Ke-Li Xu

Indiana University Bloomington

Professor

100 S. Woodlawn Ave.

Department of Economics, Wylie Hall

Bloomington, IN 47405-7104

United States

http://sites.google.com/view/kelixu

  • Indiana University Bloomington

SCHOLARLY PAPERS

29

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SSRN CITATIONS
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Top 19,068

in Total Papers Citations

28

CROSSREF CITATIONS

37

Scholarly Papers (29)

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1.

Regression Discontinuity with Categorical Outcomes

Number of pages: 51 Posted: 16 Jan 2016 Last Revised: 15 Jul 2017
Ke-Li Xu
Indiana University Bloomington
Downloads 768 (57,294)
Citation 8

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Bandwidth selection; categorical outcomes; local likelihood; multinomial logit model; nonparametric models; regression discontinuity; robust inference

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 182 (283,443)
Citation 2

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

3.

Model-Free Inference for Tail Risk Measures

Number of pages: 43 Posted: 11 Sep 2014
Ke-Li Xu
Indiana University Bloomington
Downloads 171 (299,294)

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

4.

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 170 (300,782)

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

5.

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 University of Auckland Business School
Downloads 170 (300,782)
Citation 3

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

6.

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 University of Auckland Business School
Downloads 169 (302,244)

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Adaptive estimation, Autoregression, Heterogeneity, Weighted regression

7.

Testing for Multiple-Horizon Predictability: Direct Regression Based versus Implication Based

Number of pages: 62 Posted: 06 Dec 2018 Last Revised: 24 Sep 2019
Ke-Li Xu
Indiana University Bloomington
Downloads 156 (323,561)
Citation 14

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Bootstrap; long horizons; persistence; predictive regression; robust test; time-series return predictability.

8.

Estimation and Inference of Regression Discontinuity Design with Ordered or Discrete Duration Outcomes

Number of pages: 47 Posted: 26 Jun 2017
Ke-Li Xu
Indiana University Bloomington
Downloads 133 (367,442)
Citation 1

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Generalized Wald test; grouped duration data; semi-nonparametric models; ordered discrete outcomes; regression discontinuity; series estimator.

9.

On Local Projection Based Inference

Downloads 132 (369,526)

On Local Projection Based Inference

Number of pages: 22 Posted: 05 Apr 2022
Ke-Li Xu
Indiana University Bloomington
Downloads 71 (564,494)

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Uniform inference; impulse responses; local projections; persistence

On Local Projection Based Inference

CAEPR WORKING PAPER SERIES (2022-002)
Number of pages: 23 Posted: 07 Apr 2022
Ke-Li Xu
Indiana University Bloomington
Downloads 61 (612,680)

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Uniform inference, impulse responses, local projections, persistence

10.

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
University of Auckland Business School and Indiana University Bloomington
Downloads 129 (376,005)

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

11.

A New Test for Multiple Predictive Regression

Downloads 121 (394,635)

A New Test for Multiple Predictive Regression

Number of pages: 52 Posted: 07 Feb 2022
Ke-Li Xu and Junjie Guo
Indiana University Bloomington and Central University of Finance and Economics (CUFE) - School of Finance
Downloads 67 (583,068)

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A New Test for Multiple Predictive Regression

CAEPR WORKING PAPER SERIES (2022-001)
Number of pages: 53 Posted: 17 Feb 2022
Ke-Li Xu and Junjie Guo
Indiana University Bloomington and Indiana University Bloomington, Department of Economics
Downloads 54 (651,293)

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Curse of dimensionality; Lagrange-multipliers test; persistence; predictive regression; return predictability

12.

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 University of Auckland Business School
Downloads 120 (396,994)
Citation 5

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Adaptive estimation, Autoregression, Heterogeneity, Weighted regression

13.

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 119 (399,375)
Citation 3

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

14.

Re-Weighted Functional Estimation of Diffusion Models

Number of pages: 30 Posted: 03 Aug 2007
Ke-Li Xu
Indiana University Bloomington
Downloads 110 (422,970)
Citation 1

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

15.

Local Projection Based Inference under General Conditions

Downloads 105 (437,381)

Local Projection Based Inference under General Conditions

Number of pages: 40 Posted: 03 Mar 2023
Ke-Li Xu
Indiana University Bloomington
Downloads 55 (645,534)

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Impulse response; local projection; persistence; semiparametric efficiency; uniform inference.

Local Projection Based Inference under General Conditions

CAEPR WORKING PAPER SERIES (2023-001)
Number of pages: 41 Posted: 14 Mar 2023
Ke-Li Xu
Indiana University Bloomington
Downloads 50 (675,123)

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Impulse response; local projection; persistence; semiparametric efficiency; uniform inference

16.

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 99 (455,542)
Citation 1

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

17.

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 96 (464,934)

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

18.

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 95 (468,126)
Citation 3

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

19.

A Semi-Nonparametric Estimator of Regression Discontinuity Design with Discrete Duration Outcomes

Number of pages: 40 Posted: 03 Jan 2018
Ke-Li Xu
Indiana University Bloomington
Downloads 90 (484,508)

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Generalized Wald Test; Grouped Duration Data; Semi-Nonparametric Models; Proportional Hazard; Regression Discontinuity; Series Estimator; Treatment Effects

20.

Inference of Local Regression in the Presence of Nuisance Parameters

Number of pages: 51 Posted: 26 Jun 2017 Last Revised: 24 Nov 2017
Ke-Li Xu
Indiana University Bloomington
Downloads 83 (509,185)
Citation 4

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Bias correction; empirical likelihood; Laplace-type estimator; local estimating equations; non-smooth criterion function; nonparametric and semiparametric inference; nuisance parameter; quantile regression discontinuity; weak identification.

21.

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 76 (536,300)

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

22.

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 76 (536,300)

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

23.

A Dimensionality-Robust Test in Multiple Predictive Regression

Number of pages: 43 Posted: 06 Oct 2019 Last Revised: 03 Feb 2020
Ke-Li Xu and Junjie Guo
Indiana University Bloomington and Indiana University Bloomington, Department of Economics
Downloads 72 (552,775)

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curse of dimensionality; Lagrange-multipliers test; persistence; predictive regression; return predictability

24.

Robust Inference of Long-Horizon Predictability

Number of pages: 54 Posted: 23 May 2018
Ke-Li Xu
Indiana University Bloomington
Downloads 71 (557,027)
Citation 1

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Bonferroni correction; long-horizon predictability; persistence; power gain; robust test

25.

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 65 (583,661)

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

26.

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 65 (583,661)

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

27.

Testing for Return Predictability with Co-Moving Predictors of Unknown Form

Number of pages: 43 Posted: 23 May 2018
Ke-Li Xu
Indiana University Bloomington
Downloads 63 (592,839)
Citation 2

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Cointegration; Instrumental variables; Multiple predictors; Nearly unit root; Predic- tive regression; Robust inference; Stock return predictability; Strong persistence

28.

Standard Errors for Predictive Regression with Overlapping Observations

Number of pages: 46 Posted: 18 Jun 2023
Ke-Li Xu
Indiana University Bloomington
Downloads 48 (672,763)

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Returns predictability; Hodrick standard errors; long horizons; multiple predictive regression; overlapping observations.

29.

On the Serial Correlation in Multi-Horizon Predictive Quantile Regression

Number of pages: 9 Posted: 08 Nov 2023 Last Revised: 09 Nov 2023
Ke-Li Xu
Indiana University Bloomington
Downloads 24 (848,227)

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HAR inference; long horizons; overlapping observations; predictive regression; quantile regression