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

SCHOLARLY PAPERS

35

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3,174

SSRN CITATIONS
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Top 6,543

in Total Papers Citations

52

CROSSREF CITATIONS

149

Scholarly Papers (35)

1.

The Statistics of Cross-Sectional Information Coefficient

Number of pages: 16 Posted: 02 May 2011 Last Revised: 12 Jan 2022
Zhuanxin Ding and Yixiao Sun
AlphaFocus Investment Research, LLC and University of California, San Diego (UCSD) - Department of Economics
Downloads 871 (39,737)
Citation 1

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information coefficient (IC), asymptotic distribution, information ratio, the fundamental law of active management

2.

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

Number of pages: 51 Posted: 16 Mar 2003
University of Auckland Business School, University of California, San Diego (UCSD) - Department of Economics and Peking University - Guanghua School of Management
Downloads 171 (246,247)

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

3.

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 153 (269,925)
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

4.

Long Run Variance Estimation Using Steep Origin Kernels Without Truncation

Number of pages: 48 Posted: 17 Sep 2003
University of Auckland Business School, University of California, San Diego (UCSD) - Department of Economics and Peking University - Guanghua School of Management
Downloads 137 (294,725)

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

5.

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 130 (306,740)
Citation 3

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Exponential distribution, maximum likelihood, order statistic, threshold determination

6.

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 112 (341,465)
Citation 18

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

7.

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 96 (377,948)
Citation 1

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

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 93 (385,504)
Citation 4

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

9.

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 87 (401,770)

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

10.

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 85 (407,415)
Citation 2

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

11.

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 80 (422,208)
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

12.

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 79 (425,290)
Citation 14

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

13.

Optimal Bandwidth Selection in Heteroskedasticity-Autocorrelation Robust Testing

Cowles Foundation Discussion Paper No. 1545
Number of pages: 52 Posted: 04 Jan 2006
University of California, San Diego (UCSD) - Department of Economics, University of Auckland Business School and Peking University - Guanghua School of Management
Downloads 78 (428,398)
Citation 3

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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

14.

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 78 (428,398)
Citation 1

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

15.

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 76 (434,697)
Citation 4

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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

16.

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 76 (434,697)
Citation 1

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Spurious Regressions, Fractional Process, HAC Estimator

17.

A New Approach to Robust Inference in Cointegration

Cowles Foundation Discussion Paper No. 1538
Number of pages: 16 Posted: 24 Oct 2005
Peking University - Guanghua School of Management, University of Auckland Business School and University of California, San Diego (UCSD) - Department of Economics
Downloads 75 (437,818)

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

18.

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 67 (464,870)
Citation 1

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

19.

Improved Har Inference Using Power Kernels Without Truncation

Number of pages: 52 Posted: 11 Jun 2005
University of Auckland Business School, University of California, San Diego (UCSD) - Department of Economics and Peking University - Guanghua School of Management
Downloads 63 (479,659)

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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.

20.

A Flexible Nonparametric Test for Conditional Independence

Number of pages: 40 Posted: 11 Jun 2013
Freddie Mac, University of California, San Diego (UCSD) - Department of Economics and University of California, San Diego (UCSD) - Department of Economics
Downloads 62 (483,440)
Citation 6

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Conditional Independence, Generically Comprehensively Revealing, Nonparametric Test

21.

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 62 (483,440)
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

22.

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 61 (487,371)

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

23.

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 58 (499,087)
Citation 4

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

24.

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 42 (571,841)
Citation 1

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25.

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 40 (582,264)
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

26.

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 40 (582,264)

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

27.

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 40 (582,264)
Citation 16

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

28.

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
University of California, San Diego (UCSD) - Department of Economics, University of Auckland Business School and Peking University - Guanghua School of Management
Downloads 38 (592,939)
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

29.

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 35 (609,988)
Citation 4

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

30.

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 34 (615,875)
Citation 4

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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 27 (661,253)
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 16 (748,837)
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.

Spectral Density Estimation and Robust Hypothesis Testing Using Steep Origin Kernels Without Truncation

International Economic Review, Vol. 47, No. 3, pp. 837-894, August 2006
Number of pages: 58 Posted: 01 Mar 2007
University of Auckland Business School, University of California, San Diego (UCSD) - Department of Economics and Peking University - Guanghua School of Management
Downloads 11 (796,290)

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34.

An Asymptotic F Test for Uncorrelatedness in the Presence of Time Series Dependence

Journal of Time Series Analysis, Vol. 41, Issue 4, pp. 536-550, 2020
Number of pages: 15 Posted: 30 Sep 2020
xuexin wang and Yixiao Sun
Xiamen University and University of California, San Diego (UCSD) - Department of Economics
Downloads 1 (913,180)

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Lack of autocorrelations, Portmanteau test, fixed‐smoothing asymptotics, distribution, orthonormal series variance estimator

35.

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.