Degui Li

University of York

Deparment of Mathematics

University of York

Heslington, York YO10 5DD

United Kingdom

SCHOLARLY PAPERS

16

DOWNLOADS

1,737

SSRN CITATIONS
Rank 17,101

SSRN RANKINGS

Top 17,101

in Total Papers Citations

73

CROSSREF CITATIONS

8

Scholarly Papers (16)

1.

Non- and Semi-Parametric Panel Data Models: A Selective Review

Number of pages: 18 Posted: 22 Aug 2013
Jia Chen, Degui Li and Jiti Gao
University of York - Department of Economics and Related Studies, University of York and Monash University - Department of Econometrics & Business Statistics
Downloads 227 (247,194)
Citation 4

Abstract:

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Deterministic trends, local linear fitting, panel data, semiparametric estimation, single-index models

Estimating Smooth Structural Change in Cointegration Models

Number of pages: 42 Posted: 19 Sep 2013
University of Auckland Business School, University of York and Monash University - Department of Econometrics & Business Statistics
Downloads 139 (380,029)
Citation 3

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Cointegration, Endogeneity, Kernel degeneracy, Nonparametric regression, Super-consistency, Time varying coefficients

Estimating Smooth Structural Change in Cointegration Models

Cowles Foundation Discussion Paper No. 1910
Number of pages: 43 Posted: 19 Sep 2013
University of Auckland Business School, University of York and Monash University - Department of Econometrics & Business Statistics
Downloads 54 (697,836)
Citation 9

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Cointegration, Endogeneity, Kernel degeneracy, Nonparametric regression, Super-consistency, Time varying coefficients

3.

Nonparametric Estimation of Conditional Quantile Regression with Mixed Discrete and Continuous Data

Number of pages: 23 Posted: 28 Jul 2015
Degui Li, Qi Li and Zheng Li
University of York, Texas A&M University - Department of Economics and Texas A&M University
Downloads 181 (304,019)

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Quantile regression, Cross-Validation, Local linear smoothing, Nonparametric estimation, Categorical regressors

4.

Nonparametric Estimation of Large Covariance Matrices with Conditional Sparsity

Number of pages: 58 Posted: 30 Jan 2020
Zhejiang University - College of Economics, Monash University - Department of Econometrics and Business Statistics, University of York and University of Warwick - Department of Statistics
Downloads 142 (373,026)
Citation 1

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Approximate Factor Model, Kernel Estimation, Large Covariance Matrix, Sparsity, Uniform Convergence

5.

Semiparametric Dynamic Portfolio Choice with Multiple Conditioning Variables

Number of pages: 25 Posted: 11 Feb 2015
University of York - Department of Economics and Related Studies, University of York, University of Cambridge and University of Southampton
Downloads 142 (373,026)

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Conditioning variables, kernel smoothing, model averaging, portfolio choice, utility function

6.

Nonparametric Estimation and Parametric Calibration of Time-Varying Coefficient Realized Volatility Models

Number of pages: 55 Posted: 04 Sep 2013
Monash University - Department of Econometrics & Business Statistics, Monash University - Department of Econometrics & Business Statistics, University of York and Monash University - Department of Econometrics & Business Statistics
Downloads 125 (411,942)
Citation 11

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Bootstrap Method, Heterogeneous Autoregressive Model, Locally Stationary Process, Nonparametric Method

7.

A Flexible Semiparametric Model for Time Series

Number of pages: 45 Posted: 06 Aug 2012
Oliver B. Linton, Degui Li and Zudi Lu
University of Cambridge, University of York and University of Southampton
Downloads 116 (435,447)
Citation 6

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Asymptotic normality, model averaging, Nadaraya-Watson kernel estimation, near epoch dependence, semiparametric method

8.

Semiparametric Ultra-High Dimensional Model Averaging of Nonlinear Dynamic Time Series

Number of pages: 55 Posted: 07 Jan 2016
University of York - Department of Economics and Related Studies, University of York, University of Cambridge and University of Southampton
Downloads 106 (465,331)
Citation 7

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Kernel smoother, penalised MAMAR, principal component analysis, semiparametric approximation, sure independence screening, ultra-high dimensional time series

9.

Nonparametric Specification Testing in Nonlinear and Nonstationary Time Series Models: Theory and Practice

Number of pages: 49 Posted: 19 Mar 2013
Jia Chen, Jiti Gao, Degui Li and Zhengyan Lin
University of Queensland, Monash University - Department of Econometrics & Business Statistics, University of York and Zhejiang University
Downloads 86 (537,402)
Citation 4

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asymptotic distribution, Edgeworth expansion, nonlinear time series, power function, quadratic form, size function, unit root

10.

A New Semiparametric Estimation Approach of Large Dynamic Covariance Matrices with Multiple Conditioning Variables

Number of pages: 39 Posted: 30 Jul 2018
Jia Chen, Degui Li and Oliver B. Linton
University of York - Department of Economics and Related Studies, University of York and University of Cambridge
Downloads 85 (537,402)
Citation 3

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Dynamic Covariance Matrix, MAMAR, Semiparametric Estimation, Sparsity, Uniform Consistency

11.

Simultaneous Confidence Bands in Nonlinear Regression Models with Nonstationarity

Number of pages: 37 Posted: 25 Jul 2015
University of York, Shanghai Jiao Tong University (SJTU), University of Sydney and University of Chicago
Downloads 84 (541,318)

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12.

Kernel-Based Inference in Time-Varying Coefficient Cointegrating Regression

Cowles Foundation Discussion Paper No. 2109
Number of pages: 60 Posted: 15 Sep 2017 Last Revised: 04 Jun 2021
University of York, University of Auckland Business School and Monash University - Department of Econometrics & Business Statistics
Downloads 82 (553,285)
Citation 2

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Cointegration, FM-kernel estimation, Generalized Wald test, Global rotation, Kernel degeneracy, Local rotation, Super-consistency, Time-varying coefficients

13.

Estimation of a Rank-Reduced Functional-Coefficient Panel Data Model with Serial Correlation

Number of pages: 47 Posted: 02 Aug 2015 Last Revised: 22 Jul 2017
Jia Chen, Degui Li and Yingcun Xia
University of York - Department of Economics and Related Studies, University of York and National University of Singapore (NUS)
Downloads 73 (587,186)

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Cholesky decomposition, functional coefficients, local linear smoothing, panel data, principal component analysis, profile least squares, within-subject covariance

14.

Uniform Consistency of Nonstationary Kernel-Weighted Sample Covariances for Nonparametric Regression

Cowles Foundation Discussion Paper No. 1929
Number of pages: 25 Posted: 26 Nov 2013 Last Revised: 18 Dec 2013
University of York, University of Auckland Business School and Monash University - Department of Econometrics & Business Statistics
Downloads 50 (707,534)
Citation 2

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Cointegration; Functional coefficients; Kernel degeneracy; Nonparametric kernel smoothing; Random coordinate rotation; Super-consistency; Uniform convergence rates; Time varying coefficients

15.

Local Composite Quantile Regression Smoothing for Harris Recurrent Markov Processes

Number of pages: 37 Posted: 03 Aug 2015
Degui Li and Runze Li
University of York and Pennsylvania State University
Downloads 38 (788,940)

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Asymptotic theory, bandwidth selection, beta-null recurrence, composite quantile regression, Harris recurrent Markov process, local polynomial smoothing

16.

Estimation of Grouped Time-Varying Network Vector Autoregression Models

Number of pages: 62 Posted: 06 Apr 2024
University of York, Monash University - Department of Econometrics and Business Statistics, Zhejiang University and University of Chicago
Downloads 7 (1,070,305)

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cluster analysis, network VAR, latent groups, local linear estimator, time-varying coefficients