Xuewen Yu's webpage
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Publications: *[1]---Structural Breaks;  *[2]---Large VARs;  *[3]---(Dynamic) Panel Data Models;  *[4]---Model Averaging.             

​1. Bootstrap Procedures for Detecting Multiple Persistence Shifts in Heteroskedastic Time Series,    *[1]
with Mohitosh Kejriwal and Pierre Perron, 2020, Journal of Time Series Analysis, 41, 676-690.          
​
Working paper version               ​Relication files, Matlab code 
2. Generalised Forecast Averaging in Autoregressions with a Near Unit Root,    *[1], [4]
with Mohitosh Kejriwal, 2021, The Econometrics Journal, 24, 83-102.                              
​
Working paper version                Replication files, Matlab code

---Awarded 2021 Denis Sargan Econometrics Prize. [
Link]
3. A Two Step Procedure for Testing Partial Parameter Stability in Cointegrated Regression Models,    *[1]
with Mohitosh Kejriwal and Pierre Perron, 2022, Journal of Time Series Analysis, 43, 219-237.
​
Working paper version                Replication files, Matlab code
Working Papers:
​

4. Fast and Accurate Variational Inference for Large Bayesian VARs with Stochastic Volatility, *[2]
with Joshua Chan, forthcoming, Journal of Economic Dynamics and Control.
Working paper version
Replication files, Matlab code ​
5. Indirect Inference Estimation of Dynamic Panel Data Models, *[3]
with Yong Bao, forthcoming, Journal of Econometrics.
(draft available upon request)
6. Inference in Mildly Explosive Autoregressions under Unconditional Heteroskedasticity,    *[1]
with Mohitosh Kejriwal, Job Market Paper, Revise & Resubmit, Econometric Theory.
Working paper version                Replication files, Matlab code    
7. Large Order-Invariant Bayesian VARs with Stochastic Volatility,    *[2]
​with Joshua Chan and Gary Koop, Revise & Resubmit, Journal of Business and Economic Statistics.
Working paper version                Replication files, Matlab code  
8. Bayesian VARs with Factor Stochastic Volatility: Identification, Order Invariance and Structural Analysis,    *[2]
with Joshua Chan and Eric Eisenstat, 2022, under review. 
Working paper version              
9. Multistep Forecast Averaging with Stochastic and Deterministic Trends,    *[1], [4]
with Mohitosh Kejriwal and Linh Nguyen, 2022, under review. 
Working paper version ​
Work in Progress: 

10. Testing for Multiple Bubbles under Nonstationary Volatility, with Mohitosh Kejriwal and Pierre Perron.​    *[1]
11. Complete Subset Averaging Methods for Program Evaluation by Panel Data Approach, with Xinyu Zhang.    *[3], [4]
12. ​A Test of Test Horizon in Convergence Studies, with Yong Bao and Xiaotian Liu.    *[3]
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