高维非线性模型中的因子分析：理论和应用

71671002
2016
G0105.管理统计理论与方法
涂云东
面上项目
教授
北京大学
46万元
结构突变;因子分析;非线性模型;高维时间序列
2017-01-01到2020-12-31
  • 中英文摘要
  • 结题摘要
  • 结题报告
  • 项目成果
  • 项目参与人
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序号 标题 类型 作者
1 Functional Coefficient Cointegration Models Subject to Time-Varying Volatility with an Application to the Purchasing Power Parity 期刊论文 Tu Yundong;Wang Ying
2 Sieve extremum estimation of a semiparametric transformation model 期刊论文 Yingqian Lin;Yundong Tu
3 On Transformed Linear Cointegration Models 期刊论文 林颖倩;涂云东
4 Forecasting cointegrated nonstationary time series with time-varying variance 期刊论文 Tu Yundong;Yi Yanping
5 On spurious regressions with partial unit root processes 期刊论文 Tu Yundong
6 Simultaneous Diagnostic Testing for Nonlinear Time Series Models with An Application to the US Federal Fund Rate 期刊论文 Li Shuo;Guo Bin;Tu Yundong
7 A joint test for parametric specification and independence in nonlinear regression models 期刊论文 Li Shuo;Tu Yundong
8 Is Stock Price Correlated with Oil Price? Spurious Regressions with Moderately Explosive Processes 期刊论文 Chen Ye;Tu Yundong
9 Spurious Functional-coefficient Regression Models and Robust Inference with Marginal Integration 期刊论文 涂云东;王莹
10 Forecasting Using Supervised Factor Models 期刊论文 涂云东;Tae-Hwy Lee
11 Testing for a Unit Root with Nonstationary Nonlinear Volatility 期刊论文 涂云东;Nigel Chan;Qiying Wang
12 Balanced predictive regressions 期刊论文 Ren Yu;Tu Yundong;Yi Yanping
13 Error Correction Factor Models for High-dimensional Cointegrated Time Series 期刊论文 涂云东;姚琦伟;张荣茂
14 Uncovering the invisible effect of air pollution on stock returns: A moderation and mediation analysis 期刊论文 Minya Xu;Yaqiong Wang;Yundong Tu
15 Adaptive estimation of heteroskedastic functional-coefficient regressions with an application to fiscal policy evaluation on asset markets 期刊论文 Tu Yundong;Wang Ying
16 Jackknife Model Averaging for Expectile Regressions in Increasing Dimension 期刊论文 涂云东;汪思韦
17 Estimation for double-nonlinear cointegration 期刊论文 Yingqian Lin;Yundong Tu;姚琦伟
18 Robust Inference for Spurious Regressions and Cointegrations Involving Processes Moderately Deviated from a Unit Root 期刊论文 林颖倩;涂云东
19 Improving inflation prediction with the quantity theory 期刊论文 Wang Ying;Tu Yundong;Chen Song Xi
20 函数型核加权估计法及其在经济学中的应用 期刊论文 涂云东;汪思韦
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