Liangjun Su

Singapore Management University

90 Stamford Road

178903

Singapore

SCHOLARLY PAPERS

14

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1,094

SSRN CITATIONS
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Top 25,586

in Total Papers Citations

19

CROSSREF CITATIONS

18

Scholarly Papers (14)

1.

Identifying Latent Structures in Panel Data

Number of pages: 75 Posted: 13 Jun 2014 Last Revised: 30 Jun 2016
Singapore Management University, Department of Economics, the Chinese University of Hong Kong and Yale University - Cowles Foundation
Downloads 306 (127,380)
Citation 5

Abstract:

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Classification; Cluster analysis; Convergence club; Dynamic panel; Group Lasso; High dimensionality; Oracle property; Panel structure model; Parameter heterogeneity; Penalized least squares; Penalized GMM

2.

Shrinkage Estimation of Dynamic Panel Data Models with Interactive Fixed Effects

Number of pages: 94 Posted: 09 Feb 2015
Xun Lu and Liangjun Su
HKUST and Singapore Management University
Downloads 142 (259,324)
Citation 16

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Adaptive Lasso; Dynamic panel; Factor selection; Group Lasso; Interactive fixed effects; Oracle property; Selection consistency

A Combined Approach to the Inference of Conditional Factor Models

Number of pages: 47 Posted: 28 Jun 2014
Yan Li, Liangjun Su and Yuewu Xu
Temple University - Fox School of Business and Management, Singapore Management University and Fordham University - Gabelli School of Business
Downloads 22 (656,036)
Citation 2

Abstract:

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Conditional Factor Models, Specification Tests, Semiparametric Method, Nonparametric Method, Conditional CAPM

4.

Shrinkage Estimation of Common Breaks in Panel Data Models via Adaptive Group Fused Lasso

Number of pages: 45 Posted: 30 Mar 2014
Junhui Qian and Liangjun Su
Shanghai Jiao Tong University and Singapore Management University
Downloads 94 (347,385)
Citation 5

Abstract:

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Adaptive Lasso, Change point, Group Lasso, Fused Lasso, Panel data, Penalized least squares, Penalized GMM, Structural change

5.

Homogeneity Pursuit in Panel Data Models: Theory and Applications

Cowles Foundation Discussion Paper No. 2063
Number of pages: 58 Posted: 08 Dec 2016
Wuyi Wang, Peter C. B. Phillips and Liangjun Su
Singapore Management University - School of Economics, Yale University - Cowles Foundation and Singapore Management University
Downloads 77 (391,951)
Citation 2

Abstract:

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CARDS, Clustering, Heterogeneous slopes, Income and democracy, Minimum wage and employment, Oracle estimator, Panel structure model

6.

Semiparametric Single-Index Panel Data Models with Interactive Fixed Effects: Theory and Practice

Number of pages: 72 Posted: 07 Nov 2016
Guohua Feng, Bin Peng, Liangjun Su and Thomas Yang
University of North Texas, Monash University - Department of Econometrics and Business Statistics, Singapore Management University and Boston College
Downloads 71 (410,017)
Citation 2

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Asymptotic theory; Nonlinear panel data model; Interactive fixed effects; Orthogonal series expansion method

7.

Jackknife Model Averaging for Quantile Regressions

Number of pages: 45 Posted: 14 Jun 2014
Xun Lu and Liangjun Su
HKUST and Singapore Management University
Downloads 68 (419,631)
Citation 3

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Final prediction error; High dimensionality; Model averaging; Model selection; Misspecification; Quantile regression

8.

Nonparametric Testing for Anomaly Effects in Empirical Asset Pricing Models

Number of pages: 30 Posted: 30 Mar 2014
Sainan Jin, Liangjun Su and Yonghui Zhang
Singapore Management University, Singapore Management University and Renmin University of China
Downloads 65 (429,604)

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Anomaly effects; Asset pricing; CAPM; Common factors; EIV; Fama-French three-factor; Interactive fixed effects; Nonparametric panel data model; Sieve method; Specification test

9.

Interactive Effects Panel Data Models with General Factors and Regressors

Number of pages: 76 Posted: 25 Jun 2020 Last Revised: 23 Nov 2021
Monash University - Department of Econometrics and Business Statistics, Singapore Management University, Lund University - Department of Economics and The Australian National University
Downloads 62 (440,071)

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Panel data, non-stationarity, principal components, interactive effects

10.

Testing for Monotonicity in Unobservables Under Unconfoundedness

Number of pages: 50 Posted: 13 Jun 2014
Boston College, Singapore Management University, University of California, San Diego (UCSD) - Department of Economics and Boston College
Downloads 44 (511,754)
Citation 3

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Control variables, Covariates, Endogenous variables, Exogeneity, Monotonicity, Nonparametric, Nonseparable, Specification test, Unobserved heterogeneity

Additive Nonparametric Regression in the Presence of Endogenous Regressors

Number of pages: 53 Posted: 03 May 2014
State University of New York, Binghamton, University of Alabama and Singapore Management University
Downloads 27 (619,072)

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oracle estimation, generated regressors, endogeneity, additive regression, structural equation, child care, nonparametric regression, test scores

Additive Nonparametric Regression in the Presence of Endogenous Regressors

Number of pages: 51 Posted: 22 Apr 2014
Deniz Ozabaci, Daniel Henderson and Liangjun Su
State University of New York, Binghamton, University of Alabama, Tuscaloosa and Singapore Management University
Downloads 15 (711,603)

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Additive Regression, Endogeneity, Generated Regressors, Oracle Estimation, Nonparametric, Structural Equation

12.

Sieve Instrumental Variable Quantile Regression Estimation of Functional Coefficient Models

Number of pages: 64 Posted: 09 Feb 2015
Liangjun Su and Tadao Hoshino
Singapore Management University and Waseda University
Downloads 41 (525,709)
Citation 1

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Endogeneity; Functional coefficient; Heterogeneity; Instrumental variable; Panel data; Sieve estimation; Specification test; Structural quantile function

13.

Specification Test for Panel Data Models with Interactive Fixed Effects

Number of pages: 83 Posted: 30 Jun 2014
Liangjun Su, Sainan Jin and Yonghui Zhang
Singapore Management University, Singapore Management University and Renmin University of China
Downloads 38 (540,482)
Citation 5

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Common factors; Conditional strong mixing; Cross-sectional dependence; Economic Growth; Interactive fixed effects; Linearity; Panel data models; Specification test

14.

Specification Testing for Transformation Models with an Application to Generalized Accelerated Failure-Time Models

Number of pages: 35 Posted: 30 Mar 2014
Arthur Lewbel, Xun Lu and Liangjun Su
Boston College - Department of Economics, HKUST and Singapore Management University
Downloads 22 (635,998)

Abstract:

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additivity, control variable, endogenous variable, monotonicity, nonparametric nonseparable model, hazard model, specification test, transformation model, unobserved heterogeneity