S+ CODES for SOME PAPERS

Publications:


(I) Papers Submitted:

  • Panel estimation of weak instrumental variables models. Submitted to A Journal (2007) (with H. Li).

  • Convergency and divergency of functional coefficient weak instrumental variables models. Submitted to A Journal (2007) (with H. Li).

  • Efficient estimation of partially varying-coefficient instrumental variables models. Submitted to A Journal (2006) (with H. Xiong).

    (II) Papers Revised or Forthcoming:

    1. Nonparametric methods for estimating conditional value-at-risk and expected shortfall. Revised for Journal of Econometrics (2006) (with X. Wang).

    2. Nonparametric quantile estimations for dynamic smooth coefficient models. Revised for Journal of the American Statistical Association (2005) (with X. Xu).

    3. Nonparametric estimation of varying coefficient dynamic panel models. Forthcoming in Econometric Theory (2005) (with Q. Li).

    (III) Papers Published:

  • Trending varying-coefficient models with serially correlated errors. Journal of Econometrics 137 (2007), 163-188.

  • Functional coefficient instrumental variables models. Journal of Econometrics 133 (2006), 207-241(with M. Das, H. Xiong and Z. Wu).

  • Nonlinear seasonal time series models. Advances in Econometrics, Volume B (2006), 63-87 (with R. Chen).

  • Strong Uniform Consistency of Nonparametric Estimation of The Censored Conditional Mode Function. Journal of Nonparametric Statistics 17 (2005), 797-806 (with E. Ould-Said).

  • Local quasi-likelihood approach to varying-coefficient discrete-valued time series models. Journal of Nonparametric Statistics 15 (2003), 693-711.

  • Nonparametric methods in continuous-time finance: A selective review. In Recent Advances and Trends in Nonparametric Statistics (M.G. Akritas and D.M. Politis, eds.) (2003), 283-302 (with Y. Hong).

  • Local robust regression estimation for time series. Statistics and Probability Letters 65 (2003), 433-449 (with E. Ould-Said).

  • Weighted local linear approach to censored nonparametric regression. In Recent Advances and Trends in Nonparametric Statistics (M.G. Akritas and D.M. Politis, eds.) , (2003), 217-231.

  • Nonparametric estimation equations for time series data. Statistics and Probability Letters 62 (2003), 379-390.

  • Adaptive varying-coefficient linear models. Journal of the Royal Statistical Society, Series B 65 (2003), 57-80 (with J. Fan and Q. Yao).

  • Local linear estimation for time-dependent coefficients in Cox's regression models. Scandinavian Journal of Statistics 30 (2003), 93-111 (with Y. Sun).

  • A Two-Stage Approach to Additive Time Series Models. Statistica Neerlandica 56 (2002), 415-433.

  • Regression quantiles for time series data. Econometric Theory 18 (2002), 169-192.

  • Two-step likelihood estimation procedure for varying-coefficient models. Journal of Multivariate Analysis 82 (2002), 189-209.

  • Estimation a distribution for censored time series data. Journal of Multivariate Analysis 78 (2001), 299-318.

  • Smoothing estimation for discrete-value time series. Journal of the Royal Statistical Society, Series B 63(2001), 357-375 (with Q. Yao and W. Zhang).

  • Weighted Nadaraya-Watson regression estimation. Statistics and Probability Letters 51(2001), 307-318.

  • Local estimation of a biometric function with covariate effects. In Asymptotics in Statistics and Probability (2000) (M. Puri, ed), 47-70 (with L. Qian).

  • Average regression surface for dependent data. Journal of Multivariate Analysis, 75(2000), 112-142 (with J. Fan).

  • Denoised least squares estimators: An application to estimating advertising effectiveness. Statistica Sinica , 10(2000), 1231-1241 (with P. Naik and C.L. Tsai).

  • Functional-coefficient regression models for nonlinear time series. Journal of the American Statistical Association, 95(2000), 941-956 (with J. Fan and Q. Yao).

  • Efficient estimation and inferences for in varying-coefficient models. Journal of the American Statistical Association, 95(2000), 888-902 (with J. Fan and R. Li).

  • Nonparametric estimation in nonlinear ARX time series models: Projection and linear fitting. Econometric Theory, 16(2000), 465-501 (with E. Masry).

  • Application of a local linear autoregressive model to BOD time series. Environmetrics, 11(2000), 341--350 (with R.C. Tiwari).

  • Berry-Esseen bounds for smooth estimate of a distribution function under association. Journal of Nonparametric Statistics, 11(1999), 79-106 (with G. G. Roussas).

  • The residual and partial residual plots in generalized linear models. Computational Statistics and Data Analysis, 29(1999), 445-46911 (with C. L. Tsai).

  • Weak convergence for smooth estimator of a distribution function under negative association. Journal of Stochastic Analysis and Applications, 17(1999), 145-168 (with G. G. Roussas).

  • Kaplan-Meier estimator under association. Journal of Multivariate Analysis, 67(1998), 318-348 (with G. G. Roussas).

  • Kernel density and hazard rate estimation for censored dependent data. Journal of Multivariate Analysis, 67 (1998), 23-34.

  • Score tests for heteroscedasticity in wavelet regression models. Biometrika, 85(1998), 229-234 (with C.M. Hurvich and C.L. Tsai).

  • Examination of residual plots. Statistica Sinica, 8 (1998), 445-4675 (with C. L. Tsai and X. Z. Wu).

  • Efficient estimation of a distribution function under quadrant dependence. Scandinavian Journal of Statistics, 25(1998), 211-224 (with G.G. Roussas).

  • Asymptotic properties of Kaplan-Meier estimator for censored dependent data. Statistics and Probability Letters, 37(1998), 381-389.

  • Smooth estimate of quantiles under association. Statistics and Probability Letters, 26(1997), 275-287 (with G. G. Roussas).

    Statistical Inference under Dependence. Ph.D. thesis (1995), Department of Statistics, University of California, Davis.

  • Strong consistency and rates for recursive nonparametric conditional probability density estimator under (alpha, beta)-mixing conditions.
        Stochastic Processes and their Applications, 38(1991), 323-333.

  • Uniform strong estimation under alpha mixing, with rates. Statistics and Probability Letters, 15 (1992), 47-55. (with G. G. Roussas).

  • Uniform strong convergence and rates for the kernel estimator of a distribution function and a regression function under weakly dependent observations.     Journal of Applied Probability and Statistics, 9 (1993), 11-17.

  • Asymptotic normality of recursive kernel density estimation under dependent assumptions. Journal of Applied Probability and Statistics, 9(1993), 123-129.

  • On complete convergence of nonparametric regression M-quantiles. Journal of System Science and Math Science, 5 (1992), 227-232.

  • Strong Consistency and rates for estimator of probability density for weakly dependent random variables. Journal of System Science and Math Science, 10 (1990), 357-367.

  • Convergence properties for stochastic measures of the accuracy of double kernel estimator of conditional probability density. Journal of Hangzhou University, 18 (1991), 390-401.

  • Central limit theorem for integrated square error of double kernel estimator of conditional density. Journal of Hangzhou University, 16 (1989), 123-131.

  • Moderate deviations and large deviations for generalized L-statistics. The Annals of Chinese Mathematics, 13A (1992), 364-372.

  • On Chernoff-type large deviations for trimmed U-statistics. Journal of Hangzhou University, 18 (1991), 21-26.

  • A strong law for linear functions of order statistics under dependent assumptions. Journal of Hangzhou University, 15(1988), 378-383.

  • Rate of convergence in the SLLN for dependent random variables. Journal of Applied Probability and Statistics, 5 (1989), 256-264.

  • Some remarks on the strong convergence of weighted sums for independent random variables. Applied Math Journal of Chinese University, 6 (1991), 44-51.

  • Strong approximation and Erdos-Renyi type laws of sum for independently but non-identically random variables. Journal of Hangzhou University, 19 (1992), 240-246.