Degui Li

Search results

• 2024

  Estimating Time-Varying Networks for High-Dimensional Time Series

  Chen, J., Li, D., Li, Y-N. & Linton, O., 15 May 2024, (Accepted/In press) In: Journal of Econometrics.

  Research output: Contribution to journal › Article › peer-review

• Estimation of Large Dynamic Covariance Matrices: A Selective Review

  Li, D., 1 Jan 2024, In: Econometrics and Statistics. 29, p. 16-30 15 p.

  Research output: Contribution to journal › Review article › peer-review
• 2023

  Detection of Multiple Structural Breaks in Large Covariance Matrices

  Li, Y-N., Li, D. & Fryzlewicz, P., 13 Jun 2023, In: Journal of Business and Economic Statistics. 41, 3, p. 846-861 16 p.

  Research output: Contribution to journal › Article › peer-review

  Open Access

  File

• Dimension Reduction and MARS

  Liu, Y., Li, D. & Xia, Y., 30 Oct 2023, In: Journal of machine learning research. 24, 309, 30 p., 309.

  Research output: Contribution to journal › Article › peer-review

  Open Access

  File

• Functional-Coefficient Quantile Regression for Panel Data with Latent Group Structure

  Yang, X., Chen, J., Li, D. & Li, R., 31 Oct 2023, (E-pub ahead of print) In: Journal of Business and Economic Statistics. 15 p.

  Research output: Contribution to journal › Article › peer-review

  Open Access

  File

• Nonstationary Fractionally Integrated Functional Time Series

  Li, D., Robinson, P. M. & Shang, H., May 2023, In: Bernoulli. 29, 2, p. 1505-1526

  Research output: Contribution to journal › Article › peer-review

  Open Access

  File
• 2021

  Local Whittle Estimation of Long-Range Dependence for Functional Time Series

  Li, D., Robinson, P. M. & Shang, H., 1 Oct 2021, In: Journal of Time Series Analysis. 42, 5-6, p. 685-695 11 p.

  Research output: Contribution to journal › Article › peer-review

  Open Access

  File

• Nonparametric Estimation of Large Covariance Matrices with Conditional Sparsity

  Wang, H., Peng, B., Li, D. & Leng, C., Jul 2021, In: Journal of Econometrics. 223, 1, p. 53-72 20 p.

  Research output: Contribution to journal › Article › peer-review

  Open Access

  File

• Nonparametric Homogeneity Pursuit in Functional-Coefficient Models

  Chen, J., Li, D., Wei, L. & Zhang, W., 14 Jul 2021, (E-pub ahead of print) In: Journal of Nonparametric Statistics. 33, 3-4, p. 387-416 30 p.

  Research output: Contribution to journal › Article › peer-review

  Open Access

  File

• Nonparametric Quantile Regression Estimation with Mixed Discrete and Continuous Data

  Li, D., Li, Q. & Li, Z., Jun 2021, In: Journal of Business and Economic Statistics. 39, 3, p. 741–756 16 p.

  Research output: Contribution to journal › Article › peer-review

  Open Access

  File

• Robust Nonlinear Regression Estimation in Null Recurrent Time Series

  Bravo, F., Li, D. & Tjostheim, D., 1 Oct 2021, In: Journal of Econometrics. 224, 2, p. 416-438 23 p.

  Research output: Contribution to journal › Article › peer-review

  Open Access

  File
• 2020

  Kernel-Based Inference in Time-Varying Coefficient Cointegrating Regression

  Li, D., Phillips, P. C. B. & Gao, J., Apr 2020, In: Journal of Econometrics. 215, 2, p. 607-632 26 p.

  Research output: Contribution to journal › Article › peer-review

  Open Access

  File

• Long-Range Dependent Curve Time Series

  Li, D., Robinson, P. M. & Shang, H., Jun 2020, In: Journal of the American Statistical Association. 115, 530, p. 957-971 15 p.

  Research output: Contribution to journal › Article › peer-review

  Open Access

  File

• Nonlinear Factor-Augmented Predictive Regression Models with Functional Coefficients

  Li, D., Tosasukul, J. & Zhang, W., May 2020, In: Journal of Time Series Analysis. 41, 3, p. 367-386 20 p.

  Research output: Contribution to journal › Article › peer-review

  Open Access

  File
• 2019

  A new semiparametric estimation approach for large dynamic covariance matrices with multiple conditioning variables

  Chen, J., Li, D. & Linton, O., 1 Sept 2019, In: Journal of Econometrics. 212, 1, p. 155-176 22 p.

  Research output: Contribution to journal › Article › peer-review

  Open Access

  File

• Estimation of a rank-reduced functional-coefficient panel data model with serial correlation

  Chen, J., Li, D. & Xia, Y., Sept 2019, In: Journal of Multivariate Analysis. 173, p. 456-479 24 p.

  Research output: Contribution to journal › Article › peer-review

  Open Access

  File

• Nonparametric Estimation of Conditional Quantile Functions in the Presence of Irrelevant Covariates

  Chen, X., Li, D., Li, Q. & Li, Z., Oct 2019, In: Journal of Econometrics. 212, 2, p. 433-450 18 p.

  Research output: Contribution to journal › Article › peer-review

  Open Access

  File
• 2018

  Nonlinear Regression Estimation Using Subset-Based Kernel Principal Components

  Ke, Y., Li, D. & Yao, Q., 2018, In: Statistica Sinica. 28, p. 2771-2794

  Research output: Contribution to journal › Article › peer-review

  Open Access

  File

• Nonparametric Estimation and Forecasting for Time-Varying Coefficient Realized Volatility Models

  Xiangjin B., C., Gao, J., Li, D. & Silvapulle, P., Jan 2018, In: Journal of Business and Economic Statistics. p. 1-13 13 p.

  Research output: Contribution to journal › Article › peer-review

  Open Access

  File

• Semiparametric Ultra-High Dimensional Model Averaging of Nonlinear Dynamic Time Series

  Chen, J., Li, D., Linton, O. & Lu, Z., 6 Jun 2018, In: Journal of the American Statistical Association. 113, 522, p. 919-932 14 p.

  Research output: Contribution to journal › Article › peer-review

  Open Access

  File
• 2017

  Estimating Smooth Structural Change in Cointegration Models

  Phillips, P. C. B., Li, D. & Gao, J., Jan 2017, In: Journal of Econometrics. 196, 1, p. 180-195 16 p.

  Research output: Contribution to journal › Article › peer-review

  Open Access

  File

• Estimation of Semi-Varying Coefficient Models with Nonstationary Regressors

  Li, K., Li, D., Liang, Z. & Hsiao, C., 2017, In: Econometric Reviews. 36, 1-3, p. 354-369 16 p.

  Research output: Contribution to journal › Article › peer-review

  Open Access

  File

• Panel Data Models with Interactive Fixed Effects and Multiple Structural Breaks

  Li, D., Qian, J. & Su, L., 4 Jan 2017, In: Journal of the American Statistical Association. 111, 516, p. 1804-1819 16 p.

  Research output: Contribution to journal › Article › peer-review

  Open Access

  File

• Simultaneous Confidence Bands in Nonlinear Regression Models with Nonstationarity

  Li, D., Liu, W., Wang, Q. & Wu, W. B., 1 Jul 2017, In: Statistica Sinica. 27, 3, p. 1385-1400

  Research output: Contribution to journal › Article › peer-review

  Open Access

  File
• 2016

  Estimation in Nonlinear Regression with Harris Recurrent Markov Chains

  Li, D., Tjostheim, D. & Gao, J., 1 Jan 2016, In: Annals of Statistics. 44, 5, p. 1957-1987 33 p.

  Research output: Contribution to journal › Article › peer-review

  Open Access

  File

• Generalized Nonparametric Smoothing with Mixed Discrete and Continuous Data

  Li, D., Simar, L. & Zelenyuk, V., Jun 2016, In: Computational Statistics & Data Analysis. 100, p. 424-444 21 p.

  Research output: Contribution to journal › Article › peer-review

  Open Access

  File

• Local Composite Quantile Regression Smoothing for Harris Recurrent Markov Processes

  Li, D. & Li, R., 1 Sept 2016, In: Journal of Econometrics. 194, 1, p. 44-56 37 p.

  Research output: Contribution to journal › Article › peer-review

  Open Access

  File

• Semiparametric Dynamic Portfolio Choice with Multiple Conditioning Variables

  Chen, J., Li, D., Linton, O. & Lu, Z., 1 Oct 2016, In: Journal of Econometrics. 194, 2, p. 309-318 10 p.

  Research output: Contribution to journal › Article › peer-review

  Open Access

  File

• Uniform Consistency of Nonstationary Kernel-Weighted Sample Covariances for Nonparametric Regression

  Li, D., Phillips, P. C. B. & Gao, J., Jun 2016, In: Econometric Theory. 32, 3, p. 655-685 31 p.

  Research output: Contribution to journal › Article › peer-review

  Open Access

  File
• 2015

  A Flexible Semiparametric Forecasting Model for Time Series

  Li, D., Linton, O. & Lu, Z., Jul 2015, In: Journal of Econometrics. 187, p. 345-357 13 p.

  Research output: Contribution to journal › Article › peer-review

• Estimation in generalised varying-coefficient models with unspecified link functions

  Zhang, W., Li, D. & Xia, Y., Jul 2015, In: Journal of Econometrics. 187, 1, p. 238-255 18 p.

  Research output: Contribution to journal › Article › peer-review

• Model selection and structure specification in ultra-high dimensional generalised semi-varying coefficient models

  Li, D., Ke, Y. & Zhang, W., 6 Dec 2015, In: Annals of Statistics. 43, 6, p. 2676-2705 30 p.

  Research output: Contribution to journal › Article › peer-review

  Open Access

  File

• Semiparametric GEE Analysis of Partially Linear Single-Index Models for Longitudinal Data

  Chen, J., Li, D., Liang, H. & Wang, S., Aug 2015, In: Annals of Statistics. 43, 4, p. 1682-1715

  Research output: Contribution to journal › Article › peer-review

• Specification Testing in Nonstationary Time Series Models

  Chen, J., Gao, J., Li, D. & Lin, Z., Feb 2015, In: Econometrics Journal. 18, 1, p. 117-136 20 p.

  Research output: Contribution to journal › Article › peer-review

• Uniform Consistency for Nonparametric Estimators in Null Recurrent Time Series

  Gao, J., Kanaya, S., Li, D. & Tjostheim, D., 2015, In: Econometric Theory. 31, 5, p. 911-952 42 p.

  Research output: Contribution to journal › Article › peer-review
• 2014

  Computing highly accurate confidence limits from discrete data using importance sampling

  Lloyd, C. J. & Li, D., 2014, In: Statistics and computing. 24, 4, p. 663-673 11 p.

  Research output: Contribution to journal › Article › peer-review
• 2013

  Estimation in Partially Linear Single-Index Panel Data Models with Fixed Effects

  Chen, J., Gao, J. & Li, D., Jul 2013, In: Journal of Business and Economic Statistics. 31, 3, p. 315-330 16 p.

  Research output: Contribution to journal › Article › peer-review

• Estimation in Single-Index Panel Data Models with Heterogeneous Link Functions

  Chen, J., Gao, J. & Li, D., Apr 2013, In: Econometric Reviews. 32, 8, p. 928-955

  Research output: Contribution to journal › Article › peer-review
• 2012

  A NEW DIAGNOSTIC TEST FOR CROSS-SECTION UNCORRELATEDNESS IN NON PARAMETRIC PANEL DATA MODELS

  Chen, J., Gao, J. & Li, D., Oct 2012, In: Econometric Theory. 28, 5, p. 1144-1163 20 p.

  Research output: Contribution to journal › Article › peer-review

• Estimation in semi-parametric regression with non-stationary regressors

  Chen, J., Gao, J. & Li, D., May 2012, In: Bernoulli. 18, 2, p. 678-702 25 p.

  Research output: Contribution to journal › Article › peer-review

• LOCAL LINEAR FITTING UNDER NEAR EPOCH DEPENDENCE: UNIFORM CONSISTENCY WITH CONVERGENCE RATES

  Li, D., Lu, Z. & Linton, O., Oct 2012, In: Econometric Theory. 28, 5, p. 935-958 24 p.

  Research output: Contribution to journal › Article › peer-review

• Semiparametric trending panel data models with cross-sectional dependence

  Chen, J., Gao, J. & Li, D., Nov 2012, In: Journal of Econometrics. 171, 1, p. 71-85 15 p.

  Research output: Contribution to journal › Article › peer-review
• 2011

  Asymptotic expansion for nonparametric M-estimator in a nonlinear regression model with long-memory errors

  Chen, J., Li, D. & Lin, Z., Sept 2011, In: Journal of Statistical Planning and Inference. 141, 9, p. 3035-3046 12 p.

  Research output: Contribution to journal › Article › peer-review

• Estimation in semiparametric time series regression

  Chen, J., Gao, J. & Li, D., 2011, In: Statistics and its interface. 4, 2, p. 243-251 9 p.

  Research output: Contribution to journal › Article › peer-review

• Non-parametric time-varying coefficient panel data models with fixed effects

  Li, D., Chen, J. & Gao, J., Oct 2011, In: Econometrics Journal. 14, 3, p. 387-408 22 p.

  Research output: Contribution to journal › Article › peer-review

• Statistical inference in partially time-varying coefficient models

  Li, D., Chen, J. & Lin, Z., 21 Feb 2011, In: Journal of Statistical Planning and Inference. 141, 2, p. 995-1013 19 p.

  Research output: Contribution to journal › Article › peer-review
• 2010

  Robust estimation in a nonlinear cointegration model

  Chen, J., Li, D. & Zhang, L., Mar 2010, In: Journal of Multivariate Analysis. 101, 3, p. 706-717 12 p.

  Research output: Contribution to journal › Article › peer-review
• 2009

  Local Linear M-estimation in non-parametric spatial regression

  Lin, Z., Li, D. & Gao, J., May 2009, In: Journal of Time Series Analysis. 30, 3, p. 286-314 29 p.

  Research output: Contribution to journal › Article › peer-review

• LOCAL LINEAR M-ESTIMATORS IN NULL RECURRENT TIME SERIES

  Lin, Z., Li, D. & Chen, J., Oct 2009, In: Statistica Sinica. 19, 4, p. 1683-1703 21 p.

  Research output: Contribution to journal › Article › peer-review

• Robust estimation in parametric time series models under long- and short-range-dependent structures

  Gao, J., Li, D. & Lin, Z., Jun 2009, In: Australian & new zealand journal of statistics. 51, 2, p. 161-181 21 p.

  Research output: Contribution to journal › Article › peer-review