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D-Index & Metrics

Economics and Finance

D-Index
37
Citations
4850
World Ranking
2702
National Ranking
67

Overview

Liangjun Su is affiliated with Singapore Management University in Singapore and has produced extensive research in the fields of economics, econometrics, and finance. With a focus on empirical methods and theoretical models, Su's work spans several subfields including economics and econometrics, statistics and probability, finance, and statistical and nonlinear physics.

Their research interests cover a range of topics with a particular emphasis on spatial and panel data analysis, monetary policy and economic impact, and statistical methods and inference. Additional topics include energy, environment, and economic growth, regional economics and spatial analysis, financial risk and volatility modeling, as well as market dynamics and volatility.

Frequent co-authors collaborating with Su include Xun Lu, Sainan Jin, Ke Miao, Zhonghao Fu, and Peter C.B. Phillips. These collaborations reflect ongoing research partnerships that have resulted in numerous published papers.

Su's publications appear mainly in the following venues:

  • SSRN Electronic Journal
  • Journal of Econometrics
  • arXiv (Cornell University)
  • Journal of Business and Economic Statistics
  • Econometric Theory

Notable papers authored by Su include:

  • On factor models with random missing: EM estimation, inference, and cross validation (2020, Journal of Econometrics)
  • Identifying latent group structures in nonlinear panels (2020, Journal of Econometrics)
  • Panel threshold models with interactive fixed effects (2020, Journal of Econometrics)
  • Profile GMM estimation of panel data models with interactive fixed effects (2022, Journal of Econometrics)
  • High-dimensional VARs with common factors (2022, Journal of Econometrics)

Su has contributed significantly to the methodological development and application of panel data models, factor models, and time series econometrics. Research often centers on dealing with complexities such as missing data, nonlinear group structures, and interactive fixed effects.

Best Publications

  • Identifying Latent Structures in Panel Data

    Liangjun Su;Zhentao Shi;Peter C. B. Phillips

  • A NONPARAMETRIC HELLINGER METRIC TEST FOR CONDITIONAL INDEPENDENCE

    Liangjun Su;Halbert White

  • On Time-Varying Factor Models: Estimation and Testing ∗

    Liangjun Su;Xia Wang

  • Profile quasi-maximum likelihood estimation of partially linear spatial autoregressive models ☆

    Liangjun Su;Liangjun Su;Sainan Jin;Sainan Jin

  • A consistent characteristic function-based test for conditional independence

    Liangjun Su;Halbert White

  • QML estimation of dynamic panel data models with spatial errors

    Liangjun Su;Zhenlin Yang

  • Profile likelihood estimation of partially linear panel data models with fixed effects

    Liangjun Su;Aman Ullah

  • Testing Homogeneity in Panel Data Models with Interactive Fixed Effects

    Liangjun Su;Qihui Chen

  • Semiparametric GMM estimation of spatial autoregressive models

    Liangjun Su

  • Jackknife model averaging for quantile regressions

    Xun Lu;Liangjun Su

  • Local polynomial estimation of nonparametric simultaneous equations models

    Liangjun Su;Aman Ullah

  • Testing Conditional Independence via Empirical Likelihood

    Liangjun Su;Halbert White

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

    Degui Li;Junhui Qian;Liangjun Su

  • Shrinkage estimation of common breaks in panel data models via adaptive group fused Lasso

    Junhui Qian;Liangjun Su

  • Shrinkage Estimation of Dynamic Panel Data Models with Interactive Fixed Effects

    Xun Lu;Liangjun Su

  • Sieve Estimation of Panel Data Models with Cross Section Dependence

    Liangjun Su;Sainan Jin

  • Shrinkage estimation of regression models with multiple structural changes

    Junhui Qian;Liangjun Su

  • Instrumental Variable Quantile Estimation of Spatial Autoregressive Models

    Liangjun Su;Zhenlin Yang

  • Nonparametric and Semiparametric Panel Econometric Models: Estimation and Testing

    Liangjun Su;Aman Ullah

  • Nonparametric dynamic panel data models: Kernel estimation and specification testing

    Liangjun Su;Xun Lu

  • Estimation and Forecasting of Dynamic Conditional Covariance: A Semiparametric Multivariate Model

    Xiangdong Long;Liangjun Su;Aman Ullah

  • The Oxford handbook of applied nonparametric and semiparametric econometrics and statistics

    Jeffrey Scott Racine;Liangjun Su;Aman Ullah

Frequent Co-Authors

Peter C. B. Phillips
Peter C. B. Phillips Yale University
Aman Ullah
Aman Ullah University of California, Riverside
Halbert White
Halbert White University of California, San Diego
Arthur Lewbel
Arthur Lewbel Boston College
Joakim Westerlund
Joakim Westerlund Lund University

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