Degui Li
Personal Details
First Name: | Degui |
Middle Name: | |
Last Name: | Li |
Suffix: | |
RePEc Short-ID: | pli664 |
[This author has chosen not to make the email address public] | |
https://sites.google.com/site/deguiliswebsite/home | |
Affiliation
Faculty of Business Administration
University of Macau
Macau, Macaohttps://fba.umac.mo/
RePEc:edi:fbmacmo (more details at EDIRC)
Research output
Jump to: Working papers ArticlesWorking papers
- Degui Li & Oliver Linton & Haoxuan Zhang, 2024. "Estimating Factor-Based Spot Volatility Matrices with Noisy and Asynchronous High-Frequency Data," Papers 2403.06246, arXiv.org.
- Chenlei Leng & Degui Li & Hanlin Shang & Yingcun Xia, 2024. "Covariance Function Estimation for High-Dimensional Functional Time Series with Dual Factor Structures," Papers 2401.05784, arXiv.org, revised Jan 2024.
- Jia Chen & Degui Li & Yuning Li & Oliver Linton, 2023.
"Estimating Time-Varying Networks for High-Dimensional Time Series,"
Papers
2302.02476, arXiv.org.
- Chen, J. & Li, D. & Li, Y. & Linton, O. B., 2022. "Estimating Time-Varying Networks for High-Dimensional Time Series," Cambridge Working Papers in Economics 2273, Faculty of Economics, University of Cambridge.
- Chen, J. & Li, D. & Li, Y. & Linton, O. B., 2022. "Estimating Time-Varying Networks for High-Dimensional Time Series," Janeway Institute Working Papers 2231, Faculty of Economics, University of Cambridge.
- Xiaorong Yang & Jia Chen & Degui Li & Runze Li, 2023.
"Functional-Coefficient Quantile Regression for Panel Data with Latent Group Structure,"
Papers
2303.13218, arXiv.org.
- Xiaorong Yang & Jia Chen & Degui Li & Runze Li, 2024. "Functional-Coefficient Quantile Regression for Panel Data with Latent Group Structure," Journal of Business & Economic Statistics, Taylor & Francis Journals, vol. 42(3), pages 1026-1040, July.
- Degui Li & Bin Peng & Songqiao Tang & Weibiao Wu, 2023. "Estimation of Grouped Time-Varying Network Vector Autoregression Models," Papers 2303.10117, arXiv.org, revised Mar 2024.
- Degui Li & Runze Li & Han Lin Shang, 2023. "Detection and Estimation of Structural Breaks in High-Dimensional Functional Time Series," Papers 2304.07003, arXiv.org.
- Degui Li & Bin Peng & Songqiao Tang & Weibiao Wu, 2023. "Inference of Grouped Time-Varying Network Vector Autoregression Models," Monash Econometrics and Business Statistics Working Papers 5/23, Monash University, Department of Econometrics and Business Statistics.
- Ruijun Bu & Degui Li & Oliver Linton & Hanchao Wang, 2023.
"Nonparametric Estimation of Large Spot Volatility Matrices for High-Frequency Financial Data,"
Papers
2307.01348, arXiv.org.
- Ruijun Bu & Degui Li & Oliver Linton & Hanchao Wang, 2022. "Nonparametric Estimation of Large Spot Volatility Matrices for High-Frequency Financial Data," Working Papers 202212, University of Liverpool, Department of Economics.
- Li, Yu-Ning & Li, Degui & Fryzlewicz, Piotr, 2022.
"Detection of multiple structural breaks in large covariance matrices,"
LSE Research Online Documents on Economics
115026, London School of Economics and Political Science, LSE Library.
- Yu-Ning Li & Degui Li & Piotr Fryzlewicz, 2023. "Detection of Multiple Structural Breaks in Large Covariance Matrices," Journal of Business & Economic Statistics, Taylor & Francis Journals, vol. 41(3), pages 846-861, July.
- Jia Chen & Degui Li & Lingling Wei & Wenyang Zhang, 2019.
"Nonparametric Homogeneity Pursuit in Functional-Coefficient Models,"
Discussion Papers
19/03, Department of Economics, University of York.
- Jia Chen & Degui Li & Lingling Wei & Wenyang Zhang, 2021. "Nonparametric homogeneity pursuit in functional-coefficient models," Journal of Nonparametric Statistics, Taylor & Francis Journals, vol. 33(3-4), pages 387-416, October.
- Jia Chen & Degui Li & Oliver Linton, 2018.
"A New Semiparametric Estimation Approach for Large Dynamic Covariance Matrices with Multiple Conditioning Variables,"
Discussion Papers
18/14, Department of Economics, University of York.
- Chen, Jia & Li, Degui & Linton, Oliver, 2019. "A new semiparametric estimation approach for large dynamic covariance matrices with multiple conditioning variables," Journal of Econometrics, Elsevier, vol. 212(1), pages 155-176.
- Chen, J. & Li, D. & Linton, O., 2018. "A New Semiparametric Estimation Approach for Large Dynamic Covariance Matrices with Multiple Conditioning Variables," Cambridge Working Papers in Economics 1876, Faculty of Economics, University of Cambridge.
- Degui Li & Peter C.B. Phillips & Jiti Gao, 2017.
"Kernel-Based Inference In Time-Varying Coefficient Cointegrating Regression,"
Cowles Foundation Discussion Papers
2109, Cowles Foundation for Research in Economics, Yale University.
- Li, Degui & Phillips, Peter C.B. & Gao, Jiti, 2020. "Kernel-based Inference in Time-Varying Coefficient Cointegrating Regression," Journal of Econometrics, Elsevier, vol. 215(2), pages 607-632.
- Degui Li & Peter CB Phillips & Jiti Gao, 2017. "Kernel-based inference in time-varying coefficient models with multiple integrated regressors," Monash Econometrics and Business Statistics Working Papers 11/17, Monash University, Department of Econometrics and Business Statistics.
- Li, Degui & Simar, Leopold & Zelenyuk, Valentin, 2016.
"Generalized nonparametric smoothing with mixed discrete and continuous data,"
LIDAM Reprints ISBA
2016020, Université catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA).
- Li, Degui & Simar, Léopold & Zelenyuk, Valentin, 2016. "Generalized nonparametric smoothing with mixed discrete and continuous data," Computational Statistics & Data Analysis, Elsevier, vol. 100(C), pages 424-444.
- Jia Chen & Degui Li & Oliver Linton & Zudi Lu, 2015.
"Semiparametric dynamic portfolio choice with multiple conditioning variables,"
CeMMAP working papers
07/15, Institute for Fiscal Studies.
- Chen, Jia & Li, Degui & Linton, Oliver & Lu, Zudi, 2016. "Semiparametric dynamic portfolio choice with multiple conditioning variables," Journal of Econometrics, Elsevier, vol. 194(2), pages 309-318.
- Jia Chen & Degui Li & Oliver Linton & Zudi Lu, 2015. "Semiparametric dynamic portfolio choice with multiple conditioning variables," CeMMAP working papers CWP07/15, Centre for Microdata Methods and Practice, Institute for Fiscal Studies.
- Jia Chen & Degui Li & Oliver Linton & Zudi Lu, 2015. "Semiparametric Dynamic Portfolio Choice with Multiple Conditioning Variables," Discussion Papers 15/01, Department of Economics, University of York.
- Jia Chen & Degui Li & Yingcun Xia, 2015. "New Semiparametric Estimation Procedure for Functional Coefficient Longitudinal Data Models," Discussion Papers 15/17, Department of Economics, University of York.
- Jia Chen & Degui Li & Oliver Linton & Zudi Lu, 2015.
"Semiparametric model averaging of ultra-high dimensional time series,"
CeMMAP working papers
62/15, Institute for Fiscal Studies.
- Jia Chen & Degui Li & Oliver Linton & Zudi Lu, 2015. "Semiparametric Model Averaging of Ultra-High Dimensional Time Series," Discussion Papers 15/18, Department of Economics, University of York.
- Jia Chen & Degui Li & Oliver Linton & Zudi Lu, 2015. "Semiparametric model averaging of ultra-high dimensional time series," CeMMAP working papers CWP62/15, Centre for Microdata Methods and Practice, Institute for Fiscal Studies.
- Degui Li & Junhui Qian & Su Liangjun, 2015. "Panel Data Models with Interactive Fixed Effects and Multiple Structural Breaks," Working Papers 12-2015, Singapore Management University, School of Economics.
- Jia Chen & Jiti Gao & Degui Li & Zhengyan Lin, 2014.
"Specification Testing in Nonstationary Time Series Models,"
Discussion Papers
14/19, Department of Economics, University of York.
- Jia Chen & Jiti Gao & Degui Li & Zhengyan Lin, 2015. "Specification testing in nonstationary time series models," Econometrics Journal, Royal Economic Society, vol. 18(1), pages 117-136, February.
- Jia Chen & Degui Li & Hua Liang & Suojin Wang, 2014. "Semiparametric GEE Analysis in Partially Linear Single-Index Models for Longitudinal Data," Discussion Papers 14/26, Department of Economics, University of York.
- Li, Degui & Simar, Leopold & Zelenyuk, Valentin, 2013.
"To Smooth or Not to Smooth? The Case of Discrete Variables in Nonparametric Regression,"
LIDAM Discussion Papers ISBA
2013025, Université catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA).
- Valentin Zelenyuk & Leopold Simar, 2011. "To Smooth or Not to Smooth? The Case of Discrete Variables in Nonparametric Regressions," CEPA Working Papers Series WP102011, School of Economics, University of Queensland, Australia.
- Simar, Leopold & Zelenyuk, Valentin, 2011. "To Smooth or Not to Smooth? The Case of Discrete Variables in Nonparametric Regressions," LIDAM Discussion Papers ISBA 2011042, Université catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA).
- Degui Li & Peter C.B. Phillips & Jiti Gao, 2013.
"Uniform Consistency of Nonstationary Kernel-Weighted Sample Covariances for Nonparametric Regression,"
Cowles Foundation Discussion Papers
1929, Cowles Foundation for Research in Economics, Yale University.
- Li, Degui & Phillips, Peter C. B. & Gao, Jiti, 2016. "Uniform Consistency Of Nonstationary Kernel-Weighted Sample Covariances For Nonparametric Regression," Econometric Theory, Cambridge University Press, vol. 32(3), pages 655-685, June.
- Degui Li & Peter C. B. Phillips & Jiti Gao, 2013. "Uniform Consistency of Nonstationary Kernel-Weighted Sample Covariances for Nonparametric Regression," Monash Econometrics and Business Statistics Working Papers 27/13, Monash University, Department of Econometrics and Business Statistics.
- Peter C.B. Phillips & Degui Li & Jiti Gao, 2013.
"Estimating Smooth Structural Change in Cointegration Models,"
Cowles Foundation Discussion Papers
1910, Cowles Foundation for Research in Economics, Yale University.
- Phillips, Peter C.B. & Li, Degui & Gao, Jiti, 2017. "Estimating smooth structural change in cointegration models," Journal of Econometrics, Elsevier, vol. 196(1), pages 180-195.
- Peter C. B. Phillips & Degui Li & Jiti Gao, 2013. "Estimating Smooth Structural Change in Cointegration Models," Monash Econometrics and Business Statistics Working Papers 22/13, Monash University, Department of Econometrics and Business Statistics.
- Xiangjin B. Chen & Jiti Gao & Degui Li & Param Silvapulle, 2013. "Nonparametric Estimation and Parametric Calibration of Time-Varying Coefficient Realized Volatility Models," Monash Econometrics and Business Statistics Working Papers 21/13, Monash University, Department of Econometrics and Business Statistics.
- Jiti Gao & Shin Kanaya & Degui Li & Dag Tjøstheim, 2013.
"Uniform Consistency for Nonparametric Estimators in Null Recurrent Time Series,"
CREATES Research Papers
2013-29, Department of Economics and Business Economics, Aarhus University.
- Gao, Jiti & Kanaya, Shin & Li, Degui & Tjøstheim, Dag, 2015. "Uniform Consistency For Nonparametric Estimators In Null Recurrent Time Series," Econometric Theory, Cambridge University Press, vol. 31(5), pages 911-952, October.
- Jiti Gao & Degui Li & Dag Tjøstheim, 2011. "Uniform Consistency for Nonparametric Estimators in Null Recurrent Time Series," Monash Econometrics and Business Statistics Working Papers 13/11, Monash University, Department of Econometrics and Business Statistics.
- Jiti Gao & Degui Li & Dag Tjostheim, 2009. "Uniform Consistency for Nonparametric Estimators in Null Recurrent Time Series," School of Economics and Public Policy Working Papers 2009-26, University of Adelaide, School of Economics and Public Policy.
- Kunpeng Li & Degui Li & Zhongwen Lian & Cheng Hsiao, 2013. "Semiparametric Profile Likelihood Estimation of Varying Coefficient Models with Nonstationary Regressors," Monash Econometrics and Business Statistics Working Papers 2/13, Monash University, Department of Econometrics and Business Statistics.
- Jia Chen & Degui Li & Jiti Gao, 2013. "Non- and Semi-Parametric Panel Data Models: A Selective Review," Monash Econometrics and Business Statistics Working Papers 18/13, Monash University, Department of Econometrics and Business Statistics.
- Degui Li & Dag Tjøstheim & Jiti Gao, 2012. "Nonlinear Regression with Harris Recurrent Markov Chains," Monash Econometrics and Business Statistics Working Papers 14/12, Monash University, Department of Econometrics and Business Statistics.
- Degui Li & Oliver Linton & Zudi Lu, 2012.
"A flexible semiparametric model for time series,"
CeMMAP working papers
28/12, Institute for Fiscal Studies.
- Degui Li & Oliver Linton & Zudi Lu, 2012. "A flexible semiparametric model for time series," CeMMAP working papers CWP28/12, Centre for Microdata Methods and Practice, Institute for Fiscal Studies.
- Degui Li & Oliver Linton & Zudi Lu, 2012. "A Flexible Semiparametric Model for Time Series," Monash Econometrics and Business Statistics Working Papers 17/12, Monash University, Department of Econometrics and Business Statistics.
- Degui Li & Zudi Lu & Oliver Linton, 2011.
"Local Linear Fitting Under Near Epoch Dependence: Uniform consistency with Convergence Rates,"
Monash Econometrics and Business Statistics Working Papers
16/11, Monash University, Department of Econometrics and Business Statistics.
- Li, Degui & Lu, Zudi & Linton, Oliver, 2012. "Local Linear Fitting Under Near Epoch Dependence: Uniform Consistency With Convergence Rates," Econometric Theory, Cambridge University Press, vol. 28(5), pages 935-958, October.
- Jia Chen & Jiti Gao & Degui Li, 2011.
"Estimation in Partially Linear Single-Index Panel Data Models with Fixed Effects,"
Monash Econometrics and Business Statistics Working Papers
14/11, Monash University, Department of Econometrics and Business Statistics.
- Jia Chen & Jiti Gao & Degui Li, 2013. "Estimation in Partially Linear Single-Index Panel Data Models With Fixed Effects," Journal of Business & Economic Statistics, Taylor & Francis Journals, vol. 31(3), pages 315-330, July.
- Degui Li & Jia Chen & Jiti Gao, 2010.
"Nonparametric Time-Varying Coefficient Panel Data Models with Fixed Effects,"
School of Economics and Public Policy Working Papers
2010-08, University of Adelaide, School of Economics and Public Policy.
- Degui Li & Jia Chen & Jiti Gao, 2011. "Non‐parametric time‐varying coefficient panel data models with fixed effects," Econometrics Journal, Royal Economic Society, vol. 14(3), pages 387-408, October.
- Jia Chen & Jiti Gao & Degui Li, 2010.
"Semiparametric Trending Panel Data Models with Cross-Sectional Dependence,"
School of Economics and Public Policy Working Papers
2010-10, University of Adelaide, School of Economics and Public Policy.
- Chen, Jia & Gao, Jiti & Li, Degui, 2012. "Semiparametric trending panel data models with cross-sectional dependence," Journal of Econometrics, Elsevier, vol. 171(1), pages 71-85.
- Jia Chen & Jiti Gao & Degui Li, 2011. "Semiparametric Trending Panel Data Models with Cross-Sectional Dependence," Monash Econometrics and Business Statistics Working Papers 15/11, Monash University, Department of Econometrics and Business Statistics.
- Jia Chen & Jiti Gao & Degui Li, 2010. "Estimation in Semiparametric Time Series Regression," School of Economics and Public Policy Working Papers 2010-27, University of Adelaide, School of Economics and Public Policy.
- Degui Li & Oliver Linton & Zudi Lu, 2010.
"Loch Linear Fitting under Near Epoch Dependence: Uniform Consistency with Convergence Rate,"
STICERD - Econometrics Paper Series
549, Suntory and Toyota International Centres for Economics and Related Disciplines, LSE.
- Li, Degui & Lu, Zudi & Linton, Oliver, 2010. "Loch linear fitting under near epoch dependence: uniform consistency with convergence rate," LSE Research Online Documents on Economics 58160, London School of Economics and Political Science, LSE Library.
- Jia Chen & Jiti Gao & Degui Li, 2010.
"Estimation in Single-Index Panel Data Models with Heterogeneous Link Functions,"
School of Economics and Public Policy Working Papers
2010-09, University of Adelaide, School of Economics and Public Policy.
- Jia Chen & Jiti Gao & Degui Li, 2013. "Estimation in Single-Index Panel Data Models with Heterogeneous Link Functions," Econometric Reviews, Taylor & Francis Journals, vol. 32(8), pages 928-955, November.
- Jia Chen & Jiti Gao & Degui Li, 2011. "Estimation in Single-Index Panel Data Models with Heterogeneous Link Functions," Monash Econometrics and Business Statistics Working Papers 12/11, Monash University, Department of Econometrics and Business Statistics.
- Jia Chen & Jiti Gao & Degui Li, 2009. "Semiparametric Regression Estimation in Null Recurrent Nonlinear Time Series," School of Economics and Public Policy Working Papers 2009-02, University of Adelaide, School of Economics and Public Policy.
- Jia Chen & Jiti Gao & Degui Li, 2009. "A New Diagnostic Test for Cross-Section Independence in Nonparametric Panel Data Model," School of Economics and Public Policy Working Papers 2009-16, University of Adelaide, School of Economics and Public Policy.
Articles
- Li, Degui, 2024. "Estimation of Large Dynamic Covariance Matrices: A Selective Review," Econometrics and Statistics, Elsevier, vol. 29(C), pages 16-30.
- Yu-Ning Li & Degui Li & Piotr Fryzlewicz, 2023.
"Detection of Multiple Structural Breaks in Large Covariance Matrices,"
Journal of Business & Economic Statistics, Taylor & Francis Journals, vol. 41(3), pages 846-861, July.
- Li, Yu-Ning & Li, Degui & Fryzlewicz, Piotr, 2022. "Detection of multiple structural breaks in large covariance matrices," LSE Research Online Documents on Economics 115026, London School of Economics and Political Science, LSE Library.
- Bravo, Francesco & Li, Degui & Tjøstheim, Dag, 2021. "Robust nonlinear regression estimation in null recurrent time series," Journal of Econometrics, Elsevier, vol. 224(2), pages 416-438.
- Jia Chen & Degui Li & Lingling Wei & Wenyang Zhang, 2021.
"Nonparametric homogeneity pursuit in functional-coefficient models,"
Journal of Nonparametric Statistics, Taylor & Francis Journals, vol. 33(3-4), pages 387-416, October.
- Jia Chen & Degui Li & Lingling Wei & Wenyang Zhang, 2019. "Nonparametric Homogeneity Pursuit in Functional-Coefficient Models," Discussion Papers 19/03, Department of Economics, University of York.
- Degui Li & Qi Li & Zheng Li, 2021. "Nonparametric Quantile Regression Estimation With Mixed Discrete and Continuous Data," Journal of Business & Economic Statistics, Taylor & Francis Journals, vol. 39(3), pages 741-756, July.
- Degui Li & Peter M. Robinson & Han Lin Shang, 2021. "Local Whittle estimation of long‐range dependence for functional time series," Journal of Time Series Analysis, Wiley Blackwell, vol. 42(5-6), pages 685-695, September.
- Wang, Hanchao & Peng, Bin & Li, Degui & Leng, Chenlei, 2021. "Nonparametric estimation of large covariance matrices with conditional sparsity," Journal of Econometrics, Elsevier, vol. 223(1), pages 53-72.
- Li, Degui & Phillips, Peter C.B. & Gao, Jiti, 2020.
"Kernel-based Inference in Time-Varying Coefficient Cointegrating Regression,"
Journal of Econometrics, Elsevier, vol. 215(2), pages 607-632.
- Degui Li & Peter C.B. Phillips & Jiti Gao, 2017. "Kernel-Based Inference In Time-Varying Coefficient Cointegrating Regression," Cowles Foundation Discussion Papers 2109, Cowles Foundation for Research in Economics, Yale University.
- Degui Li & Jiraroj Tosasukul & Wenyang Zhang, 2020. "Nonlinear Factor‐Augmented Predictive Regression Models with Functional Coefficients," Journal of Time Series Analysis, Wiley Blackwell, vol. 41(3), pages 367-386, May.
- Degui Li & Peter M. Robinson & Han Lin Shang, 2020. "Long-Range Dependent Curve Time Series," Journal of the American Statistical Association, Taylor & Francis Journals, vol. 115(530), pages 957-971, April.
- Chen, Xirong & Li, Degui & Li, Qi & Li, Zheng, 2019. "Nonparametric estimation of conditional quantile functions in the presence of irrelevant covariates," Journal of Econometrics, Elsevier, vol. 212(2), pages 433-450.
- Chen, Jia & Li, Degui & Xia, Yingcun, 2019. "Estimation of a rank-reduced functional-coefficient panel data model with serial correlation," Journal of Multivariate Analysis, Elsevier, vol. 173(C), pages 456-479.
- Chen, Jia & Li, Degui & Linton, Oliver, 2019.
"A new semiparametric estimation approach for large dynamic covariance matrices with multiple conditioning variables,"
Journal of Econometrics, Elsevier, vol. 212(1), pages 155-176.
- Jia Chen & Degui Li & Oliver Linton, 2018. "A New Semiparametric Estimation Approach for Large Dynamic Covariance Matrices with Multiple Conditioning Variables," Discussion Papers 18/14, Department of Economics, University of York.
- Chen, J. & Li, D. & Linton, O., 2018. "A New Semiparametric Estimation Approach for Large Dynamic Covariance Matrices with Multiple Conditioning Variables," Cambridge Working Papers in Economics 1876, Faculty of Economics, University of Cambridge.
- Jia Chen & Degui Li & Oliver Linton & Zudi Lu, 2018. "Semiparametric Ultra-High Dimensional Model Averaging of Nonlinear Dynamic Time Series," Journal of the American Statistical Association, Taylor & Francis Journals, vol. 113(522), pages 919-932, April.
- Xiangjin B. Chen & Jiti Gao & Degui Li & Param Silvapulle, 2018. "Nonparametric Estimation and Forecasting for Time-Varying Coefficient Realized Volatility Models," Journal of Business & Economic Statistics, Taylor & Francis Journals, vol. 36(1), pages 88-100, January.
- Kunpeng Li & Degui Li & Zhongwen Liang & Cheng Hsiao, 2017. "Estimation of semi-varying coefficient models with nonstationary regressors," Econometric Reviews, Taylor & Francis Journals, vol. 36(1-3), pages 354-369, March.
- Phillips, Peter C.B. & Li, Degui & Gao, Jiti, 2017.
"Estimating smooth structural change in cointegration models,"
Journal of Econometrics, Elsevier, vol. 196(1), pages 180-195.
- Peter C.B. Phillips & Degui Li & Jiti Gao, 2013. "Estimating Smooth Structural Change in Cointegration Models," Cowles Foundation Discussion Papers 1910, Cowles Foundation for Research in Economics, Yale University.
- Peter C. B. Phillips & Degui Li & Jiti Gao, 2013. "Estimating Smooth Structural Change in Cointegration Models," Monash Econometrics and Business Statistics Working Papers 22/13, Monash University, Department of Econometrics and Business Statistics.
- Li, Degui & Li, Runze, 2016. "Local composite quantile regression smoothing for Harris recurrent Markov processes," Journal of Econometrics, Elsevier, vol. 194(1), pages 44-56.
- Chen, Jia & Li, Degui & Linton, Oliver & Lu, Zudi, 2016.
"Semiparametric dynamic portfolio choice with multiple conditioning variables,"
Journal of Econometrics, Elsevier, vol. 194(2), pages 309-318.
- Jia Chen & Degui Li & Oliver Linton & Zudi Lu, 2015. "Semiparametric dynamic portfolio choice with multiple conditioning variables," CeMMAP working papers 07/15, Institute for Fiscal Studies.
- Jia Chen & Degui Li & Oliver Linton & Zudi Lu, 2015. "Semiparametric dynamic portfolio choice with multiple conditioning variables," CeMMAP working papers CWP07/15, Centre for Microdata Methods and Practice, Institute for Fiscal Studies.
- Jia Chen & Degui Li & Oliver Linton & Zudi Lu, 2015. "Semiparametric Dynamic Portfolio Choice with Multiple Conditioning Variables," Discussion Papers 15/01, Department of Economics, University of York.
- Li, Degui & Simar, Léopold & Zelenyuk, Valentin, 2016.
"Generalized nonparametric smoothing with mixed discrete and continuous data,"
Computational Statistics & Data Analysis, Elsevier, vol. 100(C), pages 424-444.
- Li, Degui & Simar, Leopold & Zelenyuk, Valentin, 2016. "Generalized nonparametric smoothing with mixed discrete and continuous data," LIDAM Reprints ISBA 2016020, Université catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA).
- Degui Li & Junhui Qian & Liangjun Su, 2016. "Panel Data Models With Interactive Fixed Effects and Multiple Structural Breaks," Journal of the American Statistical Association, Taylor & Francis Journals, vol. 111(516), pages 1804-1819, October.
- Li, Degui & Phillips, Peter C. B. & Gao, Jiti, 2016.
"Uniform Consistency Of Nonstationary Kernel-Weighted Sample Covariances For Nonparametric Regression,"
Econometric Theory, Cambridge University Press, vol. 32(3), pages 655-685, June.
- Degui Li & Peter C.B. Phillips & Jiti Gao, 2013. "Uniform Consistency of Nonstationary Kernel-Weighted Sample Covariances for Nonparametric Regression," Cowles Foundation Discussion Papers 1929, Cowles Foundation for Research in Economics, Yale University.
- Degui Li & Peter C. B. Phillips & Jiti Gao, 2013. "Uniform Consistency of Nonstationary Kernel-Weighted Sample Covariances for Nonparametric Regression," Monash Econometrics and Business Statistics Working Papers 27/13, Monash University, Department of Econometrics and Business Statistics.
- Gao, Jiti & Kanaya, Shin & Li, Degui & Tjøstheim, Dag, 2015.
"Uniform Consistency For Nonparametric Estimators In Null Recurrent Time Series,"
Econometric Theory, Cambridge University Press, vol. 31(5), pages 911-952, October.
- Jiti Gao & Shin Kanaya & Degui Li & Dag Tjøstheim, 2013. "Uniform Consistency for Nonparametric Estimators in Null Recurrent Time Series," CREATES Research Papers 2013-29, Department of Economics and Business Economics, Aarhus University.
- Jiti Gao & Degui Li & Dag Tjøstheim, 2011. "Uniform Consistency for Nonparametric Estimators in Null Recurrent Time Series," Monash Econometrics and Business Statistics Working Papers 13/11, Monash University, Department of Econometrics and Business Statistics.
- Jiti Gao & Degui Li & Dag Tjostheim, 2009. "Uniform Consistency for Nonparametric Estimators in Null Recurrent Time Series," School of Economics and Public Policy Working Papers 2009-26, University of Adelaide, School of Economics and Public Policy.
- Zhang, Wenyang & Li, Degui & Xia, Yingcun, 2015. "Estimation in generalised varying-coefficient models with unspecified link functions," Journal of Econometrics, Elsevier, vol. 187(1), pages 238-255.
- Jia Chen & Jiti Gao & Degui Li & Zhengyan Lin, 2015.
"Specification testing in nonstationary time series models,"
Econometrics Journal, Royal Economic Society, vol. 18(1), pages 117-136, February.
- Jia Chen & Jiti Gao & Degui Li & Zhengyan Lin, 2014. "Specification Testing in Nonstationary Time Series Models," Discussion Papers 14/19, Department of Economics, University of York.
- Li, Degui & Linton, Oliver & Lu, Zudi, 2015. "A flexible semiparametric forecasting model for time series," Journal of Econometrics, Elsevier, vol. 187(1), pages 345-357.
- Jia Chen & Jiti Gao & Degui Li, 2013.
"Estimation in Partially Linear Single-Index Panel Data Models With Fixed Effects,"
Journal of Business & Economic Statistics, Taylor & Francis Journals, vol. 31(3), pages 315-330, July.
- Jia Chen & Jiti Gao & Degui Li, 2011. "Estimation in Partially Linear Single-Index Panel Data Models with Fixed Effects," Monash Econometrics and Business Statistics Working Papers 14/11, Monash University, Department of Econometrics and Business Statistics.
- Jia Chen & Jiti Gao & Degui Li, 2013.
"Estimation in Single-Index Panel Data Models with Heterogeneous Link Functions,"
Econometric Reviews, Taylor & Francis Journals, vol. 32(8), pages 928-955, November.
- Jia Chen & Jiti Gao & Degui Li, 2011. "Estimation in Single-Index Panel Data Models with Heterogeneous Link Functions," Monash Econometrics and Business Statistics Working Papers 12/11, Monash University, Department of Econometrics and Business Statistics.
- Jia Chen & Jiti Gao & Degui Li, 2010. "Estimation in Single-Index Panel Data Models with Heterogeneous Link Functions," School of Economics and Public Policy Working Papers 2010-09, University of Adelaide, School of Economics and Public Policy.
- Chen, Jia & Gao, Jiti & Li, Degui, 2012. "A New Diagnostic Test For Cross-Section Uncorrelatedness In Nonparametric Panel Data Models," Econometric Theory, Cambridge University Press, vol. 28(5), pages 1144-1163, October.
- Chen, Jia & Gao, Jiti & Li, Degui, 2012.
"Semiparametric trending panel data models with cross-sectional dependence,"
Journal of Econometrics, Elsevier, vol. 171(1), pages 71-85.
- Jia Chen & Jiti Gao & Degui Li, 2011. "Semiparametric Trending Panel Data Models with Cross-Sectional Dependence," Monash Econometrics and Business Statistics Working Papers 15/11, Monash University, Department of Econometrics and Business Statistics.
- Jia Chen & Jiti Gao & Degui Li, 2010. "Semiparametric Trending Panel Data Models with Cross-Sectional Dependence," School of Economics and Public Policy Working Papers 2010-10, University of Adelaide, School of Economics and Public Policy.
- Li, Degui & Lu, Zudi & Linton, Oliver, 2012.
"Local Linear Fitting Under Near Epoch Dependence: Uniform Consistency With Convergence Rates,"
Econometric Theory, Cambridge University Press, vol. 28(5), pages 935-958, October.
- Degui Li & Zudi Lu & Oliver Linton, 2011. "Local Linear Fitting Under Near Epoch Dependence: Uniform consistency with Convergence Rates," Monash Econometrics and Business Statistics Working Papers 16/11, Monash University, Department of Econometrics and Business Statistics.
- Degui Li & Jia Chen & Jiti Gao, 2011.
"Non‐parametric time‐varying coefficient panel data models with fixed effects,"
Econometrics Journal, Royal Economic Society, vol. 14(3), pages 387-408, October.
- Degui Li & Jia Chen & Jiti Gao, 2010. "Nonparametric Time-Varying Coefficient Panel Data Models with Fixed Effects," School of Economics and Public Policy Working Papers 2010-08, University of Adelaide, School of Economics and Public Policy.
- Chen, Jia & Li, Degui & Zhang, Lixin, 2010. "Robust estimation in a nonlinear cointegration model," Journal of Multivariate Analysis, Elsevier, vol. 101(3), pages 706-717, March.
- Zhengyan Lin & Degui Li & Jiti Gao, 2009. "Local Linear M‐estimation in non‐parametric spatial regression," Journal of Time Series Analysis, Wiley Blackwell, vol. 30(3), pages 286-314, May.
- Degui Li & Jia Chen & Zhengyan Lin, 2009. "Variable selection in partially time-varying coefficient models," Journal of Nonparametric Statistics, Taylor & Francis Journals, vol. 21(5), pages 553-566.
- Chen Jia & Zhang Lixin & Li Degui, 2008. "Spatial local M-estimation under association," Metrika: International Journal for Theoretical and Applied Statistics, Springer, vol. 67(1), pages 11-29, January.
- Lin, Zhengyan & Li, Degui & Chen, Jia, 2008. "Change point estimators by local polynomial fits under a dependence assumption," Journal of Multivariate Analysis, Elsevier, vol. 99(10), pages 2339-2355, November.
- Lin, Zhengyan & Li, Degui, 2007. "Asymptotic normality for L1-norm kernel estimator of conditional median under association dependence," Journal of Multivariate Analysis, Elsevier, vol. 98(6), pages 1214-1230, July.
- Lin Zhengyan & Li Degui & Chen Jia, 2007. "Asymptotic behavior for S-estimators in random design linear model with long-range-dependent errors," Metrika: International Journal for Theoretical and Applied Statistics, Springer, vol. 66(3), pages 289-303, November.
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This author is among the top 5% authors according to these criteria: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 38 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 (30) 2010-06-11 2010-06-11 2010-06-11 2010-11-06 2011-10-01 2011-10-01 2011-10-01 2012-07-14 2012-09-16 2013-02-16 2013-09-24 2013-11-16 2013-11-16 2013-12-29 2014-10-22 2014-12-29 2015-02-28 2015-10-17 2015-10-17 2015-12-28 2017-09-17 2018-04-23 2018-11-05 2019-03-18 2022-08-22 2023-04-10 2023-04-24 2023-05-15 2024-02-12 2024-04-15. Author is listed
- NEP-ETS: Econometric Time Series (24) 2010-06-11 2010-06-11 2010-11-06 2011-10-01 2011-10-01 2011-10-01 2012-09-16 2012-10-06 2013-02-16 2013-09-24 2013-11-16 2013-11-16 2013-12-29 2014-10-22 2015-10-17 2015-11-01 2015-12-28 2017-09-17 2018-04-23 2023-03-06 2023-04-10 2023-05-15 2024-02-12 2024-04-15. Author is listed
- NEP-ORE: Operations Research (8) 2012-07-14 2012-10-06 2014-10-22 2015-10-17 2015-10-17 2015-11-01 2018-11-05 2019-03-18. Author is listed
- NEP-FOR: Forecasting (5) 2012-09-16 2012-10-06 2013-11-16 2015-10-17 2015-11-01. Author is listed
- NEP-MST: Market Microstructure (3) 2023-08-14 2024-04-01 2024-04-15
- NEP-RMG: Risk Management (3) 2023-08-14 2024-04-01 2024-04-15
- NEP-DCM: Discrete Choice Models (2) 2023-04-24 2024-02-12
- NEP-NET: Network Economics (2) 2023-03-06 2023-04-10
- NEP-UPT: Utility Models and Prospect Theory (2) 2015-02-28 2015-08-13
- NEP-SEA: South East Asia (1) 2015-12-28
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