Large order-invariant Bayesian VARs with stochastic volatility JCC Chan, G Koop, X Yu Journal of Business & Economic Statistics 42 (2), 825-837, 2024 | 37 | 2024 |
Fast and accurate variational inference for large Bayesian VARs with stochastic volatility JCC Chan, X Yu Journal of Economic Dynamics and Control 143, 104505, 2022 | 21 | 2022 |
Large Bayesian VARs with factor stochastic volatility: Identification, order invariance and structural analysis J Chan, E Eisenstat, X Yu arXiv preprint arXiv:2207.03988, 2022 | 6 | 2022 |
Bootstrap procedures for detecting multiple persistence shifts in heteroskedastic time series M Kejriwal, X Yu, P Perron Journal of Time Series Analysis 41 (5), 676-690, 2020 | 6 | 2020 |
Indirect Inference Estimation of Dynamic Panel Data Models Y Bao, X Yu Journal of Econometrics, 2022 | 3 | 2022 |
Generalized forecast averaging in autoregressions with a near unit root M Kejriwal, X Yu The Econometrics Journal 24 (1), 83-102, 2021 | 3 | 2021 |
A two step procedure for testing partial parameter stability in cointegrated regression models M Kejriwal, P Perron, X Yu Journal of Time Series Analysis, 2020 | 2 | 2020 |
Multistep Forecast Averaging with Stochastic and Deterministic Trends M Kejriwal, L Nguyen, X Yu Econometrics 11 (4), 28, 2023 | 1 | 2023 |
Inference in Mildly Explosive Autoregressions under Unconditional Heteroskedasticity X Yu, M Kejriwal Available at SSRN 4081663, 2021 | 1 | 2021 |
Large Structural VARs with Multiple Sign and Ranking Restrictions JCC Chan, C Matthes, X Yu | | 2023 |
Essays in Nonstationary Time Series Econometrics X Yu Purdue University, 2022 | | 2022 |