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

SCHOLARLY PAPERS

14

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122

Scholarly Papers (14)

1.

A CUSUM Test for Cointegration Using Regression Residuals

Cowles Foundation Discussion Paper No. 1329
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 Yale University - Cowles Foundation
Downloads 492 (55,796)
Citation 3

Abstract:

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

More Efficient Kernel Estimation in Nonparametric Regression with Autocorrelated Errors

Cowles Foundation Discussion Paper No. 1375
Number of pages: 50 Posted: 12 Aug 2002
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 162 (181,233)

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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
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 43 (416,169)
Citation 5

Abstract:

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3.

Efficient Regression in Time Series Partial Linear Models

Cowles Foundation Discussion Paper No. 1363
Number of pages: 47 Posted: 01 Jun 2002
Peter C. B. Phillips, Binbin Guo and Zhijie Xiao
Yale University - Cowles Foundation, First Quadrant, L.P. and University of Illinois at Urbana-Champaign - Department of Economics
Downloads 173 (171,110)

Abstract:

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

4.
Downloads 149 (194,270)
Citation 61

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 148 (195,850)
Citation 62

Abstract:

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Quantile autoregression, Copula, Ergodic nonlinear Markov models

Copula-Based Nonlinear Quantile Autoregression

Econometrics Journal, Vol. 12, Issue s1, pp. S50-S67, January 2009
Number of pages: 18 Posted: 04 Jul 2009
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 1 (675,851)
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5.

Quantile Regression on Multiple Quantile Ranges

Number of pages: 55 Posted: 24 Jun 2011 Last Revised: 19 Aug 2014
Department of Finance, National Taiwan University, Soochow University and University of Illinois at Urbana-Champaign - Department of Economics
Downloads 122 (227,461)
Citation 2

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

6.

Partially Linear Models with Unit Roots

Cowles Foundation Discussion Paper No. 1359
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 85 (290,671)
Citation 5

Abstract:

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Nonparametric, Partial Linear, Semiparametric, Unit Root

7.

Quantile Regression on Quantile Ranges

Number of pages: 52 Posted: 24 Jun 2011 Last Revised: 30 Apr 2012
Department of Finance, National Taiwan University, Soochow University and University of Illinois at Urbana-Champaign - Department of Economics
Downloads 67 (333,185)
Citation 4

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

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 25 (487,241)
Citation 6

Abstract:

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Global warming, Kernel estimation, Semiparametric, Trend analysis

9.

A Primer on Unit Root Testing

Journal of Economic Surveys, Vol. 12, pp. 423-470, December 1998
Number of pages: 48 Posted: 08 May 2006
. Phillips and Zhijie Xiao
affiliation not provided to SSRN and University of Illinois at Urbana-Champaign - Department of Economics
Downloads 22 (503,939)
Citation 50
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10.

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 21 (509,703)

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11.

A Nonparametric Prewhitened Covariance Estimator

Journal of Time Series Analysis, Vol. 23, pp. 215-250, 2002
Number of pages: 36 Posted: 25 Apr 2002
Zhijie Xiao and Oliver B. Linton
University of Illinois at Urbana-Champaign - Department of Economics and University of Cambridge
Downloads 14 (550,350)
Citation 4
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12.

A Primer on Unit Root Testing

Journal of Economic Surveys, Vol. 12, Issue 5, pp. 423-470, 1998
Number of pages: 48 Posted: 13 Sep 2012
Peter C. B. Phillips and Zhijie Xiao
Yale University - Cowles Foundation and University of Illinois at Urbana-Champaign - Department of Economics
Downloads 1 (643,830)
Citation 5
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13.

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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14.

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

The Econometrics Journal, Vol. 1, 1998
Posted: 03 Apr 1999
Zhijie Xiao and Peter C. B. Phillips
University of Illinois at Urbana-Champaign - Department of Economics and Yale University - Cowles Foundation

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