Biography Research Papers Research Projects

Education:

Ph.D in Economics, Universidad Carlos III de Madrid, Spain 2006-2012

M.A in Economics, Fudan University, China 2003-2006

B.S in Engineering, Shanghai Jiaotong University, China 1997-2001

Research Fields:

Econometric Theory, Financial Econometrics, Applied Econometrics

PUBLICATIONS

An Asymptotic F Test for Uncorrelatedness in the Presence of Time Series Dependence, 2020, Journal of Time Series Analysis, 41(4):536-550 (with Yixiao Sun, UCSD)
A New Class of Tests for Overidentifying Restrictions in Moment Condition Models, 2020, Econometric Reviews, Volume 39, 5, 495-509.
Asymptotic F Tests under Possibly Weak Identification, 2020, Journal of Econometrics, 218 (1) 140-177 (with Julián Martínez-Iriarte and Yixiao Sun, UCSD)
A General Approach to Conditional Moment Specification Testing with Projections, 2018, Econometric Reviews, Volume 37, 2, 140-165
A Joint Portmanteau Test for Conditional Mean and Variance Time Series Models, 2015, Journal of Time Series Analysis, Volume 36, 1, 39-60 (with Carlos Velasco, UC3M)

WORKING PAPERS

Consistent Estimation of Models Defined by Conditional Moment Restrictions Under Minimal Identifying Conditions (2019)
A Simple Asymptotically F-Distributed Portmanteau Test for Time Series Models with Uncorrelated Innovations (2019, with Yixiao Sun, UCSD), R&R at the JBES
An Asymptotically F-Distributed Chow Test in the Presence of Heteroscedasticity and Autocorrelation (2019, with Derrick H. Sun and Yixiao Sun, UCSD), R&R at the Econometric Reviews
Improved Consistent Conditional Moment Test for Regression Models in The Presence of Heteroskedasticity of Unknown Form (2013)

National Natural Science Foundation of China (No. 71973115), PI, 2020.01-2023.12, RMB 480,000
Fundamental Research Funds for the Central Universities, Xiamen University, PI, 2017.1- 2019.12, RMB 100,000
National Natural Science Foundation of China (No. 71301136), PI, 2014.01-2016.12, RMB 205,000