Search Results for author: Yayi Yan

Found 5 papers, 0 papers with code

Time-Varying Vector Error-Correction Models: Estimation and Inference

no code implementations28 May 2023 Jiti Gao, Bin Peng, Yayi Yan

This paper considers a time-varying vector error-correction model that allows for different time series behaviours (e. g., unit-root and locally stationary processes) to interact with each other to co-exist.

Time Series

Time-Varying Multivariate Causal Processes

no code implementations1 Jun 2022 Jiti Gao, Bin Peng, Wei Biao Wu, Yayi Yan

In this paper, we consider a wide class of time-varying multivariate causal processes which nests many classic and new examples as special cases.

Higher-order Expansions and Inference for Panel Data Models

no code implementations1 May 2022 Jiti Gao, Bin Peng, Yayi Yan

In this paper, we propose a simple inferential method for a wide class of panel data models with a focus on such cases that have both serial correlation and cross-sectional dependence.

On Time-Varying VAR Models: Estimation, Testing and Impulse Response Analysis

no code implementations31 Oct 2021 Yayi Yan, Jiti Gao, Bin Peng

Vector autoregressive (VAR) models are widely used in practical studies, e. g., forecasting, modelling policy transmission mechanism, and measuring connection of economic agents.

Binary Response Models for Heterogeneous Panel Data with Interactive Fixed Effects

no code implementations6 Dec 2020 Jiti Gao, Fei Liu, Bin Peng, Yayi Yan

In this paper, we investigate binary response models for heterogeneous panel data with interactive fixed effects by allowing both the cross-sectional dimension and the temporal dimension to diverge.

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