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Qingfeng Liu

Personal Details

First Name:Qingfeng
Middle Name:
Last Name:Liu
Suffix:
RePEc Short-ID:pli894
http://www.otaru-uc.ac.jp/~qliu/index3.html

Affiliation

Department of Economics
Otaru University of Commerce

Otaru, Japan
http://www.otaru-uc.ac.jp/dept/econ/
RePEc:edi:deotajp (more details at EDIRC)

Research output

as
Jump to: Working papers Articles

Working papers

  1. Yang Feng & Qingfeng Liu, 2020. "Nested Model Averaging on Solution Path for High-dimensional Linear Regression," Papers 2005.08057, arXiv.org.
  2. Qingfeng Liu & Ryo Okui & Arihiro Yoshimura, 2013. "Generalized Least Squares Model Averaging," KIER Working Papers 855, Kyoto University, Institute of Economic Research.
  3. Liu, Qingfeng, 2011. "Generalized Cp Model Averaging for Heteroskedastic Models," ビジネス創造センターディスカッション・ペーパー (Discussion papers of the Center for Business Creation) 10252/4544, Otaru University of Commerce.
  4. Liu, Qingfeng, 2009. "部分線形モデルの差分推定量の漸近理論 = Asymptotic Theory for Difference-based Estimator of Partially Linear Models," ビジネス創造センターディスカッション・ペーパー (Discussion papers of the Center for Business Creation) 10252/3450, Otaru University of Commerce.
  5. Liu, Qingfeng, 2009. "モデル平均理論の新展開," ビジネス創造センターディスカッション・ペーパー (Discussion papers of the Center for Business Creation) 10252/3451, Otaru University of Commerce.

Articles

  1. Qingfeng Liu & Qingsong Yao & Guoqing Zhao, 2020. "Model averaging estimation for conditional volatility models with an application to stock market volatility forecast," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 39(5), pages 841-863, August.
  2. Feng, Yang & Liu, Qingfeng & Okui, Ryo, 2020. "On the sparsity of Mallows model averaging estimator," Economics Letters, Elsevier, vol. 187(C).
  3. Qingfeng Liu & Andrey L. Vasnev, 2019. "A Combination Method for Averaging OLS and GLS Estimators," Econometrics, MDPI, vol. 7(3), pages 1-12, September.
  4. Qingfeng Liu & Ryo Okui & Arihiro Yoshimura, 2016. "Generalized Least Squares Model Averaging," Econometric Reviews, Taylor & Francis Journals, vol. 35(8-10), pages 1692-1752, December.
  5. Wenjie Wang & Qingfeng Liu, 2015. "Bootstrap-based Selection for Instrumental Variables Model," Economics Bulletin, AccessEcon, vol. 35(3), pages 1886-1896.
  6. Qingfeng Liu & Ryo Okui, 2013. "Heteroscedasticity‐robust C(p) model averaging," Econometrics Journal, Royal Economic Society, vol. 16(3), pages 463-472, October.
  7. Liu, Qingfeng & Nishiyama, Yoshihiko, 2008. "Maximum empirical likelihood estimation of continuous-time models with conditional characteristic functions," Mathematics and Computers in Simulation (MATCOM), Elsevier, vol. 78(2), pages 341-350.
  8. Qingfeng Liu & Kimio Morimune, 2005. "A Modified GARCH Model with Spells of Shocks," Asia-Pacific Financial Markets, Springer;Japanese Association of Financial Economics and Engineering, vol. 12(1), pages 29-44, March.

Citations

Many of the citations below have been collected in an experimental project, CitEc, where a more detailed citation analysis can be found. These are citations from works listed in RePEc that could be analyzed mechanically. So far, only a minority of all works could be analyzed. See under "Corrections" how you can help improve the citation analysis.

Working papers

  1. Qingfeng Liu & Ryo Okui & Arihiro Yoshimura, 2013. "Generalized Least Squares Model Averaging," KIER Working Papers 855, Kyoto University, Institute of Economic Research.

    Cited by:

    1. Guozhi Hu & Weihu Cheng & Jie Zeng, 2023. "Optimal Model Averaging for Semiparametric Partially Linear Models with Censored Data," Mathematics, MDPI, vol. 11(3), pages 1-21, February.
    2. Qingfeng Liu & Qingsong Yao & Guoqing Zhao, 2020. "Model averaging estimation for conditional volatility models with an application to stock market volatility forecast," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 39(5), pages 841-863, August.
    3. Mohitosh Kejriwal & Xuewen Yu, 2019. "Generalized Forecasr Averaging in Autoregressions with a Near Unit Root," Purdue University Economics Working Papers 1318, Purdue University, Department of Economics.
    4. Sun, Yuying & Hong, Yongmiao & Wang, Shouyang & Zhang, Xinyu, 2023. "Penalized time-varying model averaging," Journal of Econometrics, Elsevier, vol. 235(2), pages 1355-1377.
    5. Povilas Lastauskas & Julius Stakénas, 2019. "Does It Matter When Labor Market Reforms Are Implemented? The Role of the Monetary Policy Environment," CESifo Working Paper Series 7844, CESifo.
    6. Cong Li & Qi Li & Jeffrey Racine & DAIQIANG ZHANG, 2017. "Optimal Model Averaging Of Varying Coefficient Models," Department of Economics Working Papers 2017-01, McMaster University.
    7. Ryan Greenaway-McGrevy & Kade Sorensen, 2021. "A spatial model averaging approach to measuring house prices," Journal of Spatial Econometrics, Springer, vol. 2(1), pages 1-32, December.
    8. Mark F. J. Steel, 2020. "Model Averaging and Its Use in Economics," Journal of Economic Literature, American Economic Association, vol. 58(3), pages 644-719, September.
    9. Michael Schomaker & Christian Heumann, 2020. "When and when not to use optimal model averaging," Statistical Papers, Springer, vol. 61(5), pages 2221-2240, October.
    10. Cheng, Tzu-Chang F. & Ing, Ching-Kang & Yu, Shu-Hui, 2015. "Toward optimal model averaging in regression models with time series errors," Journal of Econometrics, Elsevier, vol. 189(2), pages 321-334.
    11. Liao, Jun & Wan, Alan T.K. & He, Shuyuan & Zou, Guohua, 2022. "Optimal model averaging for multivariate regression models," Journal of Multivariate Analysis, Elsevier, vol. 189(C).
    12. Qingfeng Liu & Andrey L. Vasnev, 2019. "A Combination Method for Averaging OLS and GLS Estimators," Econometrics, MDPI, vol. 7(3), pages 1-12, September.
    13. Yang Feng & Qingfeng Liu, 2020. "Nested Model Averaging on Solution Path for High-dimensional Linear Regression," Papers 2005.08057, arXiv.org.
    14. Longbiao Liao & Jinghao Liu, 2024. "Model Averaging for Accelerated Failure Time Models with Missing Censoring Indicators," Mathematics, MDPI, vol. 12(5), pages 1-16, February.
    15. Greenaway-McGrevy, Ryan, 2022. "Forecast combination for VARs in large N and T panels," International Journal of Forecasting, Elsevier, vol. 38(1), pages 142-164.
    16. Povilas Lastauskas & Julius Stak.enas, 2024. "Labor Market Policies in High- and Low-Interest Rate Environments: Evidence from the Euro Area," Papers 2410.12024, arXiv.org.
    17. Dong, Qingkai & Liu, Binxia & Zhao, Hui, 2023. "Weighted least squares model averaging for accelerated failure time models," Computational Statistics & Data Analysis, Elsevier, vol. 184(C).

Articles

  1. Qingfeng Liu & Qingsong Yao & Guoqing Zhao, 2020. "Model averaging estimation for conditional volatility models with an application to stock market volatility forecast," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 39(5), pages 841-863, August.

    Cited by:

    1. Zhang, Xiaomeng & Zhang, Xinyu, 2023. "Optimal model averaging based on forward-validation," Journal of Econometrics, Elsevier, vol. 237(2).
    2. Yang Feng & Qingfeng Liu, 2020. "Nested Model Averaging on Solution Path for High-dimensional Linear Regression," Papers 2005.08057, arXiv.org.

  2. Feng, Yang & Liu, Qingfeng & Okui, Ryo, 2020. "On the sparsity of Mallows model averaging estimator," Economics Letters, Elsevier, vol. 187(C).

    Cited by:

    1. Shi, Pengfei & Zhang, Xinyu & Zhong, Wei, 2024. "Estimating conditional average treatment effects with heteroscedasticity by model averaging and matching," Economics Letters, Elsevier, vol. 238(C).
    2. Sun, Yuying & Hong, Yongmiao & Wang, Shouyang & Zhang, Xinyu, 2023. "Penalized time-varying model averaging," Journal of Econometrics, Elsevier, vol. 235(2), pages 1355-1377.
    3. Tianming Gao & Vasilii Erokhin, 2020. "Capturing a Complexity of Nutritional, Environmental, and Economic Impacts on Selected Health Parameters in the Russian High North," Sustainability, MDPI, vol. 12(5), pages 1-25, March.
    4. Yang Feng & Qingfeng Liu, 2020. "Nested Model Averaging on Solution Path for High-dimensional Linear Regression," Papers 2005.08057, arXiv.org.
    5. Vasilii Erokhin & Li Diao & Tianming Gao & Jean-Vasile Andrei & Anna Ivolga & Yuhang Zong, 2021. "The Supply of Calories, Proteins, and Fats in Low-Income Countries: A Four-Decade Retrospective Study," IJERPH, MDPI, vol. 18(14), pages 1-30, July.

  3. Qingfeng Liu & Ryo Okui & Arihiro Yoshimura, 2016. "Generalized Least Squares Model Averaging," Econometric Reviews, Taylor & Francis Journals, vol. 35(8-10), pages 1692-1752, December.
    See citations under working paper version above.
  4. Qingfeng Liu & Ryo Okui, 2013. "Heteroscedasticity‐robust C(p) model averaging," Econometrics Journal, Royal Economic Society, vol. 16(3), pages 463-472, October.

    Cited by:

    1. Yin, Anwen, 2015. "Forecasting and model averaging with structural breaks," ISU General Staff Papers 201501010800005727, Iowa State University, Department of Economics.
    2. Steven Lehrer & Tian Xie, 2020. "The Bigger Picture: Combining Econometrics with Analytics Improve Forecasts of Movie Success," Working Paper 1449, Economics Department, Queen's University.
    3. Toru Kitagawa & Chris Muris, 2015. "Model averaging in semiparametric estimation of treatment effects," CeMMAP working papers CWP46/15, Centre for Microdata Methods and Practice, Institute for Fiscal Studies.
    4. Qingfeng Liu & Qingsong Yao & Guoqing Zhao, 2020. "Model averaging estimation for conditional volatility models with an application to stock market volatility forecast," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 39(5), pages 841-863, August.
    5. Zhang, Xinyu & Liu, Chu-An, 2023. "Model averaging prediction by K-fold cross-validation," Journal of Econometrics, Elsevier, vol. 235(1), pages 280-301.
    6. Anatolyev, Stanislav, 2021. "Mallows criterion for heteroskedastic linear regressions with many regressors," Economics Letters, Elsevier, vol. 203(C).
    7. Sun, Yuying & Hong, Yongmiao & Wang, Shouyang & Zhang, Xinyu, 2023. "Penalized time-varying model averaging," Journal of Econometrics, Elsevier, vol. 235(2), pages 1355-1377.
    8. Zhao, Shangwei & Zhou, Jianhong & Li, Hongjun, 2016. "Model averaging with high-dimensional dependent data," Economics Letters, Elsevier, vol. 148(C), pages 68-71.
    9. Shangwei Zhao & Aman Ullah & Xinyu Zhang, 2018. "A Class of Model Averaging Estimators," Working Paper series 18-11, Rimini Centre for Economic Analysis.
    10. Povilas Lastauskas & Julius Stakénas, 2019. "Does It Matter When Labor Market Reforms Are Implemented? The Role of the Monetary Policy Environment," CESifo Working Paper Series 7844, CESifo.
    11. Yongmiao Hong & Tae-Hwy Lee & Yuying Sun & Shouyang Wang & Xinyu Zhang, 2017. "Time-varying Model Averaging," Working Papers 202001, University of California at Riverside, Department of Economics.
    12. Cong Li & Qi Li & Jeffrey Racine & DAIQIANG ZHANG, 2017. "Optimal Model Averaging Of Varying Coefficient Models," Department of Economics Working Papers 2017-01, McMaster University.
    13. Zhang, Xinyu & Ullah, Aman & Zhao, Shangwei, 2016. "On the dominance of Mallows model averaging estimator over ordinary least squares estimator," Economics Letters, Elsevier, vol. 142(C), pages 69-73.
    14. Xiaomeng Zhang & Wendun Wang & Xinyu Zhang, 2022. "Asymptotic Properties of the Synthetic Control Method," Papers 2211.12095, arXiv.org.
    15. Tadao Hoshino, 2018. "Semiparametric Spatial Autoregressive Models With Endogenous Regressors: With an Application to Crime Data," Journal of Business & Economic Statistics, Taylor & Francis Journals, vol. 36(1), pages 160-172, January.
    16. Zhao, Shangwei & Zhang, Xinyu & Gao, Yichen, 2016. "Model averaging with averaging covariance matrix," Economics Letters, Elsevier, vol. 145(C), pages 214-217.
    17. Qingfeng Liu & Ryo Okui & Arihiro Yoshimura, 2013. "Generalized Least Squares Model Averaging," KIER Working Papers 855, Kyoto University, Institute of Economic Research.
    18. Yuting Wei & Qihua Wang & Wei Liu, 2021. "Model averaging for linear models with responses missing at random," Annals of the Institute of Statistical Mathematics, Springer;The Institute of Statistical Mathematics, vol. 73(3), pages 535-553, June.
    19. Xinyu Zhang & Dalei Yu & Guohua Zou & Hua Liang, 2016. "Optimal Model Averaging Estimation for Generalized Linear Models and Generalized Linear Mixed-Effects Models," Journal of the American Statistical Association, Taylor & Francis Journals, vol. 111(516), pages 1775-1790, October.
    20. Yin-Wong Cheung & Wenhao Wang, 2019. "A Jackknife Model Averaging Analysis of RMB Misalignment Estimates," CESifo Working Paper Series 7840, CESifo.
    21. Ren, Yu & Liang, Xuanxuan & Wang, Qin, 2021. "Short-term exchange rate forecasting: A panel combination approach," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 73(C).
    22. Cheng, Tzu-Chang F. & Ing, Ching-Kang & Yu, Shu-Hui, 2015. "Toward optimal model averaging in regression models with time series errors," Journal of Econometrics, Elsevier, vol. 189(2), pages 321-334.
    23. Qiu, Yue & Wang, Zongrun & Xie, Tian & Zhang, Xinyu, 2021. "Forecasting Bitcoin realized volatility by exploiting measurement error under model uncertainty," Journal of Empirical Finance, Elsevier, vol. 62(C), pages 179-201.
    24. Lu, Xun & Su, Liangjun, 2015. "Jackknife model averaging for quantile regressions," Journal of Econometrics, Elsevier, vol. 188(1), pages 40-58.
    25. Tian Xie, 2019. "Forecast Bitcoin Volatility with Least Squares Model Averaging," Econometrics, MDPI, vol. 7(3), pages 1-20, September.
    26. Zhao, Shangwei & Ullah, Aman & Zhang, Xinyu, 2018. "A class of model averaging estimators," Economics Letters, Elsevier, vol. 162(C), pages 101-106.
    27. Yuan, Chaoxia & Fang, Fang & Ni, Lyu, 2022. "Mallows model averaging with effective model size in fragmentary data prediction," Computational Statistics & Data Analysis, Elsevier, vol. 173(C).
    28. Yan Gao & Xinyu Zhang & Shouyang Wang & Terence Tai-leung Chong & Guohua Zou, 2019. "Frequentist model averaging for threshold models," Annals of the Institute of Statistical Mathematics, Springer;The Institute of Statistical Mathematics, vol. 71(2), pages 275-306, April.
    29. Shou-Yung Yin & Chu-An Liu & Chang-Ching Lin, 2016. "Focused Information Criterion and Model Averaging for Large Panels with a Multifactor Error Structure," IEAS Working Paper : academic research 16-A016, Institute of Economics, Academia Sinica, Taipei, Taiwan.
    30. Wei, Yuting & Wang, Qihua, 2021. "Cross-validation-based model averaging in linear models with response missing at random," Statistics & Probability Letters, Elsevier, vol. 171(C).
    31. Zhang, Xinyu & Yu, Jihai, 2018. "Spatial weights matrix selection and model averaging for spatial autoregressive models," Journal of Econometrics, Elsevier, vol. 203(1), pages 1-18.
    32. Chu-An Liu & Biing-Shen Kuo & Wen-Jen Tsay, 2017. "Autoregressive Spectral Averaging Estimator," IEAS Working Paper : academic research 17-A013, Institute of Economics, Academia Sinica, Taipei, Taiwan.
    33. Zhang, Xinyu, 2015. "Consistency of model averaging estimators," Economics Letters, Elsevier, vol. 130(C), pages 120-123.
    34. Shangwei Zhao & Jun Liao & Dalei Yu, 2020. "Model averaging estimator in ridge regression and its large sample properties," Statistical Papers, Springer, vol. 61(4), pages 1719-1739, August.
    35. Aman Ullah & Xinyu Zhang, 2015. "Grouped Model Averaging for Finite Sample Size," Working Papers 201501, University of California at Riverside, Department of Economics.
    36. Liao, Jun & Zou, Guohua & Gao, Yan & Zhang, Xinyu, 2021. "Model averaging prediction for time series models with a diverging number of parameters," Journal of Econometrics, Elsevier, vol. 223(1), pages 190-221.
    37. Liao, Jun & Zou, Guohua, 2020. "Corrected Mallows criterion for model averaging," Computational Statistics & Data Analysis, Elsevier, vol. 144(C).
    38. Yan, Xiaodong & Wang, Hongni & Wang, Wei & Xie, Jinhan & Ren, Yanyan & Wang, Xinjun, 2021. "Optimal model averaging forecasting in high-dimensional survival analysis," International Journal of Forecasting, Elsevier, vol. 37(3), pages 1147-1155.
    39. Liao, Jun & Zong, Xianpeng & Zhang, Xinyu & Zou, Guohua, 2019. "Model averaging based on leave-subject-out cross-validation for vector autoregressions," Journal of Econometrics, Elsevier, vol. 209(1), pages 35-60.
    40. Fang, Fang & Li, Jialiang & Xia, Xiaochao, 2022. "Semiparametric model averaging prediction for dichotomous response," Journal of Econometrics, Elsevier, vol. 229(2), pages 219-245.
    41. Peng, Jingfu & Yang, Yuhong, 2022. "On improvability of model selection by model averaging," Journal of Econometrics, Elsevier, vol. 229(2), pages 246-262.
    42. Qingfeng Liu & Andrey L. Vasnev, 2019. "A Combination Method for Averaging OLS and GLS Estimators," Econometrics, MDPI, vol. 7(3), pages 1-12, September.
    43. Jie Zeng & Weihu Cheng & Guozhi Hu, 2023. "Optimal Model Averaging Estimation for the Varying-Coefficient Partially Linear Models with Missing Responses," Mathematics, MDPI, vol. 11(8), pages 1-21, April.
    44. Zhang, Xiaomeng & Zhang, Xinyu, 2023. "Optimal model averaging based on forward-validation," Journal of Econometrics, Elsevier, vol. 237(2).
    45. Yang Feng & Qingfeng Liu, 2020. "Nested Model Averaging on Solution Path for High-dimensional Linear Regression," Papers 2005.08057, arXiv.org.
    46. Feng, Yang & Liu, Qingfeng & Okui, Ryo, 2020. "On the sparsity of Mallows model averaging estimator," Economics Letters, Elsevier, vol. 187(C).
    47. Longbiao Liao & Jinghao Liu, 2024. "Model Averaging for Accelerated Failure Time Models with Missing Censoring Indicators," Mathematics, MDPI, vol. 12(5), pages 1-16, February.
    48. Greenaway-McGrevy, Ryan, 2022. "Forecast combination for VARs in large N and T panels," International Journal of Forecasting, Elsevier, vol. 38(1), pages 142-164.
    49. Xie, Tian, 2017. "Heteroscedasticity-robust model screening: A useful toolkit for model averaging in big data analytics," Economics Letters, Elsevier, vol. 151(C), pages 119-122.
    50. Alena Skolkova, 2023. "Model Averaging with Ridge Regularization," CERGE-EI Working Papers wp758, The Center for Economic Research and Graduate Education - Economics Institute, Prague.

  5. Liu, Qingfeng & Nishiyama, Yoshihiko, 2008. "Maximum empirical likelihood estimation of continuous-time models with conditional characteristic functions," Mathematics and Computers in Simulation (MATCOM), Elsevier, vol. 78(2), pages 341-350.

    Cited by:

    1. Moreno, Manuel & Serrano, Pedro & Stute, Winfried, 2011. "Statistical properties and economic implications of jump-diffusion processes with shot-noise effects," European Journal of Operational Research, Elsevier, vol. 214(3), pages 656-664, November.

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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 2 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 (2) 2013-04-06 2020-06-15
  2. NEP-ORE: Operations Research (2) 2013-04-06 2020-06-15

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