Yixiao Sun

University of California, San Diego (UCSD) - Department of Economics

Assistant Professor of Economics

9500 Gilman Drive

La Jolla, CA 92093-0508

United States

  • University of California, San Diego (UCSD) - Department of Economics

    • Email
    • Tel: 858-534-4692
    • Fax: 858-534-7040
SCHOLARLY PAPERS

34

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141

Scholarly Papers (34)

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1.

The Statistics of Time Varying Cross-Sectional Information Coefficients

Number of pages: 27 Posted: 02 May 2011 Last Revised: 12 Dec 2022
Zhuanxin Ding and Yixiao Sun
The Risk Protocol Inc. and University of California, San Diego (UCSD) - Department of Economics
Downloads 1,056 (45,560)
Citation 1

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information coefficient (IC), asymptotic distribution, information ratio (IR), factor model, the fundamental law of active management (FLAM)

2.

Should We Go One Step Further? An Accurate Comparison of One-Step and Two-Step Procedures in a Generalized Method of Moments Framework

Number of pages: 61 Posted: 18 Aug 2015
Jungbin Hwang and Yixiao Sun
University of California, San Diego (UCSD) and University of California, San Diego (UCSD) - Department of Economics
Downloads 219 (296,956)
Citation 4

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Asymptotic Efficiency, Asymptotic Mixed Normality, Fixed-smoothing Asymptotics, Heteroskedasticity and Autocorrelation Robust, Increasing-smoothing Asymptotics, Nonstandard Asymptotics, Two-step GMM Estimation

3.

Consistent Hac Estimation and Robust Regression Testing Using Sharp Origin Kernels with No Truncation

Number of pages: 51 Posted: 16 Mar 2003
Peter C. B. Phillips, Yixiao Sun and Sainan Jin
University of Auckland Business School, University of California, San Diego (UCSD) - Department of Economics and Peking University - Guanghua School of Management
Downloads 207 (313,287)

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Consistent HAC Estimation, Data Determined Kernel Estimation, Long Run Variance, Mercer's Theorem, Power Parameter, Sharp Origin Kernel

4.

The Tobit Model with a Non-Zero Threshold

Number of pages: 26 Posted: 08 Jun 2005
Richard T. Carson and Yixiao Sun
University of California, San Diego (UCSD) - Department of Economics and University of California, San Diego (UCSD) - Department of Economics
Downloads 187 (344,187)
Citation 3

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Exponential distribution, maximum likelihood, order statistic, threshold determination

5.

Estimation and Inference in Panel Structure Models

Number of pages: 52 Posted: 05 Sep 2005
Yixiao Sun
University of California, San Diego (UCSD) - Department of Economics
Downloads 163 (388,627)
Citation 18

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Dynamic panel data model, group structure, logistic regression, nonregular test, parameter heterogeneity

6.

Long Run Variance Estimation Using Steep Origin Kernels Without Truncation

Number of pages: 48 Posted: 17 Sep 2003
Peter C. B. Phillips, Yixiao Sun and Sainan Jin
University of Auckland Business School, University of California, San Diego (UCSD) - Department of Economics and Peking University - Guanghua School of Management
Downloads 157 (401,245)

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Exponentiated kernel, lag kernel, long run variance, optimal exponent, spectral window, spectrum

7.

Optimal Bandwidth Choice for Interval Estimation in GMM Regression

Cowles Foundation Discussion Paper No. 1661
Number of pages: 94 Posted: 23 May 2008
Yixiao Sun and Peter C. B. Phillips
University of California, San Diego (UCSD) - Department of Economics and University of Auckland Business School
Downloads 141 (438,065)

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Asymptotic expansion, Bias, Confidence interval, Coverage probability, Edgeworth expansion, Lag kernel, Long run variance, Optimal bandwidth, Spectrum

8.

Fixed-Smoothing Asymptotics in a Two-Step GMM Framework

Number of pages: 48 Posted: 12 Jun 2013
Yixiao Sun
University of California, San Diego (UCSD) - Department of Economics
Downloads 133 (459,203)
Citation 6

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F-distribution, Fixed-smoothing Asymptotics, Heteroskedasticity and Autocorrelation Robust, Increasing-smoothing Asymptotics, Noncentral F Test, Two-step GMM Estimation

9.

Spatial Heteroskedasticity and Autocorrelation Consistent Estimation of Covariance Matrix

Number of pages: 48 Posted: 26 Nov 2010
Yixiao Sun and Min Seong Kim
University of California, San Diego (UCSD) - Department of Economics and Ryerson University
Downloads 124 (485,312)

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Asymptotic Mean Squared Error, Heteroskedasticity and Autocorrelation, Covariance Matrix Estimator, Optimal Bandwidth Choice, Robust Standard Error, Spatial Dependence

10.

Sieve Inference on Semi-Nonparametric Time Series Models

Cowles Foundation Discussion Paper No. 1849
Number of pages: 55 Posted: 21 Feb 2012
Xiaohong Chen, Zhipeng Liao and Yixiao Sun
Yale University - Cowles Foundation, University of California, Los Angeles (UCLA) - Department of Economics and University of California, San Diego (UCSD) - Department of Economics
Downloads 120 (497,915)
Citation 6

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Weak dependence, Sieve M estimation, Sieve Riesz representor, Irregular functional, Misspecification, Pre-asymptotic variance, Orthogonal series long run variance estimation, F distribution

11.

Asymptotic F Test in a GMM Framework with Cross Sectional Dependence

Number of pages: 35 Posted: 09 Jul 2012
Yixiao Sun and Min Seong Kim
University of California, San Diego (UCSD) - Department of Economics and Ryerson University
Downloads 116 (510,763)
Citation 7

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F distribution, Fixed-smoothing asymptotics, Heteroskedasticity and Autocorrelation Robust, Robust Standard Error, Series Method, Spatial Analysis, Spatial Autocorrelation

12.

Power Maximization and Size Control in Heteroskedasticity and Autocorrelation Robust Tests with Exponentiated Kernels

Cowles Foundation Discussion Paper No. 1749
Number of pages: 51 Posted: 15 Jan 2010
Yixiao Sun, Peter C. B. Phillips and Sainan Jin
University of California, San Diego (UCSD) - Department of Economics, University of Auckland Business School and Peking University - Guanghua School of Management
Downloads 110 (531,566)
Citation 2

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Asymptotic expansion, HAC estimation, Long run variance, Loss function, Optimal smoothing parameter, Power kernel, Power maximization, Size control, Type I error, Type II error

13.

A Flexible Nonparametric Test for Conditional Independence

Number of pages: 40 Posted: 11 Jun 2013
Meng Huang, Yixiao Sun and Halbert L. White Jr.
Freddie Mac, University of California, San Diego (UCSD) - Department of Economics and University of California, San Diego (UCSD) - Department of Economics
Downloads 109 (535,076)
Citation 6

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Conditional Independence, Generically Comprehensively Revealing, Nonparametric Test

14.

Let's Fix it: Fixed-b Asymptotics Versus Small-b Asymptotics in Heteroscedasticity and Autocorrelation Robust Inference

Number of pages: 46 Posted: 26 Nov 2010
Yixiao Sun
University of California, San Diego (UCSD) - Department of Economics
Downloads 109 (535,076)
Citation 13

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Asymptotic Expansion, F-Distribution, Heteroscedasticity and Autocorrelation Robust, Hotelling's T-Squared Distribution, Long-Run Variance, Robust Standard Error, Testing-Optimal Smoothing Parameter Choice, Type I Errors, Type II Errors

15.

Asymptotic Distributions of Impulse Response Functions in Short Panel Vector Autoregressions

Number of pages: 34 Posted: 01 Dec 2009
Yixiao Sun and Bolong Cao
University of California, San Diego (UCSD) - Department of Economics and Ohio University
Downloads 106 (546,387)
Citation 1

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Asymptotic Distribution, Nonorthogonalized Impulse Response Function, Orthogonalized Impulse Response Function, Panel Data, Vector Autoregressions

16.

Adaptive Estimation of the Regression Discontinuity Model

Number of pages: 41 Posted: 08 Jun 2005
Yixiao Sun
University of California, San Diego (UCSD) - Department of Economics
Downloads 106 (546,387)
Citation 14

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Adaptive estimator, local cross validation, local polynomial, minimax rate, optimal bandwidth, optimal smoothness parameter

17.

Optimal Bandwidth Selection in Heteroskedasticity-Autocorrelation Robust Testing

Cowles Foundation Discussion Paper No. 1545
Number of pages: 52 Posted: 04 Jan 2006
Yixiao Sun, Peter C. B. Phillips and Sainan Jin
University of California, San Diego (UCSD) - Department of Economics, University of Auckland Business School and Peking University - Guanghua School of Management
Downloads 103 (558,006)
Citation 11

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Asymptotic expansion, bandwidth choice, kernel method, long-run variance, loss function, nonstandard asymptotics, robust standard error, Type I and Type II errors

18.

Nonlinear Log-Periodogram Regression for Perturbed Fractional Processes

Number of pages: 41 Posted: 01 Jun 2002
Yixiao Sun and Peter C. B. Phillips
University of California, San Diego (UCSD) - Department of Economics and University of Auckland Business School
Downloads 103 (558,006)
Citation 2

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Asymptotic Bias, Asymptotic Normality, Bias Reduction, Fractional Components Model, Perturbed Fractional Process, Rate of Convergence, Testing Perturbations

19.

A New Asymptotic Theory for Vector Autoregressive Long-Run Variance Estimation and Autocorrelation Robust Testing

Number of pages: 44 Posted: 26 Nov 2010
Yixiao Sun and David Kaplan
University of California, San Diego (UCSD) - Department of Economics and University of California, San Diego (UCSD) - Department of Economics
Downloads 101 (565,955)
Citation 4

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F-Distribution, Flat-Top Kernel, Generalized Method of Moments, Heteroscedasticity and Autocorrelation Robust Test, Hotelling's T-Square Distribution, Long-run Variance, Rectangular Kernel, Vector Autoregression

20.

A Convergent T-Statistic in Spurious Regressions

UCSD Economics Working Paper No. 2003-02
Number of pages: 24 Posted: 09 Mar 2003
Yixiao Sun
University of California, San Diego (UCSD) - Department of Economics
Downloads 100 (569,911)
Citation 1

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Spurious Regressions, Fractional Process, HAC Estimator

21.

k-Step Bootstrap Bias Correction for Fixed Effects Estimators in Nonlinear Panel Models

Number of pages: 32 Posted: 26 Nov 2010
Yixiao Sun and Min Seong Kim
University of California, San Diego (UCSD) - Department of Economics and Ryerson University
Downloads 97 (581,426)

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Bias Correction, Fixed-Effect Estimator, Incidental Parameters Problem, k-Step Bootstrap, Nonlinear Panel Data Models

22.

A New Approach to Robust Inference in Cointegration

Cowles Foundation Discussion Paper No. 1538
Number of pages: 16 Posted: 24 Oct 2005
Sainan Jin, Peter C. B. Phillips and Yixiao Sun
Peking University - Guanghua School of Management, University of Auckland Business School and University of California, San Diego (UCSD) - Department of Economics
Downloads 96 (585,371)

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Cointegration, HAC estimation, long-run covariance matrix, robust inference, steep origin kernel, fully modified estimation

23.

Improved Har Inference Using Power Kernels Without Truncation

Number of pages: 52 Posted: 11 Jun 2005
Peter C. B. Phillips, Yixiao Sun and Sainan Jin
University of Auckland Business School, University of California, San Diego (UCSD) - Department of Economics and Peking University - Guanghua School of Management
Downloads 91 (605,535)

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Asymptotic expansion, consistent HAC estimation, data-determined kernel estimation, exact distribution, HAR inference, large p asymptotics, long run variance, loss function, power parameter, sharp origin kernel.

24.

Estimation of the Long-Run Average Relationship in Nonstationary Panel Time Series

UCSD Economics Working Paper No. 2003-06
Number of pages: 50 Posted: 16 Jul 2003
Yixiao Sun
University of California, San Diego (UCSD) - Department of Economics
Downloads 89 (613,858)
Citation 1

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Long-run average relationship, long-run variance matrix, multidimensional limits, panel spurious regression, sharp kernels, steep kernel

25.

Optimal Threshold Selection for Realized Volatility Forecasts in the Presence of Jumps

Number of pages: 34 Posted: 26 Nov 2010
Yixiao Sun and Benjamin Fissel
University of California, San Diego (UCSD) - Department of Economics and University of California, San Diego (UCSD) - Department of Economics
Downloads 76 (673,615)

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Bipower Variation, Forecasting, Jump Diffusion, Quadratic Variation, Realized Volatility

26.

Best Quadratic Unbiased Estimators of Integrated Variance in the Presence of Market Microstructure Noise

Number of pages: 44 Posted: 26 Nov 2010
Yixiao Sun
University of California, San Diego (UCSD) - Department of Economics
Downloads 73 (688,830)
Citation 17

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Best Quadratic Unbiased Estimator, Market Microstructure Noise, Quadratic Form Estimator, Realized Variance, Realized Volatility

27.

Heteroskedasticity and Spatiotemporal Dependence Robust Inference for Linear Panel Models with Fixed Effects

Number of pages: 42 Posted: 01 Oct 2011 Last Revised: 03 Oct 2011
Min Seong Kim and Yixiao Sun
Ryerson University and University of California, San Diego (UCSD) - Department of Economics
Downloads 71 (699,427)
Citation 4

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Adaptiveness, HAC estimator, F-approximation, Fixed-smoothing asymptotics, Increasing-smoothing asymptotics, Panel data, Optimal bandwidth, Robust inference, Spatiotemporal dependence

28.

Adaptive Local Polynomial Whittle Estimation of Long-Range Dependence

Number of pages: 51 Posted: 04 Nov 2002
Donald W. K. Andrews and Yixiao Sun
Yale University - Cowles Foundation and University of California, San Diego (UCSD) - Department of Economics
Downloads 71 (699,427)
Citation 4

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Adaptive Estimator, Asymptotic Bias, Asymptotic Normality, Bias Reduction, Local Polynomial, Long Memory, Minimax Rate, Optimal Bandwidth, Whittle Likelihood

29.

Simple and Powerful GMM Over-Identification Tests with Accurate Size

Number of pages: 34 Posted: 26 Nov 2010
Yixiao Sun and Min Seong Kim
University of California, San Diego (UCSD) - Department of Economics and Ryerson University
Downloads 67 (721,466)
Citation 4

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30.

Spurious Regressions with Stationary Gegenbauer Processes and Harmonic Processes

UCSD Economics Working Paper No. 2003-01
Number of pages: 24 Posted: 09 Mar 2003
Yixiao Sun
University of California, San Diego (UCSD) - Department of Economics
Downloads 54 (804,751)
Citation 1

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31.

Bias-Reduced Log-Periodogram and Whittle Estimation of the Long-Memory Parameter Without Variance Inflation

Number of pages: 51 Posted: 30 Sep 2011
Patrik Guggenberger and Yixiao Sun
Pennsylvania State University, College of the Liberal Arts - Department of Economic and University of California, San Diego (UCSD) - Department of Economics
Downloads 52 (819,330)
Citation 2

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Adaptive estimation, asymptotic bias, asymptotic normality, bias reduction, frequency domain, long-range dependence, rate of convergence, strongly dependent time series

32.

Robust Trend Inference with Series Variance Estimator and Testing-Optimal Smoothing Parameter

Number of pages: 46 Posted: 26 Nov 2010
Yixiao Sun
University of California, San Diego (UCSD) - Department of Economics
Downloads 44 (883,867)
Citation 9

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Asymptotic Expansion, F-Distribution, Hotelling's T² Distribution, Long-Run Variance, Robust Standard Error, Series Method, Testing-Optimal Smoothing Parameter Choice, Trend Inference, Type I and Type II errors

33.

Estimation and Inference in a Possibly Multicointegrated System with a Fixed Number of Instruments

Downloads 25 (1,080,366)

Estimation and Inference in a Possibly Multicointegrated System with a Fixed Number of Instruments

Number of pages: 12 Posted: 16 Oct 2024
Yixiao Sun, Peter C. B. Phillips and Igor Kheifets
University of California, San Diego (UCSD) - Department of Economics, University of Auckland Business School and The University of North Carolina at Charlotte
Downloads 20 (1,178,782)

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Asymptotic F test, Cointegration, Fixed-K asymptotics, Multicointegration, Trend IV estimation.

Estimation and Inference in a Possibly Multicointegrated System with a Fixed Number of Instruments

Number of pages: 13 Posted: 14 Feb 2025
Yixiao Sun, Peter C. B. Phillips and Igor Kheifets
University of California, San Diego (UCSD) - Department of Economics, University of Auckland Business School and The University of North Carolina at Charlotte
Downloads 5 (1,353,831)

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Asymptotic F test, Cointegration, Fixed-K asymptotics, Long-run variance, Multicointegration, Trend instrumental variable estimation.

34.

Asymptotic F and T Tests in an Efficient GMM Setting

Posted: 18 Aug 2015
Jungbin Hwang and Yixiao Sun
University of California, San Diego (UCSD) and University of California, San Diego (UCSD) - Department of Economics

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Efficient GMM, F distribution, F test, Fixed-smoothing Asymptotics, Heteroskedasticity and Autocorrelation Robust, Two-step GMM.