​Publications in English
Journal Articles
  1. Statistical Inference for Panel Dynamic Simultaneous Equations Models (with Cheng Hsiao), Journal of  Econometrics 189, 383–396, 2015. Online Appendix
  2. Asymptotic Theory for Linear Diffusion Processes under Alternative Sampling Schemes (with Jun Yu),  Economics Letters 128, 1-5, 2015.
  3. A Stein-like Estimator for Linear Panel Data Models (with Yun Wang and Yonghui Zhang), Economics Letters 141, 156-161, 2016.
  4. Asymptotic Distribution of Quasi-maximum Likelihood Estimation of Dynamic Panels Using Long Difference Transformation when both N and T are Large (with Cheng Hsiao), Statistical Methods and Applications 25, 675-683, 2016​.
  5. Common Correlated Effects Estimation of Unbalanced Panel Data Models with Cross-Sectional Dependence (with Yonghui Zhang), Journal of Economic Theory and Econometrics 27, 25-45, 2016.
  6. Panel Kink Regression with an Unknown Threshold (with Yonghui Zhang and Li Jiang), Economics Letters 157, 116-121, 2017.
  7. Many IVs Estimation of Dynamic Panel Regression Models with Measurement Errors (With Nayoung Lee and Roger Moon), Journal of Econometrics 200, 251-259, 2017.
  8. First Difference or Forward Demeaning: Implications for the Method of Moments Estimators (with Cheng Hsiao), Econometric Reviews 36, 883-897, 2017. Online Appendix.
  9. To Pool or Not to Pool: Revisited, (with M.Hashem Pesaran), Oxford Bulletin of Economics and Statistics 80, 185-217, 2018.
  10. Estimation of Time-invariant Effects in Static Panel Data Models (with M.Hashem Pesaran), Econometric Reviews 37, 1137-1171, 2018.                                                                                                                                     Stata command xtfef to implement the FEF and FEF-IV estimators can be found here (Credit to Yui Law), help file of the command can be found here, a detailed description of the Stata command can be found here. 
  11. Binary Choice Model with Interactive Effects (with Sen Xue and Tao Yang), Economic Modelling 70, 338-350, 2018.
  12. Incidental Parameters, Initial Conditions and Sample Size in Statistical Inference for Dynamic Panel Data Models (with Cheng Hsiao), Journal of Econometrics 207, 114-128, 2018.
  13. JIVE for Panel Dynamic Simultaneous Equations Models (with Cheng Hsiao), Econometric Theory 34, 1325-1369, 2018.
  14. Estimation for Time-invariant Effects in Dynamic Panel Models with Application to Income Dynamics​ (with Yonghui Zhang), Econometrics and Statistics 9, 62-77, 2019.
  15. Panel Parametric, Semi-parametric and Nonparametric Construction of Counterfactuals (with Cheng Hsiao), Journal of Applied Econometrics 34, 463-481, 2019.
  16. Identification and Estimation in Panel Models with Overspecified Number of Groups (with Ruiqi Liu, Zuofeng Shang and Yonghui Zhang), Journal of Econometrics 215, 574-590, 2020.
  17. Fitting Partially Linear Functional-Coefficient Panel-data Models with Stata (With Kerui Du and Yonghui Zhang), Stata Journal 20(4), 976-998, 2020.
  18. Correction for the Asymptotical Bias of the Arellano-Bond type GMM Estimation of Dynamic Panel Models (with Yonghui Zhang), Advances in Econometrics Volume 41, 1-24, Essays in honor of Cheng Hsiao, 2020. 
  19. Can a Time-Varying Structure Provide a More Robust Panel Construction of Counterfactuals-Straitjacket or Straitjackets? (with Shui Ki Wan and Cheng Hsiao), Empirical Economics 60, 113-129, 2021.
  20. Factor Dimension Determination for Panel Interactive Effects Models (with Cheng Hsiao and Yimeng Xie), Computational Statistics 36, 1481-1497, 2021.
  21. Partially Linear Functional-Coefficient Dynamic Panel Data Models: Sieve Estimation and Specification Testing (with Yonghui Zhang), Econometric Reviews 40, 983-1006, 2021. Online Appendix                              Stata commands xtplfc, ivxtplfc, and xtdplfc can be used for the sieve estimation, see Du, Zhang and Zhou (2020) for details. 
  22. 2SLS and IV Estimation of Dynamic Panel Models with Heterogeneous Trend (with Shiyun Cao, Yonghui Zhang), Oxford Bulletin of Economics and Statistics 83, 1408-1431, 2021.
  23. Multiple Treatment Effects in Panel-Heterogeneity and Aggregation (with Cheng Hsiao and Yan Shen), Advances in Econometrics Volume 43B, 81-101,  Essays in honor of Hashem Pesaran, 2022. 
  24. Forecasting Equity Index Volatility by Measuring the Linkage among Component Stocks (with Yue Qiu, Tian Xie and Jun Yu), Journal of Financial Econometrics 20, 187-218, 2022. 
  25. Common Correlated Effects Estimation for Dynamic Heterogeneous Panels with Non-stationary Multifactor Error Structures (with Shiyun Cao), Econometrics 10(3), 1-27, 2022.
  26. Transformed Estimator for Panel Interactive Effects Models (with Cheng Hsiao and Zhentao Shi), Journal of Business & Economic Statistics 40, 1831-1848, 2022.
  27. Estimation of Dynamic Panel Data Models with Interactive Effects: Quasi-differencing over Time or Pairwise?  (with Cheng Hsiao), Advances in Econometrics Volume 45B, 353-383, Essays in honor of Joon Y. Park,  2023. 
  28. Semiparametric Least Squares Estimation of Binary Choice Panel Data Models with Endogeneity (with Anastasia Semykina, Yimeng Xie and Cynthia Fan Yang), Economic Modelling 132, 106661, 2024
  29. Confidence Intervals of Treatment Effects Estimation in Panel Data Models with Interactive Fixed Effects (With Xingyu Li and Yan Shen), Journal of Econometrics 240, 105684, 2024.                                                          Stata command xtteifeci to implement the abvove procedure is available through ssc install xtteifeci, all replace or can be downloaded from here. The instruction can be found here. All credit to Guanpeng Yan.
  30. ​​A One Covariate at a Time Multiple Testing Approach to Variable Selection in Additive Models (with Liangjun Su, Thomas Tao Yang and Yonghui Zhang), Econometric Reviews 43(6), 671-712, 2024.
  31. Panel Treatment Effects Measurement-Factor or Linear Projection Modelling? (with Cheng Hsiao), Journal of Applied Econometrics 39, 1332-1358, 2024.
  32. Specification Tests for Time-Varying Coefficient Panel Data Models (with Alev Atak, Yonghui Zhang and Tao Yang), Econometric Theory 41, 123-170, 2025.​​​
  33. Statistical Inference for the Low Dimensional Parameters in the Presence of High-Dimensional Data: An Orthogonal Projection (with Cheng Hsiao), forthcoming at Journal of Econometrics.​​
  34. Prediction Intervals of Panel Data Approach for Programme Evaluation​ (with Hongyi Jiang, Xingyu Li and Yan Shen), forthcoming at Journal of Applied Econometrics. 
​
Book Chapter​
  1. Horizontal Regression or Vertical Regression to Generate Counterfactuals? (with Cheng Hsiao, Jing Kong, Yimeng Xie) in Seven Decades of Econometrics and Beyond, edited by Badi Baltagi and Laszlo Matyas, Springer, 2025. 
中文期刊/Publication in Chinese
  1. 大数据背景下面板数据政策评估的估计和推断 (与沈燕，李星宇合作), 数量经济技术经济研究, 2022(6), 120-139.  (Estimation and Inference of Treatment Effects with Panel Data in the Big Data Era, with Yan Shen and Xingyu Li, The Journal of Quantitative & Technical Economics, 2022(6), 120-139.)​
Working Papers
  1. ​​​Panel Interactive Effects Models with Endogenous Regressors: A Transformed GMM Estimator  (with Cheng Hsiao and Jing Kong), R&R
  2. Estimation and Statistical Inference for Short Panel Models with both Interactive Effects and Threshold Effects, (with Yimeng Xie and Tao Yang), R&R​
  3. Rolling Window Selection for Three-Pass Regression Filter Forecasting with Time-varying Coefficients (with Wei Liu), R&R
  4. Causal Inference with Social Interactions: A Structural Break Viewpoint (with Xingyu Li and Yan Shen)
    Abstract: This article studies causal inference with social interactions in a non-experimental setting with a non-staggered binary treatment. We characterise the potential outcomes by a factor model that allows for interference between any two units. Under this specification, the observed outcomes can be represented by a structural break model and the treatment effects are exactly the outcome changes induced by this break. Since the structural break literature has not yet provided any estimator for such estimands, we propose an innovative estimation procedure for treatment effects. Under standard assumptions, the estimator of every individual and time specific treatment effect is proved to be consistent and asymptotically normal as the numbers of units, pre-treatment and post-treatment times go to infinity. We find consistent estimators for the asymptotic variances, which enables asymptotically pivotal inference on treatment effects. As a by-product of causal inference, we contribute to the structural break literature by providing a valid approach to the estimation and inference of outcomes changes induced by a structural break. Furthermore, we extend our method to models with covariates. Finally, we investigate the performances of the proposed method in finite samples by Monte Carlo experiments.
  5. Testing the Cluster Structure in Panel Data Models (with Zhou Wu, Yimeng Xie and Tao Zeng)              Abstract: The cluster-robust variance estimator (CRVE) has become the standard practice for panel data models in empirical research. However, the selection of the appropriate clustering level is often based on heuristic rules or user experience rather than formal statistical tests. This paper develops a novel test statistic to determine the proper clustering level in linear panel regression models, which is applicable to both static and dynamic panel data settings. It is also applicable to both long panels and short panels. We derive the asymptotic properties of the proposed test statistic under a panel framework with individual dimension N and time dimension T. To implement the test, we advocate the use of the wild cluster bootstrap method and establish the consistency of the bootstrap procedure. Simulation studies and empirical applications demonstrate the effectiveness of the proposed tests in panel models.