Xu Han
Publications:
• Quasi-Maximum Likelihood Estimation of Break Point in High-Dimensional Factor Models (with Jushan Bai and Jiangtao Duan) , Journal of Econometrics, 233(1), March 2023, 209-236. (paper)
• Instrumental Variable Estimation of Structural VAR Models Robust to Possible Nonstationarity (with Xu Cheng and Atsushi Inoue), Econometric Theory, 38(5), October 2022 , 845-874. (paper, working paper)
• An upper bound for functions of estimators in high dimensions (with Mehmet Caner), Econometric Reviews, 2021, Vol. 40, No. 1, 1-13. (paper)
• Estimation and Inference of Structural Changes in High Dimensional Factor Models (with Jushan Bai and Yutang Shi), Journal of Econometrics, 2020, 219(1), 66-100. (paper, supplementary appendix)
• Shrinkage Estimation of Factor Models with Global and Group-Specific Factors, Journal of Business and Economic Statistics, 2021, 39(1), 1-17. (paper, working paper, supplementary appendix)
• Estimation and Inference of Dynamic Structural Factor Models with Over-identifying Restrictions, (An early version was titled “Estimation and Inference in Over-identified Structural Factor-Augmented VAR Models”) , Journal of Econometrics, 2018, 202(2), 125-147. (paper, working paper, supplementary appendix)
• Adaptive Elastic Net GMM Estimation with Many Invalid Moment Conditions: Simultaneous Model and Moment Selection (with Mehmet Caner and Yoonseok Lee), Journal of Business and Economic Statistics, 2018, 36(1), 24-46. (paper)
• Determining the Number of Factors with Potentially Strong within-Block Correlation in Error Terms (with Mehmet Caner), Econometric Reviews, 2017, 36, 946-969. (paper, supplementary appendix)
• Structural Changes in High Dimensional Factor Models (with Jushan Bai), Frontiers of Economics in China, 2016, 11(1), 9-39.
• Tests for Overidentifying Restrictions in Factor-Augmented VAR Models, Journal of Econometrics, 2015, 184(2), 394-419. (paper, supplementary appendix)
• Tests for Parameter Instability in Dynamic Factor Models (with Atsushi Inoue), Econometric Theory, 2015, 31(5), 1117-1152 (paper, working paper version, matlab code)
• Selecting the Correct Number of Factors in Approximate Factor Models: The Large Panel Case With Group Bridge Estimators, (with Mehmet Caner), Journal of Business and Economic Statistics, 2014, 32(3), 359-374. (paper, matlab code)
• Ambiguity Aversion and Rational Herd Behavior (joint with Zhiyong Dong and Qingyang Gu), Applied Financial Economics, Vol. 20, 2010, 331-343. (paper)
Working Papers:
• Likelihood Ratio Test for Structural Changes in Factor Models (with Jushan Bai and Jiangtao Duan), 2023. (paper)
• Path-dependent Preferences and Polarized Public Response to Pandemics (with Audrey Hu and Joyce Liu), 2022. (paper, supplementary appendix)
• Global Identification and Estimation of Structural Impulse Response Functions in Dynamic Factor Models: A Unified Framework, 2023. (paper)