Liangjun Su

Tsinghua University

C.V. Starr Professor

B606 Lihua Building

School of Economics and Management

Beijing, Beijing 100084

China

SCHOLARLY PAPERS

20

DOWNLOADS

1,296

SSRN CITATIONS
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in Total Papers Citations

19

CROSSREF CITATIONS

18

Scholarly Papers (20)

1.

Identifying Latent Structures in Panel Data

Number of pages: 75 Posted: 13 Jun 2014 Last Revised: 30 Jun 2016
Tsinghua University, Department of Economics, the Chinese University of Hong Kong and University of Auckland Business School
Downloads 321 (138,649)
Citation 5

Abstract:

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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 160 (267,341)
Citation 16

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

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 26 (707,876)
Citation 2

Abstract:

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

4.

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 120 (333,918)
Citation 5

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

5.

Interactive Effects Panel Data Models with General Factors and Regressors

Number of pages: 76 Posted: 25 Jun 2020 Last Revised: 23 Nov 2021
Monash University - Department of Econometrics and Business Statistics, Tsinghua University, Lund University - Department of Economics and The Australian National University
Downloads 87 (412,820)

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

6.

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 84 (421,650)
Citation 2

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

7.

Jackknife Model Averaging for Quantile Regressions

Number of pages: 45 Posted: 14 Jun 2014
Xun Lu and Liangjun Su
HKUST and Tsinghua University
Downloads 84 (421,650)
Citation 3

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

8.

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 80 (433,802)
Citation 2

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

9.

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 70 (467,015)

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

Additive Nonparametric Regression in the Presence of Endogenous Regressors

IZA Discussion Paper No. 8144
Number of pages: 53 Posted: 03 May 2014
State University of New York, Binghamton, University of Alabama and Tsinghua University
Downloads 36 (636,121)

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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 18 (778,183)

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

11.

Testing for Monotonicity in Unobservables Under Unconfoundedness

Number of pages: 50 Posted: 13 Jun 2014
Boston College, Tsinghua University, University of California, San Diego (UCSD) - Department of Economics and Boston College
Downloads 49 (552,802)
Citation 3

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

12.

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 47 (562,226)
Citation 1

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

13.

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 46 (567,201)
Citation 5

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

14.

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 29 (665,908)

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

15.

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 20 (735,396)

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

16.

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 15 (779,681)

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

17.

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 3 (909,447)

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

18.

Detecting Unobserved Heterogeneity in Efficient Prices Via Classifier-Lasso

Journal of Business & Economic Statistics
Number of pages: 82
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 1

Abstract:

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Classifier-Lasso; efficient price; informed trading; unobserved heterogeneity.

19.

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:

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

20.

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
Shanghai Jiao Tong University (SJTU) - Antai College of Economics and Management, Singapore Management University, University of Auckland Business School and Tsinghua University

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