos & Zhijie Xiao, 2017. "Quantile Regression on Quantile Ranges – A Threshold Approach," Journal of Time Series Analysis, Wiley Blackwell, vol. 38(1), pages 99-119, January.
- Ng, Pin & Wong, Wing-Keung & Xiao, Zhijie, 2017. "Stochastic dominance via quantile regression with applications to investigate arbitrage opportunity and market efficiency," European Journal of Operational Research, Elsevier, vol. 261(2), pages 666-678.
- Kemal Guler & Pin T. Ng & Zhijie Xiao, 2017. "Mincer–Zarnowitz quantile and expectile regressions for forecast evaluations under aysmmetric loss functions," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 36(6), pages 651-679, September.
- Dan Bernhardt & Chi Wan & Zhijie Xiao, 2016. "The Reluctant Analyst," Journal of Accounting Research, Wiley Blackwell, vol. 54(4), pages 987-1040, September.
- Bera, Anil K. & Galvao, Antonio F. & Wang, Liang & Xiao, Zhijie, 2016. "A New Characterization Of The Normal Distribution And Test For Normality," Econometric Theory, Cambridge University Press, vol. 32(5), pages 1216-1252, October.
- Javier Alejo & Anil Bera & Antonio Galvao & Gabriel Montes-Rojas & Zhijie Xiao, 2016. "Tests for normality based on the quantile-mean covariance," Stata Journal, StataCorp LP, vol. 16(4), pages 1039-1057, December.
- Jin, Sainan & Su, Liangjun & Xiao, Zhijie, 2015. "Adaptive Nonparametric Regression With Conditional Heteroskedasticity," Econometric Theory, Cambridge University Press, vol. 31(6), pages 1153-1191, December.
- Zhao, Zhibiao & Xiao, Zhijie, 2014. "Efficient Regressions Via Optimally Combining Quantile Information," Econometric Theory, Cambridge University Press, vol. 30(6), pages 1272-1314, December.
- Hongtao Guo & Zhijie Xiao, 2014. "A Note on Covariance Matrix Estimation in Quantile Regressions," Frontiers of Economics in China-Selected Publications from Chinese Universities, Higher Education Press, vol. 9(2), pages 165-173, June.
- Xiao, Zhijie, 2014. "Right-Tail Information In Financial Markets," Econometric Theory, Cambridge University Press, vol. 30(1), pages 94-126, February.
- Xiao, Zhijie, 2014. "Unit Roots: A Selective Review Of The Contributions Of Peter C. B. Phillips," Econometric Theory, Cambridge University Press, vol. 30(4), pages 775-814, August.
- Linton, Oliver & Xiao, Zhijie, 2013. "Estimation Of And Inference About The Expected Shortfall For Time Series With Infinite Variance," Econometric Theory, Cambridge University Press, vol. 29(4), pages 771-807, August.
- Bera, Anil K. & Ghosh, Aurobindo & Xiao, Zhijie, 2013. "A Smooth Test For The Equality Of Distributions," Econometric Theory, Cambridge University Press, vol. 29(2), pages 419-446, April.
- Juhl, Ted & Xiao, Zhijie, 2013. "Nonparametric Tests Of Moment Condition Stability," Econometric Theory, Cambridge University Press, vol. 29(1), pages 90-114, February.
- Hongtao Guo & Miranda S. Lam & Guojun Wu & Zhijie Xiao, 2013. "Risk Analysis Using Regression Quantiles: Evidence from International Equity Markets," The International Journal of Business and Finance Research, The Institute for Business and Finance Research, vol. 7(2), pages 1-15.
- Cai, Zongwu & Xiao, Zhijie, 2012.
"Semiparametric quantile regression estimation in dynamic models with partially varying coefficients,"
Journal of Econometrics, Elsevier, vol. 167(2), pages 413-425.
- Zongwu Cai & Zhijie Xiao, 2010. "Semiparametric Quantile Regression Estimation in Dynamic Models with Partially Varying Coefficients," Boston College Working Papers in Economics 761, Boston College Department of Economics.
- Xiao, Zhijie, 2012. "Robust inference in nonstationary time series models," Journal of Econometrics, Elsevier, vol. 169(2), pages 211-223.
- Hong Li & Zhijie Xiao, 2012. "Weak instrument inference in the presence of parameter instability," Econometrics Journal, Royal Economic Society, vol. 15(3), pages 395-419, October.
- Atak, Alev & Linton, Oliver & Xiao, Zhijie, 2011.
"A semiparametric panel model for unbalanced data with application to climate change in the United Kingdom,"
Journal of Econometrics, Elsevier, vol. 164(1), pages 92-115, September.
- Atak, Alev & Linton, Oliver B. & Xiao, Zhijie, 2010. "A Semiparametric Panel Model for Unbalanced Data with Application to Climate Change in the United Kingdom," MPRA Paper 22079, University Library of Munich, Germany.
- Alev Atak & Oliver Linton & Zhijie Xiao, 2011. "A semiparametric panel model for unbalanced data with application to climate change in the United Kingdom," Post-Print hal-00844810, HAL.
- Alev Atak & Oliver Linton & Zhijie Xiao, 2010. "A Semiparametric Panel Model for unbalanced data with Application to Climate Change in the United Kingdom," Boston College Working Papers in Economics 762, Boston College Department of Economics.
- Lima Luiz Renato & Xiao Zhijie, 2010.
"Testing Unit Root Based on Partially Adaptive Estimation,"
Journal of Time Series Econometrics, De Gruyter, vol. 2(1), pages 1-34, June.
- Xiao, Zhijie & Lima, Luiz Renato, 2004. "Testing unit root based on partially adaptive estimation," FGV EPGE Economics Working Papers (Ensaios Economicos da EPGE) 528, EPGE Brazilian School of Economics and Finance - FGV EPGE (Brazil).
- Luiz Renato Lima & Zhijie Xiao, 2004. "Testing Unit Root Based on Partially Adaptive Estimation," Econometric Society 2004 Latin American Meetings 63, Econometric Society.
- Juhl, Ted & Xiao, Zhijie, 2009.
"Tests for changing mean with monotonic power,"
Journal of Econometrics, Elsevier, vol. 148(1), pages 14-24, January.
- Ted Juhl & Zhijie Xiao, 2008. "Tests For Changing Mean With Monotonic Power," WORKING PAPERS SERIES IN THEORETICAL AND APPLIED ECONOMICS 200809, University of Kansas, Department of Economics, revised Sep 2008.
- Ted Juhl & Zhijie Xiao, 2009. "Tests for Changing Mean with Monotonic Power," Boston College Working Papers in Economics 709, Boston College Department of Economics.
- Xiao, Zhijie, 2009. "Functional-coefficient cointegration models," Journal of Econometrics, Elsevier, vol. 152(2), pages 81-92, October.
- Lima, Luiz Renato & Moreira, Marcelo & Porter, Jack & Xiao, Zhijie, 2009. "Nonparametric and robust methods in econometrics," Journal of Econometrics, Elsevier, vol. 152(2), pages 79-80, October.
- Xiaohong Chen & Roger Koenker & Zhijie Xiao, 2009.
"Copula-based nonlinear quantile autoregression,"
Econometrics Journal, Royal Economic Society, vol. 12(s1), pages 50-67, January.
- Xiaohong Chen & Roger Koenker & Zhijie Xiao, 2008. "Copula-based nonlinear quantile autoregression," CeMMAP working papers CWP27/08, Centre for Microdata Methods and Practice, Institute for Fiscal Studies.
- Xiaohong Chen & Roger Koenker & Zhijie Xiao, 2008. "Copula-Based Nonlinear Quantile Autoregression," Cowles Foundation Discussion Papers 1679, Cowles Foundation for Research in Economics, Yale University.
- Xiaohong Chen & Roger Koenker & Zhijie Xiao, 2008. "Copula-Based Nonlinear Quantile Autoregression," Boston College Working Papers in Economics 691, Boston College Department of Economics.
- Xiao, Zhijie, 2009.
"Quantile cointegrating regression,"
Journal of Econometrics, Elsevier, vol. 150(2), pages 248-260, June.
- Zhijie Xiao, 2009. "Quantile Cointegrating Regression," Boston College Working Papers in Economics 708, Boston College Department of Economics.
- Xiao, Zhijie, 2009. "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," Econometric Theory, Cambridge University Press, vol. 25(3), pages 654-657, June.
- Xiao, Zhijie & Koenker, Roger, 2009. "Conditional Quantile Estimation for Generalized Autoregressive Conditional Heteroscedasticity Models," Journal of the American Statistical Association, American Statistical Association, vol. 104(488), pages 1696-1712.
- Su, Liangjun & Xiao, Zhijie, 2008. "Testing for parameter stability in quantile regression models," Statistics & Probability Letters, Elsevier, vol. 78(16), pages 2768-2775, November.
- Linton, Oliver & Xiao, Zhijie, 2007.
"A Nonparametric Regression Estimator That Adapts To Error Distribution Of Unknown Form,"
Econometric Theory, Cambridge University Press, vol. 23(3), pages 371-413, June.
- Oliver Linton & Zhijie Xiao, 2001. "A Nonparametric Regression Estimator that Adapts to Error Distribution of Unknown Form," STICERD - Econometrics Paper Series 419, Suntory and Toyota International Centres for Economics and Related Disciplines, LSE.
- Linton, Oliver & Xiao, Zhijie, 2001. "A nonparametric regression estimator that adapts to error distribution of unknown form," LSE Research Online Documents on Economics 2120, London School of Economics and Political Science, LSE Library.
- Linton, Oliver Bruce & Xiao, Zhijie, 2001. "A nonparametric regression estimator that adapts to error distribution of unknown form," SFB 373 Discussion Papers 2001,33, Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes.
- Zhijie Xiao & Luiz Renato Lima, 2007.
"Testing Covariance Stationarity,"
Econometric Reviews, Taylor & Francis Journals, vol. 26(6), pages 643-667.
- Xiao, Zhijie & Lima, Luiz Renato Regis de Oliveira, 2006. "Testing covariance stationarity," FGV EPGE Economics Working Papers (Ensaios Economicos da EPGE) 632, EPGE Brazilian School of Economics and Finance - FGV EPGE (Brazil).
- Lima, Luiz Renato & Xiao, Zhijie, 2007. "Do shocks last forever? Local persistency in economic time series," Journal of Macroeconomics, Elsevier, vol. 29(1), pages 103-122, March.
- Koenker, Roger & Xiao, Zhijie, 2006. "Rejoinder," Journal of the American Statistical Association, American Statistical Association, vol. 101, pages 1002-1006, September.
- Koenker, Roger & Xiao, Zhijie, 2006. "Quantile Autoregression," Journal of the American Statistical Association, American Statistical Association, vol. 101, pages 980-990, September.
- Juhl, Ted & Xiao, Zhijie, 2005. "A nonparametric test for changing trends," Journal of Econometrics, Elsevier, vol. 127(2), pages 179-199, August.
- Juhl, Ted & Xiao, Zhijie, 2005.
"Partially Linear Models With Unit Roots,"
Econometric Theory, Cambridge University Press, vol. 21(5), pages 877-906, October.
- Ted Juhl & Zhijie Xiao, 2002. "Partially Linear Models with Unit Roots," Cowles Foundation Discussion Papers 1359, Cowles Foundation for Research in Economics, Yale University.
- Juhl, Ted & Xiao, Zhijie, 2005. "Testing for cointegration using partially linear models," Journal of Econometrics, Elsevier, vol. 124(2), pages 363-394, February.
- Roger Koenker & Zhijie Xiao, 2004. "Unit Root Quantile Autoregression Inference," Journal of the American Statistical Association, American Statistical Association, vol. 99, pages 775-787, January.
- Xiao, Zhijie, 2004.
"Estimating average economic growth in time series data with persistency,"
Journal of Macroeconomics, Elsevier, vol. 26(4), pages 699-724, December.
- Xiao, Qifang & Xiao, Zhijie, 2003. "Estimating Average Economic Growth in Time Series Data with Persistency," Working Papers 03-0111, University of Illinois at Urbana-Champaign, College of Business.
- Juhl, Ted & Xiao, Zhijie, 2003. "Power Functions And Envelopes For Unit Root Tests," Econometric Theory, Cambridge University Press, vol. 19(2), pages 240-253, April.
- Xiao, Zhijie, 2003. "Note on bandwidth selection in testing for long range dependence," Economics Letters, Elsevier, vol. 78(1), pages 33-39, January.
- Xiao Z. & Linton O.B. & Carroll R.J. & Mammen E., 2003. "More Efficient Local Polynomial Estimation in Nonparametric Regression With Autocorrelated Errors," Journal of the American Statistical Association, American Statistical Association, vol. 98, pages 980-992, January.
- Roger Koenker & Zhijie Xiao, 2002. "Inference on the Quantile Regression Process," Econometrica, Econometric Society, vol. 70(4), pages 1583-1612, July.
- Zhijie Xiao & Oliver Linton, 2002. "A Nonparametric Prewhitened Covariance Estimator," Journal of Time Series Analysis, Wiley Blackwell, vol. 23(2), pages 215-250, March.
- Xiao, Zhijie & Phillips, Peter C. B., 2002.
"A CUSUM test for cointegration using regression residuals,"
Journal of Econometrics, Elsevier, vol. 108(1), pages 43-61, May.
- Zhijie Xiao & Peter C.B. Phillips, 2001. "A CUSUM Test for Cointegration Using Regression Residuals," Cowles Foundation Discussion Papers 1329, Cowles Foundation for Research in Economics, Yale University.
- Wu, Guojun & Xiao, Zhijie, 2002. "A generalized partially linear model of asymmetric volatility," Journal of Empirical Finance, Elsevier, vol. 9(3), pages 287-319, August.
- Xiao, Zhijie & Phillips, Peter C. B., 2002. "Higher order approximations for Wald statistics in time series regressions with integrated processes," Journal of Econometrics, Elsevier, vol. 108(1), pages 157-198, May.
- Zhijie Xiao, 2001. "Testing the Null Hypothesis of Stationarity Against an Autoregressive Unit Root Alternative," Journal of Time Series Analysis, Wiley Blackwell, vol. 22(1), pages 87-105, January.
- Linton, Oliver & Xiao, Zhijie, 2001.
"Second-Order Approximation For Adaptive Regression Estimators,"
Econometric Theory, Cambridge University Press, vol. 17(5), pages 984-1024, October.
- Linton, Oliver & Xiao, Zhijie, 2001. "Second-order approximation for adaptive regression estimators," LSE Research Online Documents on Economics 317, London School of Economics and Political Science, LSE Library.
- Xiao, Zhijie, 2001. "Likelihood-Based Inference In Trending Time Series With A Root Near Unity," Econometric Theory, Cambridge University Press, vol. 17(6), pages 1082-1112, December.
- Hongyi Li & Zhijie Xiao, 2001. "Bootstrapping Time Series Regressions with Integrated Processes," Journal of Time Series Analysis, Wiley Blackwell, vol. 22(4), pages 461-480, July.
- Phillips, Peter C.B. & Moon, Hyungsik Roger & Xiao, Zhijie, 2001.
"How To Estimate Autoregressive Roots Near Unity,"
Econometric Theory, Cambridge University Press, vol. 17(1), pages 29-69, February.
- Peter C.B. Phillips & Hyungsik R. Moon & Zhijie Xiao, 1998. "How to Estimate Autoregressive Roots Near Unity," Cowles Foundation Discussion Papers 1191, Cowles Foundation for Research in Economics, Yale University.
- Phillips, Peter C.B. & Moon, Hyungsik R., 1999. "How to Estimate Autoregressive Roots Near Unity," University of California at Santa Barbara, Economics Working Paper Series qt87p2z8zx, Department of Economics, UC Santa Barbara.
- Li, Hongyi & Xiao, Zhijie, 2000. "On bootstrapping regressions with unit root processes," Statistics & Probability Letters, Elsevier, vol. 48(3), pages 261-267, July.
- Xiao, Zhijie, 1999. "A residual based test for the null hypothesis of cointegration," Economics Letters, Elsevier, vol. 64(2), pages 133-141, August.
- Xiao, Zhijie & Phillips, Peter C.B., 1999. "Efficient Detrending In Cointegrating Regression," Econometric Theory, Cambridge University Press, vol. 15(4), pages 519-548, August.
- Xiao, Zhijie & Phillips, Peter C. B., 1998. "Higher-order approximations for frequency domain time series regression," Journal of Econometrics, Elsevier, vol. 86(2), pages 297-336, June.
- Peter C. B. Phillips & Zhijie Xiao, 1998.
"A Primer on Unit Root Testing,"
Journal of Economic Surveys, Wiley Blackwell, vol. 12(5), pages 423-470, December.
- Peter C.B. Phillips & Zhijie Xiao, 1998. "A Primer on Unit Root Testing," Cowles Foundation Discussion Papers 1189, Cowles Foundation for Research in Economics, Yale University.
RePEc:eme:jrfpps:v:8:y:2007:i:2:p:166-185 is not listed on IDEAS
RePEc:taf:apfiec:v:20:y:2010:i:6:p:487-500 is not listed on IDEAS
Chapters
- Chi Wan & Zhijie Xiao, 2014. "Idiosyncratic Volatility, Expected Windfall, and the Cross-Section of Stock Returns," Advances in Econometrics, in: Essays in Honor of Peter C. B. Phillips, volume 33, pages 713-749, Emerald Group Publishing Limited.
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NEP Fields
NEP is an announcement service for new working papers, with a weekly report in each of many fields. This author has had 24 papers announced in NEP. These are the fields, ordered by number of announcements, along with their dates. If the author is listed in the directory of specialists for this field, a link is also provided.- NEP-ECM: Econometrics (19) 2001-09-10 2002-10-18 2004-06-09 2004-06-09 2006-12-01 2008-10-07 2008-10-21 2008-10-28 2009-04-05 2009-07-03 2009-07-03 2009-11-21 2010-04-24 2010-11-27 2019-02-04 2020-03-23 2020-07-27 2021-10-25 2021-11-15. Author is listed
- NEP-ETS: Econometric Time Series (15) 2002-10-18 2004-06-02 2004-06-02 2004-06-02 2004-08-16 2006-12-01 2008-10-21 2008-10-28 2009-04-05 2009-07-03 2009-07-03 2009-11-21 2010-11-27 2019-02-04 2020-07-27. Author is listed
- NEP-ORE: Operations Research (7) 2008-10-21 2008-10-28 2009-11-21 2020-04-13 2020-07-27 2021-06-14 2021-10-25. Author is listed
- NEP-RMG: Risk Management (4) 2002-10-18 2009-11-21 2020-03-23 2020-04-13
- NEP-ENE: Energy Economics (2) 2010-04-24 2010-11-27
- NEP-ENV: Environmental Economics (2) 2010-04-24 2010-11-27
- NEP-IFN: International Finance (1) 2004-08-16
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