Liangjun Su

Singapore Management University

90 Stamford Road

178903

Singapore

SCHOLARLY PAPERS

15

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Scholarly Papers (15)

1.

Identifying Latent Structures in Panel Data

Number of pages: 75 Posted: 13 Jun 2014 Last Revised: 30 Jun 2016
Singapore Management University, Department of Economics, the Chinese University of Hong Kong and Yale University - Cowles Foundation
Downloads 290 (104,721)
Citation 3

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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 Singapore Management University
Downloads 118 (236,271)
Citation 11

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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, Singapore Management University and Fordham University - Gabelli School of Business
Downloads 21 (534,225)
Citation 2

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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 Singapore Management University
Downloads 81 (303,224)
Citation 4

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

5.

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, Yale University - Cowles Foundation and Singapore Management University
Downloads 68 (334,862)
Citation 1

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

6.

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, University of Bath - Department of Economics, Singapore Management University and Boston College
Downloads 62 (351,233)
Citation 1

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

7.

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, Singapore Management University and Renmin University of China
Downloads 59 (359,982)

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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

8.

Jackknife Model Averaging for Quantile Regressions

Number of pages: 45 Posted: 14 Jun 2014
Xun Lu and Liangjun Su
HKUST and Singapore Management University
Downloads 56 (369,333)
Citation 1

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

9.

Testing for Monotonicity in Unobservables Under Unconfoundedness

Number of pages: 50 Posted: 13 Jun 2014
Boston College, Singapore Management University, University of California, San Diego (UCSD) - Department of Economics and Boston College
Downloads 42 (417,310)
Citation 1

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

10.

Sieve Instrumental Variable Quantile Regression Estimation of Functional Coefficient Models

Number of pages: 64 Posted: 09 Feb 2015
Liangjun Su and Tadao Hoshino
Singapore Management University and Waseda University
Downloads 39 (428,955)

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

11.

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
Singapore Management University, Singapore Management University and Renmin University of China
Downloads 32 (458,564)
Citation 3

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Common factors; Conditional strong mixing; Cross-sectional dependence; Economic Growth; Interactive fixed effects; Linearity; Panel data models; 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 Singapore Management University
Downloads 19 (547,212)

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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 Singapore Management University
Downloads 13 (586,952)

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

13.

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 Singapore Management University
Downloads 19 (528,577)

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

14.

Testing for Common Trends in Semi‐Parametric Panel Data Models with Fixed Effects

The Econometrics Journal, Vol. 15, Issue 1, pp. 56-100, 2012
Number of pages: 45 Posted: 17 Feb 2012
affiliation not provided to SSRN, Singapore Management University and Yale University - Cowles Foundation
Downloads 2 (640,605)
Citation 1
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Common trends, Local polynomial estimation, Non‐parametric goodness‐of‐fit, Panel data, Profile least squares

15.

Non‐Parametric Regression Under Location Shifts

The Econometrics Journal, Vol. 14, Issue 3, pp. 457-486, 2011
Number of pages: 30 Posted: 26 Oct 2011
Peter C. B. Phillips and Liangjun Su
Yale University - Cowles Foundation and Singapore Management University
Downloads 1 (653,079)
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Bias‐correction, Endogeneity, Kernel regression, Location shift, Non‐parametric IV, Non‐stationarity, Paradox, Spatial  regression, Structural estimation