Liangjun Su

Tsinghua University

C.V. Starr Professor

B606 Lihua Building

School of Economics and Management

Beijing, Beijing 100084

China

  • Tsinghua University

SCHOLARLY PAPERS

28

DOWNLOADS
Rank 41,474

SSRN RANKINGS

Top 41,474

in Total Papers Downloads

2,487

TOTAL CITATIONS
Rank 17,455

SSRN RANKINGS

Top 17,455

in Total Papers Citations

71

Scholarly Papers (28)

Actions:
Email selected abstracts
1.

Identifying Latent Structures in Panel Data

Number of pages: 75 Posted: 13 Jun 2014 Last Revised: 30 Jun 2016
Liangjun Su, Zhentao Shi and Peter C. B. Phillips
Tsinghua University, Department of Economics, the Chinese University of Hong Kong and University of Auckland Business School
Downloads 368 (166,242)
Citation 5

Abstract:

Loading...

Classification; Cluster analysis; Convergence club; Dynamic panel; Group Lasso; High dimensionality; Oracle property; Panel structure model; Parameter heterogeneity; Penalized least squares; Penalized GMM

2.

Shrinkage Estimation of Dynamic Panel Data Models with Interactive Fixed Effects

Number of pages: 94 Posted: 09 Feb 2015
Xun Lu and Liangjun Su
HKUST and Tsinghua University
Downloads 212 (292,503)
Citation 16

Abstract:

Loading...

Adaptive Lasso; Dynamic panel; Factor selection; Group Lasso; Interactive fixed effects; Oracle property; Selection consistency

3.

Shrinkage Estimation of Common Breaks in Panel Data Models via Adaptive Group Fused Lasso

Number of pages: 45 Posted: 30 Mar 2014
Junhui Qian and Liangjun Su
Shanghai Jiao Tong University and Tsinghua University
Downloads 205 (303,221)
Citation 8

Abstract:

Loading...

Adaptive Lasso, Change point, Group Lasso, Fused Lasso, Panel data, Penalized least squares, Penalized GMM, Structural change

4.

A Combined Approach to the Inference of Conditional Factor Models

Downloads 47 (353,874)
Citation 2

A Combined Approach to the Inference of Conditional Factor Models

Number of pages: 47 Posted: 28 Jun 2014
Yan Li, Liangjun Su and Yuewu Xu
Temple University - Fox School of Business and Management, Tsinghua University and Fordham University - Gabelli School of Business
Downloads 47 (822,001)
Citation 2

Abstract:

Loading...

Conditional Factor Models, Specification Tests, Semiparametric Method, Nonparametric Method, Conditional CAPM

5.

Profile GMM Estimation of Panel Data Models with Interactive Fixed Effects

Number of pages: 81 Posted: 09 Sep 2022
Shengjie Hong, Liangjun Su and Tao Jiang
Central University of Finance and Economics, Tsinghua University and Tsinghua University
Downloads 135 (432,162)
Citation 13

Abstract:

Loading...

Cross-section dependence; Endogeneity; Instrumental variables; Nuclear-norm regularization; Profile GMM.

6.

Jackknife Model Averaging for Quantile Regressions

Number of pages: 45 Posted: 14 Jun 2014
Xun Lu and Liangjun Su
HKUST and Tsinghua University
Downloads 130 (445,244)
Citation 3

Abstract:

Loading...

Final prediction error; High dimensionality; Model averaging; Model selection; Misspecification; Quantile regression

7.

Interactive Effects Panel Data Models with General Factors and Regressors

Number of pages: 76 Posted: 25 Jun 2020 Last Revised: 23 Nov 2021
Bin Peng, Liangjun Su, Joakim Westerlund and Yanrong Yang
Monash University - Department of Econometrics and Business Statistics, Tsinghua University, Lund University - Department of Economics and The Australian National University
Downloads 124 (461,801)

Abstract:

Loading...

Panel data, non-stationarity, principal components, interactive effects

8.

Specification Tests for Time-Varying Coefficient Models

Number of pages: 117 Posted: 09 Sep 2022
Zhonghao Fu, Yongmiao Hong, Liangjun Su and Xia Wang
Fudan University - School of Economics, University of Chinese Academy of Sciences, Tsinghua University and Renmin University of China
Downloads 123 (464,701)
Citation 2

Abstract:

Loading...

Dependent wild bootstrap; Nonparametric estimation; Smooth function; Stochastic process; Time-varying coefficient

9.

Homogeneity Pursuit in Panel Data Models: Theory and Applications

Cowles Foundation Discussion Paper No. 2063
Number of pages: 58 Posted: 08 Dec 2016
Wuyi Wang, Peter C. B. Phillips and Liangjun Su
Singapore Management University - School of Economics, University of Auckland Business School and Tsinghua University
Downloads 121 (470,571)
Citation 2

Abstract:

Loading...

CARDS, Clustering, Heterogeneous slopes, Income and democracy, Minimum wage and employment, Oracle estimator, Panel structure model

10.

Testing for Monotonicity in Unobservables Under Unconfoundedness

Number of pages: 50 Posted: 13 Jun 2014
Stefan Hoderlein, Liangjun Su, Halbert L. White Jr. and Thomas Yang
Boston College, Tsinghua University, University of California, San Diego (UCSD) - Department of Economics and Boston College
Downloads 100 (541,101)
Citation 3

Abstract:

Loading...

Control variables, Covariates, Endogenous variables, Exogeneity, Monotonicity, Nonparametric, Nonseparable, Specification test, Unobserved heterogeneity

11.

Semiparametric Single-Index Panel Data Models with Interactive Fixed Effects: Theory and Practice

Number of pages: 72 Posted: 07 Nov 2016
Guohua Feng, Bin Peng, Liangjun Su and Thomas Yang
University of North Texas, Monash University - Department of Econometrics and Business Statistics, Tsinghua University and Boston College
Downloads 97 (552,084)
Citation 2

Abstract:

Loading...

Asymptotic theory; Nonlinear panel data model; Interactive fixed effects; Orthogonal series expansion method

12.

Additive Nonparametric Regression in the Presence of Endogenous Regressors

Downloads 93 (567,103)
Citation 2

Additive Nonparametric Regression in the Presence of Endogenous Regressors

IZA Discussion Paper No. 8144
Number of pages: 53 Posted: 03 May 2014
Deniz Ozabaci, Daniel J. Henderson and Liangjun Su
State University of New York, Binghamton, University of Alabama and Tsinghua University
Downloads 57 (752,623)
Citation 2

Abstract:

Loading...

oracle estimation, generated regressors, endogeneity, additive regression, structural equation, child care, nonparametric regression, test scores

Additive Nonparametric Regression in the Presence of Endogenous Regressors

Number of pages: 51 Posted: 22 Apr 2014
Deniz Ozabaci, Daniel Henderson and Liangjun Su
State University of New York, Binghamton, University of Alabama, Tuscaloosa and Tsinghua University
Downloads 36 (913,738)

Abstract:

Loading...

Additive Regression, Endogeneity, Generated Regressors, Oracle Estimation, Nonparametric, Structural Equation

13.

Nonparametric Testing for Anomaly Effects in Empirical Asset Pricing Models

Number of pages: 30 Posted: 30 Mar 2014
Sainan Jin, Liangjun Su and Yonghui Zhang
Singapore Management University, Tsinghua University and Renmin University of China
Downloads 91 (574,765)

Abstract:

Loading...

Anomaly effects; Asset pricing; CAPM; Common factors; EIV; Fama-French three-factor; Interactive fixed effects; Nonparametric panel data model; Sieve method; Specification test

14.

Three-Dimensional Factor Models with Global and Local Factors *

Number of pages: 45 Posted: 25 Jun 2024
Sainan Jin, Xun Lu and Liangjun Su
Tsinghua University, Chinese University of Hong Kong and Tsinghua University
Downloads 90 (578,768)

Abstract:

Loading...

Approximate factor model, big data, multi-level factor model, principal component analysis, three-dimensional panel JEL Classification: C23, C33, C51, F14

15.

Sieve Instrumental Variable Quantile Regression Estimation of Functional Coefficient Models

Number of pages: 64 Posted: 09 Feb 2015
Liangjun Su and Tadao Hoshino
Tsinghua University and Waseda University
Downloads 80 (620,693)
Citation 2

Abstract:

Loading...

Endogeneity; Functional coefficient; Heterogeneity; Instrumental variable; Panel data; Sieve estimation; Specification test; Structural quantile function

16.

Specification Test for Panel Data Models with Interactive Fixed Effects

Number of pages: 83 Posted: 30 Jun 2014
Liangjun Su, Sainan Jin and Yonghui Zhang
Tsinghua University, Singapore Management University and Renmin University of China
Downloads 69 (671,720)
Citation 5

Abstract:

Loading...

Common factors; Conditional strong mixing; Cross-sectional dependence; Economic Growth; Interactive fixed effects; Linearity; Panel data models; Specification test

17.

Estimation of Heterogeneous Panel Data Models with an Application to Program Evaluation

Number of pages: 47 Posted: 14 Mar 2024
Xun Lu, Ke Miao and Liangjun Su
Chinese University of Hong Kong, Fudan University and Tsinghua University
Downloads 67 (681,780)
Citation 1

Abstract:

Loading...

Cross-sectional dependence, Heterogeneity, Latent factors, Treatment effects.

18.

Detecting Unobserved Heterogeneity in Efficient Prices Via Classifier-Lasso

Journal of Business & Economic Statistics
Number of pages: 82 Posted: 09 Dec 2022 Last Revised: 06 Feb 2023
Wenxin Huang, Liangjun Su and Yuan Zhuang
Shanghai Jiao Tong University (SJTU) - Antai College of Economics and Management, Tsinghua University and University of International Business and Economics - School of Banking and Finance
Downloads 63 (703,133)

Abstract:

Loading...

Classifier-Lasso; Efficient Price; Informed Trading; Unobserved Heterogeneity

19.

Three-Dimensional Factor Models with Global and Local Factors

Number of pages: 45 Posted: 29 Feb 2024
Sainan Jin, Xun Lu and Liangjun Su
Tsinghua University, Chinese University of Hong Kong and Tsinghua University
Downloads 59 (725,433)

Abstract:

Loading...

Approximate factor model, Big Data, multi-level factor model, Principal component analysis, three-dimensional panel.

20.

Inference on Many Jumps in Nonparametric Panel Regression Models

Number of pages: 82 Posted: 20 Sep 2024
Likai Chen, Georg Keilbar, Liangjun Su and Weining Wang
Washington University in St-Louis, Humboldt-Universität zu Berlin, Tsinghua University and University of Groningen
Downloads 53 (762,124)

Abstract:

Loading...

high-dimensional time series, temporal and cross-sectional dependence, changepoint analysis, Gaussian approximation, simultaneous tests

21.

A Robust Residual-Based Test for Structural Changes in Factor Models

Downloads 37 (775,056)

A Robust Residual-Based Test for Structural Changes in Factor Models

Number of pages: 56 Posted: 04 Jun 2024
Bin Peng, Liangjun Su and Yayi Yan
Monash University - Department of Econometrics and Business Statistics, Tsinghua University and Shanghai University of Finance and Economics
Downloads 37 (904,373)

Abstract:

Loading...

structural change, residual test, serial correlation, cross-sectional dependence, factor model

22.

Specification Testing for Transformation Models with an Application to Generalized Accelerated Failure-Time Models

Number of pages: 35 Posted: 30 Mar 2014
Arthur Lewbel, Xun Lu and Liangjun Su
Boston College - Department of Economics, HKUST and Tsinghua University
Downloads 51 (775,056)

Abstract:

Loading...

additivity, control variable, endogenous variable, monotonicity, nonparametric nonseparable model, hazard model, specification test, transformation model, unobserved heterogeneity

23.

Uniform Inference in Linear Panel Data Models with Two-Dimensional Heterogeneity

Number of pages: 189 Posted: 09 Sep 2022
Xun Lu and Liangjun Su
Chinese University of Hong Kong and Tsinghua University
Downloads 40 (855,640)
Citation 5

Abstract:

Loading...

Feldstein--Horioka puzzle; Heterogeneity; High-dimension; Least squares dummy variable estimator; Parameter instability; Uniform inference.

24.

Three-Dimensional Heterogeneous Panel Data Models with Multi-level Interactive Fixed Effects

Number of pages: 48 Posted: 03 Dec 2024
Sainan Jin, Xun Lu and Liangjun Su
Tsinghua University, Chinese University of Hong Kong and Tsinghua University
Downloads 20 (1,053,126)

Abstract:

Loading...

Big data, multi-level factor model, principal component analysis, random matrix, three-dimensional panel

25.

On the CCE Estimation of Three-Dimensional Panels with Multi-level Factors

Number of pages: 128 Posted: 13 Jan 2025
Sainan Jin, Xun Lu and Liangjun Su
Tsinghua University, Chinese University of Hong Kong and Tsinghua University
Downloads 12 (1,176,436)

Abstract:

Loading...

Big data, heterogeneity, multi-level factor model, three-dimensional panel, uniform inference

26.

High-dimensional VARs with common factors

Journal of Econometrics, 233(1), 155-183. DOI: 10.1016/j.jeconom.2022.02.002., The University of Auckland Business School Research Paper Series
Posted: 05 Sep 2023
Ke Miao, Peter C. B. Phillips and Liangjun Su
Fudan University, University of Auckland Business School and Tsinghua University

Abstract:

Loading...

Common factors, Connectedness, Cross-sectional dependence, Investor fear, High-dimensional VAR, Nuclear-norm regularization

27.

The Heterogeneous Effects of the Minimum Wage on Employment Across States

Economics Letters, 174, 179-185. DOI: 10.1016/j.econlet.2018.11.002. , The University of Auckland Business School Research Paper Series
Posted: 21 Mar 2022
Wuyi Wang, Peter C. B. Phillips and Liangjun Su
Jinan University, University of Auckland Business School and Tsinghua University

Abstract:

Loading...

Classification, C-Lasso, Latent group structures, Minimum wage, Unemployment

28.

Nonstationary Panel Models with Latent Group Structures and Cross-section Dependence

Journal of Econometrics, 221(1), 198-222. DOI:10.1016/j.jeconom.2020.05.003, The University of Auckland Business School Research Paper Series
Posted: 21 Mar 2022
Wenxin Huang, Sainan Jin, Peter C. B. Phillips and Liangjun Su
Shanghai Jiao Tong University (SJTU) - Antai College of Economics and Management, Singapore Management University, University of Auckland Business School and Tsinghua University

Abstract:

Loading...

Nonstationarity, Parameter heterogeneity, Latent group patterns, Penalized principal component, Cross-section dependence, Classifier Lasso, R&D spillover