Zhijie Xiao

University of Illinois at Urbana-Champaign - Department of Economics

Assistant Professor

410 David Kinley Hall

1407 W. Gregory

Urbana, IL 61801

United States

  • University of Illinois at Urbana-Champaign - Department of Economics

    • Email
    • Tel: 217-333-4520
    • Fax: 217-244-6678
SCHOLARLY PAPERS

11

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42

Scholarly Papers (11)

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1.

A CUSUM Test for Cointegration Using Regression Residuals

Number of pages: 22 Posted: 14 Oct 2001
Zhijie Xiao and Peter C. B. Phillips
University of Illinois at Urbana-Champaign - Department of Economics and University of Auckland Business School
Downloads 545 (111,160)
Citation 4

Abstract:

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Bandwidth, CUSUM Test, Fully Modified Regression, Null of Cointegration, Residual Based Test, Semiparametric Method

2.

More Efficient Kernel Estimation in Nonparametric Regression with Autocorrelated Errors

Downloads 309 (213,369)

More Efficient Kernel Estimation in Nonparametric Regression with Autocorrelated Errors

Number of pages: 50 Posted: 12 Aug 2002
Zhijie Xiao, Oliver B. Linton, Raymond Carroll and Enno Mammen
University of Illinois at Urbana-Champaign - Department of Economics, University of Cambridge, Texas A&M University - Department of Statistics and University of Mannheim - Department of Economics
Downloads 209 (314,714)

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Time Series Regression, Nonparametric Regression, Kernel, Efficiency

More Efficient Kernel Estimation in Nonparametric Regression with Autocorrelated Errors

LSE STICERD Research Paper No. EM435
Number of pages: 53 Posted: 21 Jul 2008
Raymond Carroll, Oliver B. Linton, Enno Mammen and Zhijie Xiao
Texas A&M University - Department of Statistics, University of Cambridge, University of Mannheim - Department of Economics and University of Illinois at Urbana-Champaign - Department of Economics
Downloads 100 (586,616)

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3.

Efficient Regression in Time Series Partial Linear Models

Number of pages: 47 Posted: 01 Jun 2002
Peter C. B. Phillips, Binbin Guo and Zhijie Xiao
University of Auckland Business School, First Quadrant, L.P. and University of Illinois at Urbana-Champaign - Department of Economics
Downloads 274 (242,173)

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Efficient Estimation, Partial Linear Regression, Spectral Regression, Kernel Estimation, Nonparametric, Semiparametric, Weak Dependence

4.

Quantile Regression on Multiple Quantile Ranges

Number of pages: 55 Posted: 24 Jun 2011 Last Revised: 19 Aug 2014
Chung-Ming Kuan, Christos Michalopoulos and Zhijie Xiao
Department of Finance, National Taiwan University, Soochow University and University of Illinois at Urbana-Champaign - Department of Economics
Downloads 194 (338,852)
Citation 2

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Quantile regression, multiple thresholds, fixed and shrinking shifts asymptotics, likelihood-ratio statistic, Wald statistic

5.

Copula-Based Nonlinear Quantile Autoregression

Cowles Foundation Discussion Paper No. 1679
Number of pages: 31 Posted: 15 Oct 2008 Last Revised: 26 Dec 2008
Xiaohong Chen, Roger Koenker and Zhijie Xiao
Yale University - Cowles Foundation, University of Illinois at Urbana-Champaign - Department of Economics and University of Illinois at Urbana-Champaign - Department of Economics
Downloads 189 (347,150)
Citation 30

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Quantile autoregression, Copula, Ergodic nonlinear Markov models

6.

Quantile Regression on Quantile Ranges

Number of pages: 52 Posted: 24 Jun 2011 Last Revised: 30 Apr 2012
Chung-Ming Kuan, Christos Michalopoulos and Zhijie Xiao
Department of Finance, National Taiwan University, Soochow University and University of Illinois at Urbana-Champaign - Department of Economics
Downloads 116 (520,947)
Citation 3

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Quantile regression, threshold effects, fixed and shrinking shifts asymptotics, likelihood-ratio statistic, sup-Wald statistic, two-parameter Gaussian process

7.

Partially Linear Models with Unit Roots

Number of pages: 52 Posted: 10 May 2002
Ted Juhl and Zhijie Xiao
University of Kansas - Department of Economics and University of Illinois at Urbana-Champaign - Department of Economics
Downloads 113 (534,950)
Citation 1

Abstract:

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Nonparametric, Partial Linear, Semiparametric, Unit Root

8.

A Semiparametric Panel Model for Unbalanced Data with Application to Climate Change in the United Kingdom

Journal of Econometrics, Forthcoming
Number of pages: 56 Posted: 12 Apr 2010
Alev Atak, Oliver B. Linton and Zhijie Xiao
Queen Mary, University of London, University of Cambridge and University of Illinois at Urbana-Champaign - Department of Economics
Downloads 55 (816,435)
Citation 1

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Global warming, Kernel estimation, Semiparametric, Trend analysis

9.

A Nonparametric Regression Estimator that Adapts to Error Distribution of Unknown Form

LSE STICERD Research Paper No. EM419
Number of pages: 79 Posted: 21 Jul 2008
Oliver B. Linton and Zhijie Xiao
University of Cambridge and University of Illinois at Urbana-Champaign - Department of Economics
Downloads 45 (896,913)
Citation 1

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10.

Inference on the Quantile Regression Process

UIUC Economics Working Paper No. 00-0108
Posted: 19 Nov 2000
Roger Koenker and Zhijie Xiao
University of Illinois at Urbana-Champaign - Department of Economics and University of Illinois at Urbana-Champaign - Department of Economics

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11.

An Adf Coefficient Test for a Unit Root in Arma Models of Unknown Order with Empirical Applications to the Us Economy

Posted: 03 Apr 1999
Zhijie Xiao and Peter C. B. Phillips
University of Illinois at Urbana-Champaign - Department of Economics and University of Auckland Business School

Abstract:

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