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Yong Bao

Personal Details

First Name:Yong
Middle Name:
Last Name:Bao
Suffix:
RePEc Short-ID:pba507
[This author has chosen not to make the email address public]
http://web.ics.purdue.edu/~ybao/
Department of Economics, Purdue University, 403 West State St, West Lafayette, IN 47907

Affiliation

Department of Economics
Mitchell E. Daniels, Jr. School of Business
Purdue University

West Lafayette, Indiana (United States)
http://www.krannert.purdue.edu/academics/economics/
RePEc:edi:depurus (more details at EDIRC)

Research output

as
Jump to: Working papers Articles Chapters

Working papers

  1. Yong Bao & Aman Ullah, 2021. "Analytical Finite Sample Econometrics-from A.L.Nagar to Now," Working Papers 202114, University of California at Riverside, Department of Economics, revised Oct 2021.
  2. Yong Bao & Xiaotian Liu & Aman Ullah, 2020. "On the Exact Statistical Distribution of Econometric Estimators and Test Statistics," Working Papers 202014, University of California at Riverside, Department of Economics, revised Jun 2020.
  3. Aman Ullah & Yong Bao & Yun Wang, 2014. "Exact Distribution of the Mean Reversion Estimator in the Ornstein-Uhlenbeck Process," Working Papers 201413, University of California at Riverside, Department of Economics.
  4. Aman Ullah & Yong Bao & Ru Zhang, 2014. "Moment Approximation for Unit Root Models with Nonnormal Errors," Working Papers 201401, University of California at Riverside, Department of Economics.
  5. Yong Bao & Aman Ullah & Yun Wang & Jun Yu, 2013. "Bias in the Mean Reversion Estimator in Continuous-Time Gaussian and Lévy Processes," Working Papers 02-2013, Singapore Management University, School of Economics.
  6. Yong Bao & Aman Ullah, 2009. "Expectation of Quadratic Forms in Normal and Nonnormal Variables with Econometric Applications," Working Papers 200907, University of California at Riverside, Department of Economics, revised Jun 2009.

Articles

  1. Yong Bao, 2024. "Estimating Linear Dynamic Panels with Recentered Moments," Econometrics, MDPI, vol. 12(1), pages 1-48, January.
  2. Yong Bao & Gucheng Li & Xiaotian Liu, 2024. "A Spatial Sample Selection Model," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 86(4), pages 928-950, August.
  3. Su Xie & Hang Xiong & Linmei Shang & Yong Bao, 2024. "Machine Learning-Facilitated Policy Intensity Analysis: A Proposed Procedure and Its Application," Social Indicators Research: An International and Interdisciplinary Journal for Quality-of-Life Measurement, Springer, vol. 174(3), pages 881-904, September.
  4. Bao, Yong, 2024. "Estimating spatial autoregressions under heteroskedasticity without searching for instruments," Regional Science and Urban Economics, Elsevier, vol. 106(C).
  5. Yong Bao, 2023. "Indirect inference estimation of higher-order spatial autoregressive models," Econometric Reviews, Taylor & Francis Journals, vol. 42(3), pages 247-280, February.
  6. Bao, Yong & Yu, Xuewen, 2023. "Indirect inference estimation of dynamic panel data models," Journal of Econometrics, Elsevier, vol. 235(2), pages 1027-1053.
  7. Yong Bao & Xiaoyan Zhou, 2023. "Heterogeneous spatial dynamic panels with an application to US housing data," Spatial Economic Analysis, Taylor & Francis Journals, vol. 18(2), pages 259-285, April.
  8. Yong Bao & Aman Ullah, 2021. "Analytical Finite Sample Econometrics: From A. L. Nagar to Now," Journal of Quantitative Economics, Springer;The Indian Econometric Society (TIES), vol. 19(1), pages 17-37, December.
  9. Yong Bao, 2021. "Indirect Inference Estimation of a First-Order Dynamic Panel Data Model," Journal of Quantitative Economics, Springer;The Indian Econometric Society (TIES), vol. 19(1), pages 79-98, December.
  10. Yong Bao & Xiaotian Liu, 2021. "Estimating a spatial autoregressive model with autoregressive disturbances based on the indirect inference principle," Spatial Economic Analysis, Taylor & Francis Journals, vol. 16(4), pages 506-529, October.
  11. Yong Bao & Aman Ullah, 2021. "The Special Issue in Honor of Anirudh Lal Nagar: An Introduction," Journal of Quantitative Economics, Springer;The Indian Econometric Society (TIES), vol. 19(1), pages 1-8, December.
  12. Yong Bao & Xiaotian Liu & Lihong Yang, 2020. "Indirect Inference Estimation of Spatial Autoregressions," Econometrics, MDPI, vol. 8(3), pages 1-26, September.
  13. Yong Bao, 2018. "The asymptotic covariance matrix of the QMLE in ARMA models," Econometric Reviews, Taylor & Francis Journals, vol. 37(4), pages 309-324, April.
  14. Yong Bao & Aman Ullah & Yun Wang, 2017. "Distribution of the mean reversion estimator in the Ornstein–Uhlenbeck process," Econometric Reviews, Taylor & Francis Journals, vol. 36(6-9), pages 1039-1056, October.
  15. Melody Lo & Yong Bao, 2016. "Are Overall Journal Rankings a Good Mapping for Article Quality in Specialty Fields?," Journal of Business & Economic Statistics, Taylor & Francis Journals, vol. 34(1), pages 62-67, January.
  16. Bao, Yong & Ullah, Aman & Wang, Yun & Yu, Jun, 2015. "Bias in the estimation of mean reversion in continuous-time Lévy processes," Economics Letters, Elsevier, vol. 134(C), pages 16-19.
  17. Yong Bao, 2015. "Should We Demean the Data?," Annals of Economics and Finance, Society for AEF, vol. 16(1), pages 163-171, May.
  18. Yong Bao & Raymond J. G. M. Florax & Julie Le Gallo, 2014. "Contributions to Spatial Econometrics," International Regional Science Review, , vol. 37(3), pages 247-250, July.
  19. Bao, Yong & Hua, Ying, 2014. "On the Fisher information matrix of a vector ARMA process," Economics Letters, Elsevier, vol. 123(1), pages 14-16.
  20. Yong Bao, 2013. "On Sample Skewness and Kurtosis," Econometric Reviews, Taylor & Francis Journals, vol. 32(4), pages 415-448, December.
  21. Bao, Yong, 2013. "Finite-Sample Bias Of The Qmle In Spatial Autoregressive Models," Econometric Theory, Cambridge University Press, vol. 29(1), pages 68-88, February.
  22. Bao, Yong, 2013. "Finite Sample Bias Of The Qmle In Spatial Autoregressive Models – Erratum," Econometric Theory, Cambridge University Press, vol. 29(1), pages 89-89, February.
  23. Bao, Yong & Ullah, Aman & Zinde-Walsh, Victoria, 2013. "On existence of moment of mean reversion estimator in linear diffusion models," Economics Letters, Elsevier, vol. 120(2), pages 146-148.
  24. Bao Yong & Zhang Ru, 2013. "Estimation Bias and Feasible Conditional Forecasts from the First-Order Moving Average Model," Journal of Time Series Econometrics, De Gruyter, vol. 6(1), pages 63-80, July.
  25. Bao, Yong & Kan, Raymond, 2013. "On the moments of ratios of quadratic forms in normal random variables," Journal of Multivariate Analysis, Elsevier, vol. 117(C), pages 229-245.
  26. Yong Bao & Melody Lo & Franklin G. Mixon, 2010. "General-interest versus specialty journals: Using intellectual influence of econometrics research to rank economics journals and articles," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 25(2), pages 345-353.
  27. Yong Bao & Aman Ullah, 2009. "On skewness and kurtosis of econometric estimators," Econometrics Journal, Royal Economic Society, vol. 12(2), pages 232-247, July.
  28. Yong Bao & Shatakshee Dhongde, 2009. "Testing Convergence in Income Distribution," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 71(2), pages 295-302, April.
  29. Bao, Yong, 2009. "Finite-Sample Moments Of The Coefficient Of Variation," Econometric Theory, Cambridge University Press, vol. 25(1), pages 291-297, February.
  30. Yong Bao, 2009. "Estimation Risk-Adjusted Sharpe Ratio and Fund Performance Ranking under a General Return Distribution," Journal of Financial Econometrics, Oxford University Press, vol. 7(2), pages 152-173, Spring.
  31. Yong Bao & Thomas Fullerton & Donald Lien, 2009. "Borderplex menu evidence for the law of one price: a convergence approach," Applied Economics Letters, Taylor & Francis Journals, vol. 16(17), pages 1717-1720.
  32. Bao, Yong, 2007. "Finite-Sample Properties Of Forecasts From The Stationary First-Order Autoregressive Model Under A General Error Distribution," Econometric Theory, Cambridge University Press, vol. 23(4), pages 767-773, August.
  33. Bao, Yong & Ullah, Aman, 2007. "Finite sample properties of maximum likelihood estimator in spatial models," Journal of Econometrics, Elsevier, vol. 137(2), pages 396-413, April.
  34. Bao, Yong & Ullah, Aman, 2007. "The second-order bias and mean squared error of estimators in time-series models," Journal of Econometrics, Elsevier, vol. 140(2), pages 650-669, October.
  35. Tae-Hwy Lee & Yong Bao & Burak Saltoğlu, 2007. "Comparing density forecast models Previous versions of this paper have been circulated with the title, 'A Test for Density Forecast Comparison with Applications to Risk Management' since October 2003;," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 26(3), pages 203-225.
  36. Bao, Yong, 2007. "The Approximate Moments Of The Least Squares Estimator For The Stationary Autoregressive Model Under A General Error Distribution," Econometric Theory, Cambridge University Press, vol. 23(5), pages 1013-1021, October.
  37. Bao, Yong & Ullah, Aman, 2006. "Moments of the estimated Sharpe ratio when the observations are not IID," Finance Research Letters, Elsevier, vol. 3(1), pages 49-56, March.
  38. Tae-Hwy Lee & Yong Bao & Burak Saltoglu, 2006. "Evaluating predictive performance of value-at-risk models in emerging markets: a reality check," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 25(2), pages 101-128.
  39. Yong Bao & Jang‐Ting Guo, 2004. "Reexamination of Economic Growth, Tax Policy, and Distributive Politics," Review of Development Economics, Wiley Blackwell, vol. 8(3), pages 474-482, August.
  40. Bao, Yong & Ullah, Aman, 2004. "Bias of a Value-at-Risk estimator," Finance Research Letters, Elsevier, vol. 1(4), pages 241-249, December.

Chapters

  1. Bao Yong & Fan Yanqin & Su Liangjun & Zinde-Walsh Victoria, 2016. "A Selective Review of Aman Ullah’s Contributions to Econometrics," Advances in Econometrics, in: Essays in Honor of Aman Ullah, volume 36, pages 3-43, Emerald Group Publishing Limited.
  2. Yong Bao, 2016. "Finite-Sample Bias of the Conditional Gaussian Maximum Likelihood Estimator in ARMA Models," Advances in Econometrics, in: Essays in Honor of Aman Ullah, volume 36, pages 207-244, Emerald Group Publishing Limited.
  3. Yong Bao & Aman Ullah & Ru Zhang, 2014. "Moment Approximation for Least-Squares Estimator in First-Order Regression Models with Unit Root and Nonnormal Errors," Advances in Econometrics, in: Essays in Honor of Peter C. B. Phillips, volume 14, pages 65-92, Emerald Group Publishing Limited.
  4. Yong Bao & Tae-Hwy Lee, 2006. "Asymmetric Predictive Abilities of Nonlinear Models for Stock Returns: Evidence from Density Forecast Comparison," Advances in Econometrics, in: Econometric Analysis of Financial and Economic Time Series, pages 41-62, Emerald Group Publishing Limited.

More information

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Statistics

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Co-authorship network on CollEc

NEP Fields

NEP is an announcement service for new working papers, with a weekly report in each of many fields. This author has had 6 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.
  1. NEP-ECM: Econometrics (5) 2013-03-30 2014-09-29 2014-10-03 2020-07-20 2021-11-15. Author is listed
  2. NEP-ETS: Econometric Time Series (3) 2013-03-30 2014-09-29 2014-10-03
  3. NEP-HIS: Business, Economic and Financial History (2) 2013-10-05 2021-11-15
  4. NEP-SEA: South East Asia (2) 2013-03-30 2013-10-05
  5. NEP-GER: German Papers (1) 2014-09-29
  6. NEP-HPE: History and Philosophy of Economics (1) 2021-11-15
  7. NEP-ORE: Operations Research (1) 2021-11-15
  8. NEP-RMG: Risk Management (1) 2013-10-05

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