Publications 

JOURNAL PUBLICATIONS

1. Zhang, Y., L. Su and P. C. B. Phillips, 2011. “Testing for Common Trends in Semiparametric Panel Data Models with Fixed Effects,” forthcoming in The Econometrics Journal.

2. Jin, S. and L. Su, 2011. “Nonparametric Tests for Poolability in Panel Data Models with Cross Section Dependence,” forthcoming in Econometric Reviews.

3. Su, L. and Jin, S., 2011. “Sieve Estimation of Panel Data Models with Cross Section Dependence ,” forthcoming in Journal of Econometrics, (Supplement: Proofs of technical lemmas in the paper)

4. Su, L., 2011. “A Semi-parametric GMM Estimation of Semiparametric Spatial Autoregressive Models,” forthcoming in Journal of Econometrics. Technical supplement.

5. Phillips, P. and L. Su, 2011. “Nonparametric Regression under Location Shifts,” The Econometrics Journal 14, 457-486. Technical supplement.

6. Long, X., L. Su, and A. Ullah, 2011. “Estimation of Dynamic Conditional Covariance: A Semiparametric Multivariate Model,” Journal of Business Economics and Statistics 29, 109-125.

7. Su, L. and H. White, 2010. “Testing Structural Change in Partially Linear Models,” Econometric Theory 26, 1761-1806.

8. Su, L. and S. Jin, 2010. “Profile Quasi-maximum Likelihood Estimation of Spatial Autoregressive Models”, Journal of Econometrics 157, 18-33.

9. Mishra, S., L. Su, and A. Ullah, 2010. “Semiparametric Estimator of Time Series Conditional Variance,” Journal of Business Economics and Statistics 28, 256-274.

10. Su, L., Y. Chen, and A. Ullah, 2009. “Functional Coefficient Estimation with Both Categorical and Continuous Data,” Advances in Econometrics 25, 131-167.

11. Su, L. and A. Ullah, 2009. “Testing Conditional Uncorrelatedness,” Journal of Business Economics and Statistics 27, 18-29.

12. Su, L. and Z. Xiao, 2008. “Testing Structural Change in Time-Series Nonparametric Regression Models,” Statistics and Its Interface 1, 347-366.

13. Su, L. and Z. Xiao, 2008. “Testing for Parameter Stability in Quantile Regression Models,” Statistics & Probability Letters 78, 2768-2775.

14. Su, L. and A. Ullah, 2008. “Nonparametric Prewhitening Estimators for Conditional Quantiles,” Statistica Sinica 18, 1131-1152.

15. Su, L. and A. Ullah, 2008. “Nonparametric Estimation of Simultaneous Equations Models,” Journal of Econometrics 144, 193-218.

16. Su, L., and H. White, 2008. “Nonparametric Hellinger Metric Test for Conditional Independence,” Econometric Theory 24, 829-864.

17. Su, L. and A. Ullah, 2007. “More Efficient Estimation of Nonparametric Panel Data Models with Random Effects,” Economics Letters 96, 375-380.

18. Su, L. and H. White, 2007. “A Consistent Characteristic Function-Based Test for Conditional Independence,” Journal of Econometrics 141, 807-834.

19. Jin, S. and L. Su, 2007. “Forecasting the Car Penetration Rate (CPR) in China: a Nonparametric Approach,” Applied Economics 39, 2189-2195.

20. Su, L., 2007. “Business Output and Business Experience -- Evidence from China's Non-governmental Businesses,” Applied Economics Letters 14, 227-231.

21. Su, L., 2006. “A Simple Test for Multivariate Conditional Symmetry,” Economics Letters 93, 374-378.

22. Su, L. and A. Ullah, 2006. “Profile Likelihood Estimation of Partially Linear Panel Data Models with Fixed Effects,” Economics Letters 92, 75-81.

23. Hu, J., L. Su, S. Jin, and W. Jiang, 2006. “The Rise in House Prices in China: Bubbles or Fundamentals?” Economics Bulletin 3(7), 1-8.

24. Su, L. and A. Ullah, 2006. “More Efficient Estimation in Nonparametric Regression with Nonparametric Autocorrelated Errors,” Econometric Theory 22, 98-126.

25. Su, L. and S. Jin, 2005. “A Bootstrap Test for Conditional Symmetry,” Annals of Economics and Finance 6, 251-261.

BOOK CHAPTERS

1 Su, L., A. Ullah, S. Mishra and Y. Wang, 2011. Nonparametric and Semiparametric Volatility Models: Specification, Estimation, and Testing, in Volatility Models and Their Applications. L. Bauwens, C. Hafner, and S. Laurent (eds). John Wiley & Sons, New York.

2 Su, L. and A. Ullah, 2011. Nonparametric and Semiparametric Panel Econometric Models: Estimation and Testing, in Handbook of Empirical Economics and Finance. A. Ullah and D. E. A. Giles (eds), pp. 455-497. Taylor & Francis Group, New York.

Papers under Review or Revision

1. Su, L., and X. Lu. Nonparametric Dynamic Panel Data Models: Kernel Estimation and Specification Testing, 2011 (coming soon).

2. Su, L. and H. White. Conditional Independence Specification Testing for Dependent Processes with Local Polynomial Quantile Regression, 2011.

3. Su, L. and H. White. Testing Conditional Independence via Empirical Likelihood, 2011.

4. Hoderlein, S., L. Su and H. White. Specification Testing for Nonparametric Structural Models with Monotonicity in Unobservables, 2011

5. Su, L. and Q. Chen. Testing Heterogeneity in Panel Data Models with Interactive Fixed Effects, 2011.

6. Su, L. and A. Ullah, A Nonparametric Goodness-of-fit-based Test for Conditional Heteroskedasticity, 2011. (Technical supplement).

7. Su, L. and Z. Yang, Instrumental Variable Quantile Regression for Spatial Autoregressive Models, 2011.

8. Su, L, I. Murtazashvili, and A. Ullah. Local Linear GMM Estimation of Functional Coefficient IV Models with Application to the Estimation of Rate of Return to Schooling, 2011.

9. Su, L. and Y. Zhang, Testing Cross-Sectional Independence in Nonparametric Panel Data Models, 2011.

10. Su, L. and M. Spindler. Nonparametric Testing for Asymmmetric Information, 2011.

11. Su, L., Hoderlein, S., and H. White. A Test for Monotonicity in Nonseparable Panel Models, 2011

12. Su, L., S. Jin, and Z. Xiao, Adaptive Nonparametric Regression with Conditional Heteroskedasticity, 2010.

13. Su, L. and Z. Xiao, Testing Structural Change in Conditional Distributions via Quantile Regressions, 2010.

Working Papers in Progress

1. Su, L. and Y. Zhang. Sieve Estimation of Large Dimensional Panel Data Models with Interactive Fixed Effects, 2011.

2. Su, L., Y. Tu, and A. Ullah. Testing Additive Separability of Error Term in Nonparametric Structural Models, 2011.

3. Ju, H., L. Su, and P. Xu. Pricing for Goodwill: A Threshold Quantile Regression Approach, 2011.

4. Su, L. and A. Ullah, Testing for Serial Correlation of Unknown Form in Nonparametric Regressions, 2010.

5. Prucha, I. R., and L. Su, Specification Test for Spatial Autoregressive Models, 2008.

6. Su, L. and Z. Yang, QML Estimation of Dynamic Panel Data Models with Spatial Errors, 2007.

7. Z. Yang and Su, L, Asymptotics and Bootstrap for Transformed Panel Data Regressions, 2007.

8. Su, L., Robust Nonparametric Function Estimation with Both Categorical and Continuous Data, 2006.

9. Su, L. and H. White, Multiple Forecast Comparisons under General Loss Functions: Chi-bar-squared and Resampling Methods, 2004.