Ke-Li Xu

Indiana University Bloomington

Associate Professor

100 S. Woodlawn Ave.

Department of Economics, Wylie Hall

Bloomington, IN 47405-7104

United States

http://https://sites.google.com/site/xukeli2015/

Texas A&M University

Associate Professor

3063 Allen, 4228 TAMU

Department of Economics, TAMU

College Station, TX 77843-4228

United States

http://econweb.tamu.edu/keli/

SCHOLARLY PAPERS

20

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1,159

CITATIONS
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in Total Papers Citations

49

Scholarly Papers (20)

1.

Nonparametric Inference for Conditional Quantiles of Time Series

Econometric Theory, Forthcoming
Number of pages: 34 Posted: 19 Jun 2012
Ke-Li Xu
Indiana University Bloomington
Downloads 119 (185,730)

Abstract:

Conditional quantile function, Empirical likelihood, Local polynomial estimation, Nonparametric inference, Time series, Value-at-risk

2.

Powerful Tests for Structural Changes in Volatility

Journal of Econometrics, Forthcoming
Number of pages: 40 Posted: 27 Nov 2012
Ke-Li Xu
Indiana University Bloomington
Downloads 114 (188,046)

Abstract:

CUSUM test, LM test, nonparametric volatility estimation, nonstationary volatility, volatility break

3.

Adaptive Estimation of Autoregression Models with Time-Varying Variances

Cowles Foundation Discussion Paper No. 1585
Number of pages: 31 Posted: 17 Oct 2006
Ke-Li Xu and Peter C. B. Phillips
Indiana University Bloomington and Yale University - Cowles Foundation
Downloads 113 (194,137)
Citation 10

Abstract:

Adaptive estimation, Autoregression, Heterogeneity, Weighted regression

4.

Tilted Nonparametric Estimation of Volatility Functions with Empirical Applications, 2nd Version

Number of pages: 29 Posted: 18 Apr 2008 Last Revised: 19 Jan 2010
Ke-Li Xu and Peter C. B. Phillips
Indiana University Bloomington and Yale University - Cowles Foundation
Downloads 108 (204,371)
Citation 1

Abstract:

Conditional variance function, Empirical likelihood, Conditional heteroskedasticity, Jump diffusions, Local linear estimator, Heteroskedastic nonparametric regression, Volatility

5.

Tilted Nonparametric Estimation of Volatility Functions with Empirical Applications

Cowles Foundation Discussion Paper No. 1612
Number of pages: 32 Posted: 14 Jun 2007 Last Revised: 19 Jul 2010
Peter C. B. Phillips and Ke-Li Xu
Yale University - Cowles Foundation and Indiana University Bloomington
Downloads 72 (258,124)
Citation 1

Abstract:

Conditional variance function, Empirical likelihood, Conditional heteroskedasticity, Jump diffusion, Local linear estimator, Heteroskedastic nonparametric regression, Volatility

6.

Model-Free Inference for Tail Risk Measures

Number of pages: 43 Posted: 11 Sep 2014
Ke-Li Xu
Indiana University Bloomington
Downloads 66 (204,371)

Abstract:

Confidence interval; (Generalized) Empirical likelihood; Expected shortfall; Nonparametric model; Semiparametric index model; Value at risk

7.

Adaptive Estimation of Autoregressive Models with Time-Varying Variances

Cowles Foundation Discussion Paper No. 1585R
Number of pages: 31 Posted: 10 Dec 2006
Ke-Li Xu and Peter C. B. Phillips
Indiana University Bloomington and Yale University - Cowles Foundation
Downloads 66 (270,514)
Citation 10

Abstract:

Adaptive estimation, Autoregression, Heterogeneity, Weighted regression

8.

Robustifying Multivariate Trend Tests to Nonstationary Volatility

Number of pages: 24 Posted: 16 Apr 2008 Last Revised: 13 Jul 2009
Ke-Li Xu
Indiana University Bloomington
Downloads 64 (274,900)
Citation 2

Abstract:

Bootstrap, Deterministic trends, Multivariate trend function testing, Nonstationary volatility, Wild bootstrap, Variance change

9.

Re-Weighted Functional Estimation of Diffusion Models

Number of pages: 30 Posted: 03 Aug 2007
Ke-Li Xu
Indiana University Bloomington
Downloads 60 (293,237)
Citation 3

Abstract:

Bias reduction, diffusion; empirical likelihood, local linear smoothing, local time, Nadaraya-Watson estimator, nonparametric estimation, stochastic differential equation, volatility.

10.

Re-Weighted Functional Estimation of Diffusion Models, 2nd Version

Number of pages: 35 Posted: 18 Apr 2008 Last Revised: 08 Dec 2008
Ke-Li Xu
Indiana University Bloomington
Downloads 49 (319,564)
Citation 2

Abstract:

Diffusion, empirical likelihood, local linear smoothing, local time, recurrence, stochastic differential equation, volatility

11.

Empirical Likelihood-Based Inference for Nonparametric Recurrent Diffusions

Number of pages: 42 Posted: 15 Jun 2008 Last Revised: 18 Jan 2010
Ke-Li Xu
Indiana University Bloomington
Downloads 41 (337,328)
Citation 1

Abstract:

Confidence interval; continuous-time models; diffusion; drift; empirical likelihood; local linear smoothing; local time; nonparametric estimation; nonstationarity; stochastic differential equation.

12.

Empirical Likelihood for Regression Discontinuity Design

Cowles Foundation Discussion Paper No. 1799
Number of pages: 37 Posted: 18 May 2011
Taisuke Otsu and Ke-Li Xu
Yale University - Cowles Foundation and Indiana University Bloomington
Downloads 40 (337,328)
Citation 3

Abstract:

Empirical likelihood, Nonparametric methods, Regression discontinuity design, Treatment effect

13.

Towards Uniformly Efficient Trend Estimation Under Weak/Strong Correlation and Nonstationary Volatility

Number of pages: 27 Posted: 05 Mar 2014
Ke-Li Xu and Jui-Chung Yang
Indiana University Bloomington and Texas A&M University
Downloads 18 (399,032)

Abstract:

Cochrane-Orcutt estimator; Deterministic trend; Efficiency gain; Nearly-integrated process; Nonstationary volatility; Semiparametric model

14.

Inference in Autoregression under Heteroskedasticity

Journal of Time Series Analysis, Vol. 27, No. 2, pp. 289-308, March 2006
Number of pages: 20 Posted: 08 May 2006
Peter C. B. Phillips and Ke-Li Xu
Yale University - Cowles Foundation and Indiana University Bloomington
Downloads 17 (453,873)
Citation 12

Abstract:

15.

Bootstrapping Auto-regression Under Non-Stationary Volatility

Econometrics Journal, Vol. 11, Issue 1, pp. 1-26, February 2008
Number of pages: 26 Posted: 29 Feb 2008
Ke-Li Xu
Indiana University Bloomington
Downloads 10 (489,709)
Citation 2

Abstract:

16.

Testing for Structural Change Under Nonstationary Variances

Econometrics Journal, Forthcoming
Number of pages: 38 Posted: 12 Jun 2015
Ke-Li Xu
Indiana University Bloomington
Downloads 9 (474,409)
Citation 1

Abstract:

CUSUM test; LM test; non-monotonic power; robust tests; structural change; volatility break.

17.

Estimation and Inference under Weak Identification and Persistence in Dynamic Nonlinear Regression

Number of pages: 40 Posted: 05 Oct 2016
Jui-Chung Yang and Ke-Li Xu
Texas A&M University and Indiana University Bloomington
Downloads 0 (494,510)

Abstract:

Confidence Set; Monetary Policy Reaction Function; Nearly Unit Root; Nonlinear Least Squares; Real-Time Data; Weak Identification

18.

Regression Discontinuity with Categorical Outcomes

Number of pages: 50 Posted: 16 Jan 2016 Last Revised: 24 May 2017
Ke-Li Xu
Indiana University Bloomington
Downloads 0 (311,241)

Abstract:

Bandwidth selection; confidence intervals; categorical outcomes; local likelihood; multinomial logit model; nonparametric models; regression discontinuity

19.

Multivariate Trend Function Testing with Mixed Stationary and Integrated Disturbances

Journal of Multivariate Analysis, Forthcoming
Number of pages: 34 Posted: 26 Dec 2015
Ke-Li Xu
Indiana University Bloomington
Downloads 0 (428,081)

Abstract:

Deterministic trends; Efficient estimation; Fixed-b asymptotics; HAC standard error; Multivariate time series; Nearly integrated processes; Seemingly unrelated regression (SUR)

20.

Testing for Structural Change Under Non‐Stationary Variances

The Econometrics Journal, Vol. 18, Issue 2, pp. 274-305, 2015
Number of pages: 32 Posted: 15 Jul 2015
Ke-Li Xu
Indiana University Bloomington
Downloads 0 (536,520)
Citation 1

Abstract:

CUSUM test, LM test, Non‐monotonic power, Robust tests, Structural change, Volatility break